Forslag til EUROPA-PARLAMENTETS OG RÅDETS FORORDNING om ændring af forordning (EU) nr. 575/2013 for så vidt angår krav vedrørende kreditrisiko, kreditværdijusteringsrisiko, operationel risiko, markedsrisiko og den nedre grænse for output

EN EN
EUROPEAN
COMMISSION
Brussels, 27.10.2021
COM(2021) 664 final
ANNEX
ANNEX
to the
Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE
COUNCIL
amending Regulation (EU) No 575/2013 on prudential requirements for credit
institutions as regards requirements for credit risk, credit valuation adjustment risk,
operational risk, market risk and the output floor
Offentligt
KOM (2021) 0664 - Forslag til forordning
Europaudvalget 2021
EN 1 EN
ANNEX
Classification of Off-Balance Sheet Items
Bucket Items
1
 General guarantees of indebtedness, including standby letters of credit serving
as financial guarantees for loans and securities, and acceptances, including
endorsements with the character of acceptances, as well as [any] other direct
credit substitutes;
 Sale and repurchase agreements and asset sales with recourse where the credit
risk remains with the institution;
 Securities lent by the institution or securities posted by the institution as
collateral, including instances where these arise out of repo-style transactions;
 Forward asset purchases, forward deposits and partly paid shares and
securities, which represent commitments with certain drawdown;
 Off-balance sheet items constituting a credit substitute where not explicitly
included in any other category.
 Other off-balance sheet items carrying similar risk and as communicated to
EBA.
2
 Note issuance facilities (NIFs) and revolving underwriting facilities (RUFs)
regardless of the maturity of the underlying facility;
 Performance bonds, bid bonds, warranties and standby letters of credit related
to particular transactions and similar transaction-related contingent items;
 Off-balance sheet items not constituting a credit substitute where not explicitly
included in any other category.
 Other off-balance sheet items carrying similar risk, as communicated to EBA.
3
 Commitments, regardless of the maturity of the underlying facility, unless they
fall under another category;
 Other off-balance sheet items carrying similar risk, as communicated to EBA.
4
 Short-term, self-liquidating trade letters of credit arising from the movement of
goods, in particular documentary credits collateralised by the underlying
shipment, in case of an issuing institution or a confirming institution;
 Other off-balance sheet items carrying similar risk, as communicated to EBA.
5
 Unconditionally cancellable commitments;
 The undrawn amount of retail credit lines for which the terms permit the
institution to cancel them to the full extent allowable under consumer
protection and related legislation;
 Undrawn credit facilities for tender and performance guarantees which may be
cancelled unconditionally at any time without prior notice, or that do
effectively provide for automatic cancellation due to deterioration in a
borrower’s creditworthiness;
 Other off-balance sheet items carrying similar risk, as communicated to EBA.


EN EN
EUROPEAN
COMMISSION
Brussels, 27.10.2021
COM(2021) 664 final
2021/0342 (COD)
Proposal for a
REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit
valuation adjustment risk, operational risk, market risk and the output floor
(Text with EEA relevance)
{SWD(2021) 320} - {SWD(2021) 321} - {SEC(2021) 380}
Offentligt
KOM (2021) 0664 - Forslag til forordning
Europaudvalget 2021
EN 1 EN
EXPLANATORY MEMORANDUM
1. CONTEXT OF THE PROPOSAL
• Reasons for and objectives of the proposal
The proposed amendment to Regulation (EU) No 575/2013 (the Capital Requirements
Regulation or CRR) is part of a legislative package that includes also amendments to
Directive 2013/36/EU (the Capital Requirements Directive or CRD)1
.
In response to the Great Financial Crisis of 2008-09 (GFC), the Union implemented
substantial reforms of the prudential framework applicable to banks in order to enhance their
resilience and thus help prevent the recurrence of a similar crisis. Those reforms were largely
based on international standards adopted since 2010 by the Basel Committee on Banking
Supervision (BCBS)2
. The standards are collectively known as the Basel III standards, the
Basel III reforms or the Basel III framework3
.
The global standards developed by the BCBS have become increasingly important due to the
ever more global and interconnected nature of the banking sector. While a globalised banking
sector facilitates international trade and investment, it also generates more complex financial
risks. Without uniform global standards, banks could choose to establish their activities in the
jurisdiction with the most lenient regulatory and supervisory regimes. This might lead to a
regulatory race to the bottom to attract bank businesses, increasing at the same time the risk of
global financial instability. International coordination on global standards limits this type of
risky competition to a large extent and is key for maintaining financial stability in a globalised
world. Global standards also simplify the life of internationally active banks – among which
are a good number of EU banks – as they guarantee that broadly similar rules are applied in
the most important financial hubs worldwide.
The EU has been a key proponent of international cooperation in the area of banking
regulation. The first set of post-crisis reforms that are part of the Basel III framework have
been implemented in two steps:
 in June 2013 with the adoption of CRR4
and CRD IV5
;
 in May 2019 with the adoption of Regulation (EU) 2019/8766
, also known as CRR
II, and Directive (EU) 2019/878, also known as CRD V7
.
1
COM(2021) 663.
2
Members of the BCBS comprise central banks and bank supervisors from 28 jurisdictions worldwide.
Among the EU Member States, Belgium, France, Germany, Italy, Luxembourg, the Netherlands, and
Spain, as well as the European Central Bank are members of the BCBS. The European Commission and
the EBA participate in BCBS meetings as observers.
3
The consolidated Basel III framework is available at https://www.bis.org/bcbs/publ/d462.htm.
4
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 (OJ L 321, 26.6.2013, p. 6).
5
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the
activity of credit institutions and the prudential supervision of credit institutions and investment firms,
amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176,
27.6.2013, p. 338).
6
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending
Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements
for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central
counterparties, exposures to collective investment undertakings (CIU), large exposures, reporting and
disclosure requirements, and Regulation (EU) No 648/2012.
EN 2 EN
The reforms implemented so far focused on increasing the quality and quantity of regulatory
capital that banks are required to have to cover potential losses. Furthermore, they aimed at
reducing banks’ excessive leverage, increasing institutions’8
resilience to short-term liquidity
shocks, reducing their reliance on short-term funding, reducing their concentration risk, and
addressing too-big-to-fail problems9
.
As a result, the new rules strengthened the criteria for eligible regulatory capital, increased
minimum capital requirements, and introduced new requirements for credit valuation
adjustment10
(CVA) risk and for exposures to central counterparties11
. Furthermore, several
new prudential measures were introduced: a minimum leverage ratio requirement, a short-
term liquidity ratio (known as the liquidity coverage ratio), a longer-term stable funding ratio
(known as the net stable funding ratio), large exposure limits12
and macro-prudential capital
buffers13
.
Thanks to this first set of reforms implemented in the Union14
, the EU banking sector has
become significantly more resilient to economic shocks and entered the COVID-19 crisis on a
significantly more stable footing when compared to its condition at the onset of the GFC.
In addition, temporary relief measures were taken by supervisors and legislators at the outset
of the COVID-19 crisis. In its Interpretative Communication on the application of the
accounting and prudential frameworks to facilitate EU bank lending supporting businesses
and households amid COVID-19 of 28 April 202015
, the Commission confirmed the
flexibility embedded in the prudential and accounting rules as highlighted by the European
Supervisory Authorities and international bodies. On that basis, in June 2020, the co-
legislators adopted targeted temporary amendments to specific aspects of the prudential
framework – the so-called CRR “quick fix” package16
. Together with resolute monetary and
fiscal policy measures17
, this helped institutions to keep on lending to households and
companies during the pandemic. This, in turn, helped mitigate the economic shock18
resulting
from the pandemic.
7
Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 amending
Directive 2013/36/EU as regards exempted entities, financial holding companies, mixed financial
holding companies, remuneration, supervisory measures and powers and capital conservation measures.
8
Originally, the CRR applied to both credit institutions (i.e. banks) and investment firms, commonly
referred to as ‘institutions’. With the entry into application of Regulation (EU) 2019/2033, the personal
scope of the CRR – and with it the definition of ‘institution’ – was limited to credit institutions and
investment firms that carry out certain types of activities and have to obtain a bank license.
9
See https://www.bis.org/publ/bcbs189.htm.
10
CVA is an accounting adjustment to the price of a derivative to account for counterparty credit risk.
11
These were the only significant changes to the part of the standards that deal with risk-based capital
requirements that were introduced as part of the first stage of the Basel III reform.
12
A minimum requirement on large exposure limits was already a feature of Union legislation, but was a
novelty for the Basel standards.
13
More specifically the capital conservation buffer (CCB), the countercyclical capital buffer (CCyB), the
systemic risk buffer (SRB), and capital buffers for global and other systemically important institutions
(respectively, G-SII and O-SII).
14
Those first set of reforms have also been implemented in most jurisdictions worldwide as can be
observed in the eighteenth progress report on adoption of the Basel regulatory framework published in
July 2020 (see https://www.bis.org/bcbs/publ/d506.htm).
15
See https://ec.europa.eu/info/publications/200428-banking-package-communication_en.
16
See https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32020R0873&from=EN.
17
A comprehensive list of such measures has been collected by the ESBR, see “Policy measures in
response to the COVID-19 pandemic”.
18
In its COVID-19 vulnerability analysis published in July 2020, the ECB showed that the largest euro
area banks would be sufficiently capitalised to withstand a short-lived deep recession and that the
EN 3 EN
While the overall level of capital in the EU banking system is now considered satisfactory on
average, some of the problems that were identified in the wake of the GFC have not yet been
addressed. Analyses performed by the European Banking Authority (EBA) and the European
Central Bank (ECB) have shown that the capital requirements calculated by institutions
established in the EU using internal models demonstrated a significant level of variability that
was not justified by differences in the underlying risks and that ultimately undermines the
reliability and comparability of their capital ratios.19
In addition, the lack of risk sensitivity in
the capital requirements calculated using standardised approaches results in insufficient or
unduly high capital requirements for some financial products or activities (and hence for
specific business models primarily based on them). In December 2017, the BCBS agreed on a
final set of reforms20
to the international standards to address these problems. In March 2018,
the G20 Finance Ministers and Central Bank Governors welcomed these reforms and
repeatedly confirmed their commitment to full, timely and consistent implementation. In
2019, the Commission announced its intention to table a legislative proposal to implement
these reforms in the EU prudential framework.21
In light of the COVID-19 pandemic, the preparatory work of this proposal has been delayed.
The delay reflected the BCBS’s decision of 26 March 2020 to postpone the previously agreed
implementation deadlines for the final elements of the Basel III reform by one year. 22
Considering the above, the present legislative initiative has two general objectives:
contributing to financial stability and contributing to the steady financing of the economy in
the context of the post-COVID-19 crisis recovery. These general objectives can be broken
down in four more specific objectives:
(1) to strengthen the risk-based capital framework, without significant increases in
capital requirements overall;
(2) to enhance the focus on ESG risks in the prudential framework;
(3) to further harmonise supervisory powers and tools; and
(4) to reduce institutions’ administrative costs related to public disclosures and to
improve access to institutions’ prudential data.
(1) To strengthen the risk-based capital framework
The temporarily stressed economic conditions have not altered the need to deliver on this
structural reform. Completing the reform is necessary to address the outstanding issues and to
further strengthen the financial soundness of institutions established in the EU, putting them
in a better position to support economic growth and withstand potential future crises. The
implementation of the outstanding elements of the Basel III reform is also necessary to
provide institutions with the necessary regulatory certainty, completing a decade-long reform
of the prudential framework. Finally, completing the reform is in line with the EU’s
number of those banks with insufficient capital resources in case of a more severe recession would be
limited (see
https://www.bankingsupervision.europa.eu/press/pr/date/2020/html/ssm.pr200728_annex~d36d893ca2.
en.pdf).
19
Similar studies, which came to the same conclusion for banks around the globe, were carried out at
international level by the BCBS. For details, see
https://www.bis.org/bcbs/implementation/rcap_thematic.htm.
20
See https://www.bis.org/bcbs/publ/d424.htm.
21
See https://ec.europa.eu/commission/presscorner/detail/en/SPEECH_19_6269.
22
More specifically to 1 January 2023 for the starting date of application and to 1 January 2028 for the
full application of the final elements of the reform.
EN 4 EN
commitment to international regulatory cooperation and the concrete actions some of its
partners have announced or have already taken to implement the reform timely and faithfully.
(2) To enhance the focus on ESG risks in the prudential framework
Another equally important need for reform stems from the Commission’s ongoing work on
the transition to a sustainable economy. The Commission Communication on the European
Green Deal (EGD)23
and Commission Communication on achieving the EU’s 2030 Climate
Target (‘Fit for 55’)24
clearly set out the Commission’s commitment to transform the EU
economy into a sustainable economy, while also dealing with the inevitable consequences of
climate change. It also announced a Strategy for Financing the Transition to a Sustainable
Economy 25
that builds on previous initiatives and reports, such as the action plan on
financing sustainable growth26
and the reports of the Technical Expert Group on Sustainable
Finance27
, but reinforces the Commission’s efforts in this area to bring them in line with the
ambitious goals of the EGD.
Bank-based intermediation will play a crucial role in financing the transition to a more
sustainable economy. At the same time, the transition to a more sustainable economy is likely
to entail risks for institutions that they will need to properly manage to ensure that risks to
financial stability are minimised. This is where prudential regulation is needed and where it
can play a crucial role. The Strategy for Financing the Transition to a Sustainable Economy
acknowledged this and highlighted the need to include a better integration of environmental,
social and governance (ESG) risks into the EU prudential framework as the present legal
requirements alone are deemed insufficient to provide incentives for a systematic and
consistent management of ESG risks by institutions.
(3) To further harmonise supervisory powers and tools
Another area of focus is the proper enforcement of prudential rules. Supervisors need to have
at their disposal the necessary tools and powers to this effect (e.g. powers to authorise
institutions and their activities, assess the suitability of their management, or sanction them in
case they break the rules). While Union legislation ensures a minimum level of
harmonisation, the supervisory toolkit and procedures vary greatly across Member States.
This fragmented regulatory landscape in the definition of certain powers and tools available to
supervisors and their application across Member States undermines the level playing field in
the single market and raises doubts about the sound and prudent management of institutions
and their supervision. This problem is particularly acute in the context of the Banking Union.
Differences across 21 different legal systems prevent the Single Supervisory Mechanism
(SSM) from performing its supervisory functions effectively and efficiently. Moreover, cross-
border banking groups have to deal with a number of different procedures for the same
prudential issue, unduly increasing their administrative costs.
Another important issue, namely the lack of a robust EU framework for third country groups
providing banking services in the EU, has taken a new dimension after Brexit. The
establishment of third country branches (TCBs) is mainly subject to national legislation and
23
See https://eur-lex.europa.eu/legal-content/EN/TXT/?qid=1588580774040&uri=CELEX:52019DC0640
24
See https://eur-lex.europa.eu/legal-content/ES/TXT/?uri=COM:2021:550:FIN.
25
See COM(2021) 390 final.
26
See https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:52018DC0097.
27
See https://ec.europa.eu/info/publications/sustainable-finance-high-level-expert-group_en.
EN 5 EN
harmonised to only a very limited extent by the CRD. A recent report by the EBA28
shows
that this scattered prudential landscape provides TCBs with significant opportunities for
regulatory and supervisory arbitrage to conduct their banking activities on the one hand,
whilst resulting in a lack of supervisory oversight and increased financial stability risks for the
EU on the other hand.
Supervisors often lack the information and powers needed to address those risks. The absence
of detailed supervisory reporting and the insufficient exchange of information between the
authorities in charge of supervising different entities/activities of a third country group leaves
blind spots. The EU is the only major jurisdiction where the consolidating supervisor does not
have the full picture of the activities of third country groups operating via both subsidiaries
and branches. These shortcomings are negatively impacting the level playing field among
third country groups operating across different Member States, as well as vis-à-vis institutions
headquartered in the EU.
(4) To reduce institutions’ administrative costs related to public disclosures and improve
access to institutions’ prudential data
This proposal is also necessary to further enhance market discipline. This is another important
tool in order for investors to exercise their role of monitoring the behaviour of institutions. To
do so, they need to access the necessary information. The current difficulties related to the
access to prudential information deprive market participants from the information they need
about institutions’ prudential situations. This ultimately reduces the effectiveness of the
prudential framework for institutions and potentially raises doubt about the resilience of the
banking sector, especially in periods of stress. For this reason, the proposal aims to centralise
disclosures of prudential information with a view to increase access to prudential data and
comparability across industry. The centralisation of disclosures in a single access point
established by EBA is also aimed at reducing the administrative burden for institutions,
especially small and non-complex ones.
• Consistency with existing policy provisions in the policy area
Several elements of the proposals amending the CRR and the CRD follow work undertaken at
international level, or by EBA, while other adaptations to the prudential framework have
become necessary due to the practical experience gained since the national transposition and
application of the CRD, including in the context of the SSM.
The proposals introduce amendments to the existing legislation that are fully consistent with
the existing policy provisions in the area of prudential regulation and supervision of
institutions. The review of the CRR and of the CRD aims at finalising the implementation of
the Basel III reform in the EU as well as strengthening and harmonising supervisory tools and
powers. These measures are needed to further strengthen resilience of the banking sector.
• Consistency with other Union policies
Almost ten years passed since the European Heads of State and Governments agreed to create
a Banking Union. Two pillars of the Banking Union – single supervision and single resolution
– are in place, resting on the solid foundation of a single rulebook for all EU institutions.
28
See EBA/REP/2021/20 (available here). The CRD requires EBA to report on the regulatory arbitrage
resulting from the current different treatments of TCBs. This report takes stock of the national regimes
for TCBs and confirms that significant differences persist in the national treatment of these branches
and in the degree of involvement of the host-supervisor.
EN 6 EN
The proposals aim at ensuring a continued single rulebook for all EU institutions, whether
inside or outside the Banking Union. The overall objectives of the initiative, as described
above, are fully consistent and coherent with the EU’s fundamental goals of promoting
financial stability, reducing the likelihood and the extent of taxpayers' support in case an
institution is resolved, as well as contributing to a harmonious and sustainable financing of
economic activity, which is conducive to a high level of competitiveness and consumer
protection.
Lastly, with the recognition of ESG-related risks and the incorporation of ESG elements in the
prudential framework, this initiative complements the EU broader strategy for a more
sustainable and resilient financial system. It will contribute the European Green Deal’s
objective that climate risks are managed and integrated into the financial system and the
strategic areas of action set out in the 2021 Strategic Foresight Report29
.
2. LEGAL BASIS, SUBSIDIARITY AND PROPORTIONALITY
• Legal basis
The proposal considers actions to frame the taking up, the pursuit and the supervision of the
business of institutions within the Union, with the objective of ensuring the stability of the
single market. The banking sector is currently providing the largest part of financing within
the single market, making it one of the fundamental components of the Union’s financial
system. The Union has a clear mandate to act in the area of the single market and the
appropriate legal basis consists of the relevant Treaty Articles30
underpinning Union
competences in this area.
The proposed amendments are built on the same legal basis as the legislative acts that are
being amended, i.e. Article 114 TFEU for the proposal for a regulation amending the CRR
and Article 53(1) TFEU for the proposal for a directive amending the CRD.
• Subsidiarity (for non-exclusive competence)
Most of the actions considered represent updates and amendments to existing Union law, and
as such, they concern areas where the Union has already exercised its competence and does
not intend to cease exercising such competence. A few actions (particularly those amending
the CRD) aim to introduce an additional degree of harmonisation in order to achieve
consistently the objectives defined by that Directive.
Given that the objectives pursued by the proposed measures aim at supplementing already
existing Union legislation, they can be best achieved at EU level rather than by different
national initiatives. National measures aimed at, for example, implementing rules that have an
inherent international footprint – such as a global standard like Basel III or better tackling
ESG-related risks - into applicable legislation would not be as effective in ensuring financial
stability as EU rules. In terms of supervisory tools and powers disclosures and third country
branches, if the initiative is left to be dealt with at national level only, this may result in
reduced transparency and increased risk of arbitrage, leading to potential distortion of
competition and affecting capital flows. Moreover, adopting national measures would be
29
COM(2021)750, see strategic area of action 6 (“building resilient and future-proof economic and
financial systems”).
30
The relevant Treaty Articles conferring the Union the right to adopt measures are those concerning the
freedom of establishment (in particular Article 53 TFEU), the freedom to provide services (Article 59
TFEU), and the approximation of rules which have as their object the establishment and functioning of
the internal market (Article 114 TFEU).
EN 7 EN
legally challenging, given that the CRR already regulates banking matters, including risk
weights, reporting and disclosures and other CRR-related requirements.
Amending the CRR and the CRD is thus considered to be the best option. It strikes the right
balance between harmonising rules and maintaining national flexibility where essential,
without hampering the single rulebook. The amendments would further promote a uniform
application of prudential requirements, the convergence of supervisory practices and ensure a
level playing field throughout the single market for banking services. This is particularly
important in the banking sector where many institutions operate across the EU single market.
Full cooperation and trust within the SSM and within the colleges of supervisors and
competent authorities outside the SSM is essential to ensure the effective supervision of
institutions on a consolidated basis. National rules would not achieve these objectives.
• Proportionality
Proportionality has been an integral part of the impact assessment accompanying the proposal.
The proposed amendments in different regulatory fields have been individually assessed
against the proportionality objective. In addition, the lack of proportionality of the existing
rules has been presented in several domains and specific options have been analysed aiming at
reducing administrative burden and compliance costs for smaller institutions. This is the case,
in particular, of the measures in the area of disclosure, where the compliance burden for small
and non-complex institutions would be significantly reduced, if not eliminated. Moreover, the
disclosure requirements related to the disclosure of ESG risks that are proposed to be applied
to all institutions (i.e. beyond large, listed banks to whom the existing requirement will apply
from 2022), will be tailored in terms of periodicity and detail to the size and complexity of the
institutions, thus respecting the proportionality principle.
• Choice of the instrument
The measures are proposed to be implemented by amending the CRR and the CRD through a
Regulation and a Directive, respectively. The proposed measures indeed refer to or further
develop already existing provisions inbuilt in those legal instruments (i.e. the framework for
calculating risk-based capital requirements, powers and tools made available to supervisors
across the Union).
Some of the proposed CRD amendments affecting sanctioning powers would leave Member
States with a certain degree of flexibility to maintain different rules at the stage of their
transposition into national law.
3. RESULTS OF EX-POST EVALUATIONS, STAKEHOLDER
CONSULTATIONS AND IMPACT ASSESSMENTS
• Stakeholder consultations
The Commission has taken several steps and carried out various initiatives in order to assess
whether the current banking prudential framework in the EU and the implementation of the
outstanding elements of the Basel III reform are adequate to contribute to ensuring that the
EU banking system is stable and resilient to economic shocks and remains a sustainable
source of steady funding for the EU economy.
The Commission gathered stakeholders’ views on specific topics in the areas of credit risk,
operational risk, market risk, CVA risk, securities financing transactions, as well as in relation
to the output floor. In addition to these elements related to the Basel III implementation, the
Commission has also consulted on certain other subjects with a view to ensuring convergent
EN 8 EN
and consistent supervisory practices across the Union and alleviating institutions’
administrative burden.
A public consultation carried out between October 2019 and early January 202031
had been
preceded by a first exploratory consultation conducted in spring 201832
, seeking first views of
a targeted group of stakeholders on the international agreement. In addition, a public
conference was organised in November 2019 to discuss the impact and challenges of
implementing the finalised Basel III standards in the EU. Annex 2 of the impact assessment
provides the summaries of the consultation and the public conference.
Commission services have also repeatedly consulted Member States on the EU
implementation of the final elements of the Basel III reform and other possible revisions of
the CRR and the CRD in the context of the Commission Expert Group for Banking, Payment
and Insurance (EGBPI).
Finally, during the preparatory phase of the legislation, the Commission services have also
held hundreds of meetings (physical and virtual) with representatives of the banking industry
as well as other stakeholders.
The results of all the above mentioned initiatives have fed into the preparation of the
legislative initiative accompanying the impact assessment. They have provided clear evidence
of the need to update and complete the current rules in order to i) further reduce the risks in
the banking sector, and ii) enhance the ability of institutions to channel adequate funding to
the economy.
• Collection and use of expertise
The Commission made use of the expertise of EBA, which prepared an impact analysis on the
implementation of the outstanding elements of the Basel III reform33
. In addition, the
Commission services made use of the expertise of the ECB, which prepared a macroeconomic
analysis of the impact of implementing those elements.34
• Impact assessment
For each of the problems identified, the impact assessment35
considered a range of policy
options across four key policy dimensions, in addition to the baseline situation where no
Union action is taken.
31
See https://ec.europa.eu/info/law/better-regulation/have-your-say/initiatives/12015-Alignment-EU-
rules-on-capital-requirements-to-international-standards-prudential-requirements-and-market-
discipline-/public-consultation_en.
32
See https://ec.europa.eu/info/consultations/finance-2018-basel-3-finalisation_en
33
A first impact analysis was provided in two parts in 2019 (see here and here). A second impact analysis,
updating the results of the original analysis in light of the impact of the COVID-19 pandemic was
provided in December 2020 (see here). The updated analysis showed that from Q2 2018 to Q4 2019, the
total increase in minimum capital requirements due to the implementation of the full Basel III reform
decreased by over 5 percentage points (i.e. from +24.1% to +18.5%), while the capital shortfall across
the institutions in the sample has more than halved (from EUR 109.5 bn to EUR 52.2 bn).
34
The first macroprudential analysis was prepared in conjunction with the 2019 impact analysis prepared
by the EBA. An updated version was then prepared in 2021 to take into account the EBA’s updated
impact analysis. The results of the updated ECB analysis are presented in the impact assessment. For
details on the ECB analysis see https://www.ecb.europa.eu/pub/financial-stability/macroprudential-
bulletin/html/ecb.mpbu202107_1~3292170452.en.html.
35
SWD(2021) 320.
EN 9 EN
For what concerns the implementation of Basel III, the analysis and macroeconomic
modelling developed in the impact assessment show that implementing the preferred options
and taking into account all the measures in the proposal is expected to lead to a weighted
average increase in institutions’ minimum capital requirements of 6.4% to 8.4% in the long
term (by 2030), after the envisaged transitional period. In the medium term (in 2025), the
increase is expected to range between 0.7% and 2.7%.
According to estimates provided by EBA, this impact could lead a limited number of large
institutions (10 out of 99 institutions in the test sample) to have to raise collectively additional
capital amounts of less than EUR 27bn in order to meet the new minimum capital
requirements under the preferred option. To put this amount into perspective, the 99
institutions in the sample (representing 75% of EU banking assets) held a total amount of
regulatory capital worth EUR 1414bn at the end of 2019 and had combined profits of EUR
99.8bn in 2019.
More generally, while institutions would incur one-off administrative and operational costs to
implement the proposed changes in the rules, no significant increases in costs are expected.
Furthermore, the simplifications implied by several of the preferred options (e.g. removal of
internally modelled approaches, centralised disclosures) are expected to reduce the costs
compared to today.
• Regulatory fitness and simplification
This initiative is aimed at completing the EU implementation of the international prudential
standards for banks agreed by the BCBS between 2017 and 2020. It would complete the EU
implementation of the Basel III reform that was launched by the Basel Committee in the wake
of the GFC. That reform was in itself a comprehensive review of the prudential framework
that was in place before and during the GFC, namely the Basel II framework (in the EU that
framework was implemented through Directive 2006/48/EC, i.e. the original CRD). The
Commission used the results of the comprehensive review by the BCBS of the prudential
framework, together with input provided by EBA, the ECB and other stakeholders, to inform
its implementation work. Pending the implementation of the final Basel III reforms in the EU,
a fitness check or refit exercise has not been carried out yet.
• Fundamental rights
The EU is committed to high standards of protection of fundamental rights and is signatory to
a broad set of conventions on human rights. In this context, the proposal is not likely to have a
direct impact on these rights, as listed in the main UN conventions on human rights, the
Charter of Fundamental Rights of the European Union, which is an integral part of the EU
Treaties and the European Convention on Human Rights (ECHR).
4. BUDGETARY IMPLICATIONS
The proposal does not have implications for the Union budget.
5. OTHER ELEMENTS
• Implementation plans and monitoring, evaluation and reporting arrangements
It is expected that the proposed amendments will start entering into force in 2023 at the
earliest. The amendments are tightly inter-linked with other provisions of the CRR and the
EN 10 EN
CRD that are already in force and have been monitored since 2014 and, with respect to the
measures introduced by the risk reduction measures package, since 2019.
The BCBS and EBA will continue to collect the necessary data for the monitoring of the key
metrics (capital ratios, leverage ratio, liquidity measures). This will allow for the future
impact evaluation of the new policy tools. Regular Supervisory Review and Evaluation
Process (SREP) and stress testing exercises will also help monitoring the impact of the new
proposed measures on affected institutions and assessing the adequacy of the flexibility and
proportionality provided to cater for the specificities of smaller institutions. Additionally,
EBA, together with the SSM and the national competent authorities, are developing an
integrated reporting tool (EUCLID) which is expected to be a useful instrument to monitor
and evaluate the impact of the reforms. Finally, the Commission will continue to participate in
the working groups of the BCBS and the joint task force established by the European Central
Bank (ECB) and by EBA, that monitor the dynamics of institutions’ own funds and liquidity
positions, globally and in the EU, respectively.
• Detailed explanation of the specific provisions of the proposal
Enhanced definitions of entities to be included in the scope of prudential consolidation
Recent events have highlighted the need to clarify the provisions on prudential consolidation
to ensure that financial groups that are headed by fintech companies or include, in addition to
institutions, other entities that engage directly or indirectly in financial activities are subject to
consolidated supervision. To that end, Article 4 is emended to clarify and enhance the
definitions of the terms ‘ancillary services undertaking’(ASU), ‘financial holding company’
and ‘financial institution’, which are all key concepts in this regard. ASUs should be
considered as financial institutions and hence be included in the scope of prudential
consolidation.
Furthermore, it is also proposed to update the definitions of the terms ‘parent undertaking’
and ‘subsidiary’ in line with the applicable accounting standards, and align them with the
concept of ‘control’ already provided for in the CRR to avoid inconsistent application of the
rules and regulatory arbitrage.
Own Funds
Definitions of ‘indirect holding’ and ‘synthetic holding’
According to Article 72e(1) of the CRR, institutions that are subject to Article 92a of the CRR
are required to deduct indirect and synthetic holdings of certain eligible liabilities instruments.
However, the current definitions of the term ‘indirect holding’ and ‘synthetic holding’,
respectively, capture holdings of capital instruments only. Therefore, those definitions are
amended to also capture holdings of relevant liabilities (Article 4(1), points (114) and (126),
of the CRR).
Capital instruments of mutuals, cooperative societies, savings institutions or similar
institutions
Following the withdrawal of the United Kingdom from the EU pursuant to Article 50 of the
Treaty on European Union, Article 27(1), point (a)(v), of the CRR is no longer relevant for
institutions established in the Union (it was introduced to cater for the needs of an institution
established in the UK). The provision is therefore deleted.
Threshold exemptions from deduction from Common Equity Tier 1 items
EN 11 EN
For the purposes of applying some of the own funds related deductions set out in the CRR,
institutions have to calculate certain thresholds that are based on their Common Equity Tier 1
(CET1) items after applying prudential filters and most CET1 related deductions. In order to
keep the calculation of the relevant thresholds coherent, and to avoid an asymmetry in the
treatment of certain deductions for the thresholds, the new CET1 related deductions envisaged
by Regulation (EU) 2019/630 of the European Parliament and of the Council36
and by
Regulation (EU) 2019/876 also need to be taken into account for the calculation of the
relevant CET1 items. Therefore, references to Article 36(1), points (m) and (n), of the CRR
are added to Articles 46(1), 48(1), 60(1), 70(1), and 72i(1) of the CRR. At the same time, in
order to accommodate the removal of the deductions of equity exposures under an internal
models approach, the reference to Article 36(1), point (k)(v), is deleted from those provisions.
Minority interests in the context of third-country subsidiaries
Regulation (EU) 2019/2033 of the European Parliament and of the Council37
(Investment
Firms Regulation) envisaged changes to the terms ‘institution’ and ‘investment firm’ (Article
4(1), points (2) and (3), of the CRR). A new Article 88b is inserted to ensure that subsidiaries
that are located in a third country could nevertheless still be considered for the purposes of
Part Two, Title II, of the CRR (i.e. determination of minority interests), provided that those
subsidiaries would fall under the revised definitions of those terms if they were established in
the Union.
Some additional changes are applied to Articles 84(1), 85(1), and 87(1) of the CRR in the
context of third-country subsidiaries. These changes do not alter the current calculation of
minority interests, but aim at clarifying the legal text as a follow-up to recent answers
provided by the Commission via the EBA Single Rulebook Q&A tool.
Output floor
An output floor (OF) to the risk-based capital requirements is introduced through amendments
to both the CRR and the CRD. It represents one of the key measures of the Basel III reforms
and aims to reduce the excessive variability of institutions’ own funds requirements calculated
using internal models, and thereby enhance the comparability of institutions’ capital ratios. It
sets a lower limit to the capital requirements that are produced by institutions’ internal
models, at 72.5% of the own funds requirements that would apply on the basis of standardised
approaches. The decision to introduce the OF is based on analysis revealing that institutions’
use of internal models makes them prone to underestimate risks, and hence own funds
requirements.
The calculation of floored risk-weighted assets (RWAs) is set out in Article 92 of the CRR.
Specifically, Article 92(3) is amended to specify which total risk exposure amount (TREA) –
floored or un-floored – is to be used for the calculation of the minimum (so-called “Pillar 1”)
own funds requirements.
The floored TREA, as set out in Article 92(5), is to be used only by the EU parent institution,
financial holding company or mixed financial holding company of a banking group for the
purposes of the group solvency ratio calculated at the highest level of consolidation in the EU.
36
Regulation (EU) 2019/630 of the European Parliament and of the Council of 17 April 2019 amending
Regulation (EU) No 575/2013 as regards minimum loss coverage for non-performing exposures, OJ L
111, 25.4.2019, p. 4–12.
37
Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on
the prudential requirements of investment firms and amending Regulations (EU) No 1093/2010, (EU)
No 575/2013, (EU) No 600/2014 and (EU) No 806/2014, OJ L 314, 5.12.2019, p. 1–63.
EN 12 EN
By contrast, the un-floored TREA continue to apply to any group entity for the calculation of
own funds requirements at individual level, as specified further in Article 92(4).
Every parent institution, financial holding company or mixed financial holding company in a
Member State (different form the EU parent’s location) needs to calculate its share of the
floored TREA used for the consolidated group own funds requirement by multiplying that
consolidated group’s own funds requirement by the proportion38
of the sub-consolidated
RWAs that are attributable to that entity and its subsidiaries in the same Member State, as
applicable.
The consolidated group’s RWAs that are attributable to an entity/subgroup are to be
calculated in accordance with Article 92(6) as the entity’s/subgroup’s RWAs, as if the OF
would apply to its TREA. This would recognise the benefits of risk diversification across the
business models of different entities within the same banking group. At the same time, any
potential increase in the own funds required due to the application of the OF at consolidated
level would have to be distributed fairly across the subgroups which are located in other
Member States than the parent, according to their risk profile.
Article 92(7) replicates the provisions of former Article 92(4), clarifying the calculation
factors to be applied to the various risk types covered by the own funds requirements.
Credit risk framework – standardised approach
The standardised approach for credit risk (SA-CR) is used by the majority of institutions
across the EU to calculate the own funds requirements for their credit risk exposures. In
addition, the SA-CR must serve as a credible alternative to internal model approaches and as
an effective backstop to them. The current SA-CR has been found to be insufficiently risk-
sensitive in a number of areas, leading sometimes to inaccurate or inappropriate measurement
of credit risk (either too high or too low) and hence, to inaccurate or inappropriate calculation
of own funds requirements.
The revision of the SA-CR increases the risk sensitivity of this approach in relation to several
key aspects.
Exposure value of off-balance sheet items
The revised Basel rules text introduced a number of changes to how institutions are to
determine the exposure value of off-balance sheet items and commitments on off-balance
sheet items.
Article 5 is amended to introduce the definition of the term ‘commitment’ and the derogation
of contractual arrangements that meet specific conditions from being classified as
commitments.
Article 111 is amended to align the credit conversion factors (‘CCFs’) applicable to off-
balance sheet exposures to the Basel III standards, by introducing two new CCF of 40% and
10%, respectively, and removing the 0% CCF. The treatment of the commitments on off
balance-sheet items is also clarified with regard to the CCFs applicable to determine their
exposure value.
The exemption introduced in Article 5, in accordance with Basel III standards, will allow
institutions, however, to continue to apply a 0% CCF to specific contractual arrangements for
corporates, including SMEs, that are not classified as ‘commitments’. Furthermore, Article
38
The proportion is calculated with respect to the consolidated group’s RWAs.
EN 13 EN
495d introduces a transitional period whereby institutions are permitted to apply a 0% CCF to
unconditionally cancellable commitments until 31 December 2029; after this date,
incrementing CCF value will be phased-in over the next three years, with the CCF value at the
end of the phasing-in period reaching 10%. This transitional period will allow the EBA to
assess whether the impact of a 10% CCF for those commitments would not lead to unintended
consequences for certain types of obligors that rely on those commitment as a source of
flexible funding. On the basis of that assessment, the Commission will need to decide whether
to submit to the European Parliament and to the Council a legislative proposal to amend the
CCF to be applied to unconditionally cancellable commitments.
The classification of off-balance sheet items in Annex I is amended in accordance with the
revised Basel III standards to better reflect the grouping of those items in buckets based on
applicable CCFs.
Article 111 is further amended to introduce a mandate for EBA to specify technical elements
that would allow institutions to correctly assign their off-balance sheet exposures to the
buckets in Annex I, and hence to correctly calculate the exposure value for these items.
Exposures to institutions
The revised Basel III standards amended the current treatment of exposures to institutions,
introducing the Standardised Credit Risk Assessment Approach (SCRA) alongside the
existing External Credit Risk Assessment Approach (ECRA). While the ECRA relies on
external credit risk assessments (i.e. credit ratings) provided by eligible credit assessment
institutions (ECAIs), to determine the applicable risk weights, under the SCRA institutions
are required to classify their exposures to institutions into one of three buckets (“grades”).
Article 120 is amended in line with the Basel III standards to lower the risk weight applicable
to exposures to institutions for which a credit quality step 2 credit assessment by a nominated
ECAI is available, and to include in the scope of short-term exposures those which arise from
the movement of goods across national borders with an original maturity of six months or
less.
Article 121 is amended to introduce the SCRA provided by the Basel III standards for
exposures to institutions for which no credit assessment by a nominated ECAI is available.
This approach requires institutions to classify their exposures to these institutions into one of
three grades based on several quantitative and qualitative criteria. In order to avoid a
mechanistic application of the criteria, institutions are subject to the due diligence
requirements set out in Article 79 of the CRD as for exposures to institutions for which a
credit assessment by a nominated ECAI is available when assigning the applicable risk
weight. This ensures that the own funds requirements appropriately and conservatively reflect
the creditworthiness of the institutions’ counterparties regardless of whether the exposures are
externally rated or not. In line with the Basel III standards, the current option of risk-
weighting exposures to institutions based on their sovereigns’ ratings is removed to break the
link between institutions and their sovereigns.
Article 138 is amended in line with the Basel III standards to break the bank-sovereign link
also for rated institutions by prohibiting that credit assessments by a nominated ECAI from
incorporating assumptions of implicit government support, unless the ratings refer to public
sector institutions.
Exposures to corporates
Article 122 is amended in line with the Basel III standards to lower the risk weight applicable
to exposures to corporates for which a credit quality step 3 credit assessment by a nominated
ECAI is available.
EN 14 EN
With the implementation of the OF, institutions using internal models to calculate own funds
requirements for exposures to corporates would also need to apply the SA-CR which relies on
external ratings to determine the credit quality of the corporate borrower. Most EU corporates,
however, do not typically seek external credit ratings, due to the cost of establishing a rating
and other factors. Given that own funds requirements calculated under the SA-CR are, on
average, more conservative for unrated corporates than for corporates that have a rating, the
implementation of the OF could cause substantial increases in own funds requirements for
institutions using internal models. To avoid disruptive impacts on bank lending to unrated
corporates and provide enough time to establish public and/or private initiatives aimed at
increasing the coverage of credit ratings, Article 465 is amended to provide for a specific
transitional arrangement for exposures to unrated corporates when calculating the OF During
the transitional period, institutions are allowed to apply a preferential risk weight of 65% to
their exposures to corporates that do not have an external rating, provided that those
exposures have a probability of default (PD) of less or equal to 0.5% (this corresponds to an
‘investment grade’ rating). This treatment applies to all unrated corporates, irrespective of
whether they are listed or not. EBA shall monitor the use of the transitional treatment and the
availability of credit assessments by nominated ECAIs for exposures to corporates. EBA will
be required to monitor the use of the transitional treatment and prepare a report on the
appropriateness of its calibration. On the basis of that report, the Commission will need to
decide whether to submit to the European Parliament and to the Council a legislative proposal
on the treatment of unrated corporate exposures of high credit quality. .
Measures to improve the availability of external ratings for corporates are proposed through
amendments to Article 135.
Treatment of specialised lending exposures
Promoting viable infrastructure projects and other specialised projects is of vital importance
for the economic growth of the Union. Specialised lending by institutions is also a defining
characteristic of the Union economy, as compared with other jurisdictions where such projects
are predominantly financed by capital markets. Large institutions established in the EU are
major providers of funding for specialised projects, objects finance and commodities finance,
in the Union and globally; as such, they have developed a high level of expertise in those
areas. Business is conducted mainly with special purpose entities that typically serve as
borrowing entities and for which the return on the investment is the primary source of
repayment of the financing obtained.
In line with the Basel III standards, a specialised exposures class as well as two general
approaches to determine applicable risk weights for specialised exposures, one for externally
rated exposures and one for exposures which are not externally rated, are introduced under the
SA-CR in the new Article 122a. Project finance, object finance and commodities finance
exposure classes are introduced under the SA-CR, in line with the same three subcategories in
the internal ratings-based (IRB) approaches.
Since the new standardised treatment under the Basel III framework for unrated specialised
lending exposures is not sufficiently risk-sensitive to reflect the effects of comprehensive
security packages usually associated with some object finance exposures in the Union,
additional granularity is introduced in the SA-CR for these exposures. Unrated object finance
exposures that benefit from a prudent and conservative management of the associated
financial risks by complying with a set of criteria capable to lower their risk profile to a
standard of “high quality” benefit from a favourable capital treatment when compared to the
general treatment of unrated object finance exposures under the Basel III standards. The
EN 15 EN
determination of what constitutes “high quality” for object finance is subject to further
specific conditions to be developed by EBA through draft regulatory technical standards.
The preferential treatment introduced in CRR II to foster bank finance and private investment
in high quality infrastructure projects (‘infrastructure supporting factor’) provided in Article
501a is maintained under both the SA-CR and the IRB approaches for credit risk with targeted
clarifications, resulting in lower own funds requirements for infrastructure projects than the
specific treatment provided by the Basel III standards. However, the preferential treatment
provided in the new Article 122a for “high quality” project finance exposures will only apply
to exposures to which institutions do not already apply the ‘infrastructure supporting factor’
treatment under Article 501a to avoid an unjustified reduction in own funds requirements.
Retail exposures
Article 123 is amended to further align the classification of retails exposures under SA-CR
with the classification under the IRB approaches so as to ensure a consistent application of the
correspondent risk weights to the same set of exposures. Article 123 is also amended to
introduce a preferential risk-weight treatment of 45% for revolving retail exposures that meet
a set of conditions of repayment or usage capable to lower their risk profile, defining them as
exposures to “transactors”, in line with the Basel III standards. Exposures to one or more
natural persons that do not meet all the conditions to be considered retail exposures are to be
risk weighted at 100%.
Exposures with currency mismatch
A new Article 123a is inserted to introduce a risk-weight multiplier requirement for unhedged
retail and residential real estate exposures to individuals where there is a mismatch between
the currency of denomination of the loan and that of the obligor's source of income. As set out
in the final Basel III standards, the multiplier is set at the level of 1.5, subject to a cap for the
resulting final risk weight of 150%. Where the currency of the exposures is different from the
domestic currency of the country of residence of the obligor, institutions may use all
unhedged exposures as a proxy.
Exposures secured by real estate
In line with the final Basel III standards, the treatment of the real estate exposure class is
amended to increase further the granularity with regard to the inherent risk posed by different
types of real estate transactions and loans.
The new risk weight treatment maintains the distinction between residential and commercial
mortgages, but adds further granularity according to the type of financing of the exposure
(dependent or not on income streams generated by the collateralised property) and according
to the phase the property is in (construction phase vs. finalised property).
One novelty is the introduction of a specific treatment of income producing real estate (IPRE)
mortgage loans, i.e. that mortgage loans the repayment of which is materially dependent on
the cash flows generated by the property securing those loans. Evidence gathered by the Basel
Committee shows that those loans tend to be materially riskier than mortgage loans the
repayment of which are materially dependent on the underlying capacity of the borrower to
service the loan. However, under the current SA-CR, there is no specific treatment for such
riskier exposures, even though this dependence on cash flows generated by the property
securing the loan is an important risk driver. The lack of a specific treatment may result in
insufficient levels of own funds requirements to cover unexpected losses on this type of real
estate exposures.
EN 16 EN
In Article 4, several definitions are amended, replaced or newly inserted to clarify the
meaning of the various types of exposures secured by mortgages on immovable property in
line with the revised treatments in Part III (points (75) to (75g)).
Article 124 is replaced to set out in paragraphs 1 to 5 the general and some specific
requirements for the assignment of risk weights for exposures secured by mortgages on
residential immovable property and commercial immovable property, respectively, including
for (residential and commercial) IPRE mortgages. Paragraphs 6 to 10 retain the current
periodic assessment of the appropriateness of the standard risk weights and the process to
increase them at the discretion of the designated authority.
Article 125 is replaced to implement the revised Basel III treatment for exposures secured by
mortgages on residential property. While the loan splitting approach, which splits mortgage
exposures into a secured and an unsecured part and assigns the corresponding risk weight to
each of these two parts, is retained, its calibration is adjusted in line with the Basel III
standards whereby the secured part of the exposure up to 55% of the property value receives a
risk weight of 20%. This calibration of the risk weight for the secured part addresses the
situation where the institution may incur additional unexpected losses even beyond the haircut
that is already applied to the value of the property when selling it in case of a default of the
obligor. Furthermore, Article 125 provides a more risk-sensitive fall-back treatment
depending on the exposure-to-value (ETV) ratio for residential mortgages where the property
is not eligible for the loan-splitting (e.g. because it is not finished).
The amended Article 125 also lays down a dedicated and more granular risk weight treatment
which applies to residential IPRE exposures unless the so-called “hard test” is met: where the
competent authority of the Member State where the property securing the mortgage is located
has published evidence showing that the property market is well-developed and long-
established with yearly loss rates which do not exceed certain thresholds, the same
preferential risk weights may be applied to residential IPRE exposures as for other residential
exposures where the risk of the borrower does not materially depend on the performance of
the property.
Article 126 is replaced to implement the revised Basel III treatment for exposures secured by
mortgages on commercial immovable property. Conceptually, it mirrors the treatment for
residential real estate exposures: the well-established loan splitting approach is maintained
and its calibration is adjusted in line with the Basel III standards whereby the secured part of
the exposure up to a property value of 55% receives a risk weight of 60%. Furthermore,
Article 126 provides a more risk-sensitive fall-back treatment depending on the ETV ratio for
commercial mortgages where the property is not eligible for the loan-splitting.
A dedicated and more granular risk-weight treatment for commercial IPRE exposures is
introduced via amendments to Article 126 while keeping the “hard test”, which allows
institutions to apply the same preferential risk weights to income-producing and other
commercial real estate exposures secured by property located in markets where the yearly loss
rates do not exceed certain thresholds.
Loans financing land acquisition, development or construction (ADC) of any residential or
commercial immovable properties incur a heightened risk. That heightened risk is due to the
fact that the source of repayment at origination of the loan is either a planned, but uncertain
sale of the property, or substantially uncertain cash flows. The current treatment of
speculative immovable property financing is based solely on the borrower’s intention to resell
the property for a profit, without taking into account to which extent the repayment is actually
certain. Therefore, a new definition is introduced in Article 4 and a new Article 126a is
inserted to introduce the specific risk weight treatment of 150% provided by the Basel III
EN 17 EN
standards for loans to companies or special purpose vehicles financing ADC of any residential
or commercial property. In turn, the current risk weight treatment of 150% for “speculative
immovable property financing” is removed as it is solely based on the borrower’s intention to
resell the property for a profit, without taking into account to which extent the repayment is
actually uncertain. In line with the Basel III standards, Article 126a allows to assign a risk
weight of 100% to residential ADC exposures provided that certain risk-mitigating conditions
(in terms of underwriting standards, proportion of pre-sale or pre-lease contracts and equity at
risk) are met.
To reduce the impact of cyclical effects on the valuation of property securing a loan and to
keep own funds requirements for mortgages more stable, the final Basel III standards cap the
value of the property recognised for prudential purposes at the value measured at loan
origination, unless modifications “unequivocally” increase the value of the property. At the
same time, the standards do not oblige banks to monitor the development of property values.
Instead, they only require adjustments in case of extraordinary events. By contrast, the current
SA-CR applicable in the EU requires institutions to regularly monitor the value of property
pledged as collateral. Based on this monitoring, institutions are required to make upwards or
downwards adjustments to the property (irrespective of the property value at loan origination).
Article 208 is amended to reduce the impact of cyclical effects on the valuation of property
securing loans and to keep own funds requirements for mortgages more stable. In particular,
the current requirement for frequent monitoring of property values is kept, allowing for
upwards adjustment beyond the value at loan origination (unlike the Basel III standards), but
only up to the average value over the last three years in case of commercial immovable
property and over the last six years in case of residential immovable property. For immovable
property collateralising covered bonds, it is clarified in Article 129 that competent authorities
may allow institutions to use the market value or the mortgage lending value without limiting
increases in the property value at the average over the last three or six years, respectively.
Furthermore, it is clarified in Article 208 that modifications made to the property that improve
the energy efficiency of the building or housing unit must be considered as unequivocally
increasing its value. Finally, institutions are allowed to carry out the valuation and revaluation
of properties by means of advanced statistical or other mathematical methods, developed
independently from the credit decision process, subject to the fulfilment of a number of
conditions, which are based on EBA Guidelines on loan origination and monitoring
(EBA/GL/2020/06), and subject to supervisory approval.
Article 465 is amended to provide for a specific transitional arrangement for low-risk
exposures secured by mortgages on residential property when calculating the output floor.
During the transitional period Member States may allow institutions to apply a preferential
risk weight of 10% to the secured part of the exposure up to 55% of the property value, and a
risk weight of 45% to the remaining part of the exposure up to 80% of the property value,
provided certain conditions are met aimed at ensuring that they are low risk, and verified by
the competent authority. EBA will be required to monitor the use of the transitional treatment
and prepare a report on the appropriateness of its calibration. On the basis of that report, the
Commission will need to decide whether to submit to the European Parliament and to the
Council a legislative proposal on low-risk exposures secured by mortgages on residential
property.
Subordinated debt exposures
Article 128 is replaced to implement the revised treatment for exposures to subordinated debt
provided by the final Basel III standards (i.e. a risk weight of 150%).
Equity exposures
EN 18 EN
Article 133 is replaced to implement the revised treatment for equity exposures under the final
Basel III standards. The scope of the equity exposure class is clarified by providing a
definition of equity exposures and specifying which other instruments are to be categorised as
equity exposures for the purpose of calculating the risk weighted assets for credit risk.
To increase the risk-sensitivity of the SA-CR, the revised risk weights reflect the higher loss
risk of equity compared to debt exposures via a risk weight of 250% and differentiate between
long-term and riskier speculative investments which are assigned a risk weight of 400%. In
order to avoid unwarranted complexity, the classification of long-term exposures refers to the
holding period approved by the institution’s senior management as central criterion.
Equity exposures incurred under legislative programmes to promote specified sectors of the
economy that provide significant subsidies for the investment to the institution and involve
some form of government oversight may be assigned a risk weight of 100% subject to a
threshold of 10% of the institution’s own funds and supervisory approval. Such subsidies may
also be in the form of general guarantees by multilateral development banks, public
development credit institutions and international organisations. This is to reflect the fact that
the European Investment Bank Group, multilateral development banks, public development
credit institutions and Member States are setting up such ‘legislative programmes’, often
based on general public guarantees and linked to financial recovery and resilience plans, to
mobilise private capital, including to support strategic businesses.
Equity exposures to central banks remain subject to a risk weight of 100%.
Finally, Article 133 provides a floor for equity exposures that are recorded as a loan but arise
from a debt/equity swap made as part of the orderly realisation or restructuring of the debt: in
line with the Basel III standard, the applicable risk weight must not be lower than the risk
weight that would apply if the holdings remained in the debt portfolio.
Many EU banks hold long-standing, strategic equity participations in financial and non-
financial corporates. The Basel III standards increase the RWs for all kinds of equity
exposures over a 5-year transition period without providing a specific treatment for strategic
equity investments. Applying the more conservative approach embedded in the Basel III
standards to the whole stock of existing equity holdings could jeopardise the economic
viability of existing strategic relationships.
In view of this, Article 49 is amended to set the risk weight applicable to equity exposures to
financial sector entities included in the same scope of prudential consolidation (group) or –
subject to supervisory approval – to institutions falling within the same institutional protection
scheme at 100% thereby preserving the current treatment for most entities concerned.
Furthermore, a new Article 495a is inserted to set out a gradual phasing-in of the new risk
weights applicable to equity exposures. Furthermore, the new Article provides for a
grandfathering of the current treatment of historic and strategic equity investments that have
been holding by an institution over the last ten years in entities, including in insurance
undertakings, over which it exercises significant influence.
Defaulted exposures
Article 127 is amended to clarify the risk weight treatment of discounts on purchases of non-
performing exposures (NPEs), as announced in the Communication on “Tackling non-
performing loans in the aftermath of the COVID-19 pandemic”. To this end, the proposal
clarifies that institutions can take into consideration the discount on purchased defaulted
assets when determining the appropriate risk-weight to be applied to defaulted exposure. This
complements EBA’s ongoing work aimed at amending the RTS on credit risk adjustments.
EN 19 EN
Further amendments to Article 127 align the language with the one used in the revised Basel
III standards.
Use of credit assessments by External Credit Assessment Institutions and mapping
To inform any future initiative on the set-up of public or private rating schemes, Article 135 is
amended to mandate the European Supervisory Authorities (ESAs) to prepare a report on the
impediments to the availability of external credit ratings by ECAIs, in particular for
corporates, and on possible measures to address them.
Credit risk framework – internal ratings-based approaches
Reduction of the scope of internal rating based approaches
Own funds requirements for credit risk that are based on institutions’ internal models have
important benefits in terms of risk sensitivity, institutions’ understanding of their risks as well
as the level playing field between among institutions across the Union. However, the financial
crisis highlighted important deficiencies in the IRB approaches. A range of studies conducted
at both international and EU level found an unacceptably wide variation in capital
requirements across institutions that cannot be explained solely by differences in the riskiness
of institutions’ portfolios. This hinders the comparability of capital ratios and it impacts the
level playing field among institutions. Also, the crisis has revealed instances where the losses
incurred by institutions on some portfolios were significantly higher than the model
predictions, which resulted in insufficient levels of capital held by individual institutions.
Institutions have done so because the applicable framework contained insufficient limits as
regards the availability of IRB approaches for exposures classes that are difficult to model,
and because the framework in principle compelled those institutions that intended to use the
IRB approach for some of their exposures to roll it out to all exposures
Articles 150 and 151(8) are amended to limit the exposures classes for which internal models
can be used to calculate own funds requirements for credit risk, implementing the Basel III
standards. Specifically, the use of the advanced IRB (A-IRB) approach, which allows the
modelling of all risk parameters, is only allowed for those exposure classes for which robust
modelling is possible whereas other exposure classes are “migrated” to less sophisticated
approaches:
 for exposures to corporates with total consolidated annual sales greater than EUR
500 million or belonging to a group where the total annual sales for the consolidated
group is more than EUR 500 million (‘large corporates’), for exposures to
institutions and to other financial sector entities (including those treated as
corporates), the use of the advanced IRB approach is no longer available – for those
exposures, institutions can use the foundation IRB (F-IRB) approach and hence only
model the PD;
 for equity exposures, the IRB approach is no longer available - for those exposures,
institutions must use the SA-CR.
Limiting the use of advanced modelling approaches is expected to remove an important
source of undue variability in RWAs and thereby improve the comparability of own funds
requirements. In addition, it will remove a source of unnecessary complexity from the
framework.
EN 20 EN
New exposure class for regional governments and local authorities as well as public sector
entities
Currently, exposures to public sector entities (PSEs) and to regional governments and local
authorities (RGLAs) can be treated either as exposures to central governments or as exposures
to institutions. Those treated as exposures to institutions would need to be migrated to the F-
IRB approach under the revised Basel III standards and hence be subject to the modelling
constraints, whereas exposures treated as exposures to central governments would not. To
reduce undue complexity in the framework, ensure a consistent treatment of exposures to
PSEs and RGLAs and avoid unintended variability in the related own funds requirements, it is
proposed to create a new ‘PSE-RGLA’ exposure class in Article 147(2), to which all
exposures to those entities will be assigned (irrespective of their current treatment as
sovereign exposures or as institution exposures), and to apply to this new exposure class the
same rules that are applicable to the general corporates exposure class, as provided in a new
Article 151(11). In particular, the input floors applicable to corporate exposures would apply
in the same manner to exposures belonging to the PSE-RGLA exposure the Basel III class.
Input floors under the A-IRB approach
Articles 160(1), 161(4), 164(4), and 166(8c) are amended to introduce minimum values for
institutions’ own estimates of IRB parameters that are used as inputs to the calculation of
RWAs (‘input floors’). These input floors act as safeguards to ensure that own funds
requirements do not fall below sufficiently prudent levels, mitigating model risk,
measurement error, data limitations, and improving the comparability of capital ratios across
institutions.
Concerning the PD risk parameter, the existing input floors are slightly increased (from 0.03%
under Basel II to 0.05% under Basel III). For the loss given default (LGD) and CCF risk
parameters, on the other hand, the input floors are new requirements, calibrated in a prudent
manner. The LGD input floor for unsecured corporates exposures is set at 25%, and for
unsecured general retail exposures at 30%. A formula including conservative haircuts by
collateral type is provided for secured exposures, while the IRB-specific CCF input floor are
set according to the 50% of the applicable standardised approach CCF.
Treatment of sovereign exposures
A new Article 159a is added to specify in line with the Basel III standards that the new input
floors (described under the previous section) applicable to institutions’ own PD, LGD and
CCF estimates are not applicable to sovereign exposures.
Deletion of the “1,06 scaling factor” in the risk weight formula
In line with the Basel III standards, Articles 153(1) and 154(1) are amended to delete the
“1,06 scaling factor” that applies to the risk weighted exposure amounts for credit risk under
the IRB approaches thereby simplifying the calculation and cancelling the 6% calibration
increase in the IRB risk weights that apply under the current framework.
Removal of the “double default” treatment
Articles 153(3), 154(2), 202 and 217 are amended to remove the double default method
applicable to some guaranteed exposures, leaving only one general formula for the calculation
of risk weights and simplifying the framework, as provided by the Basel III standards. With
fewer embedded options, the revised calculation ensures greater comparability of RWAs
across institutions and a reduction of undue variability.
EN 21 EN
Roll-out of the IRB approaches and the permanent partial use
Under the final Basel III standards, the adoption of the IRB approaches for one exposure class
by an institution is no longer conditioned to the fact that all the exposure classes of its banking
book should eventually be treated under the IRB approach (‘IRB roll out’) except for those
exposures for which a permanent partial use (PPU) of the SA-CR is permitted by the rules and
approved by the competent authority. This new principle is implemented in Articles 148 and
150, allowing institutions to apply the IRB approaches selectively.
In order to provide a level playing field between those institutions which are currently treating
their exposures under one of the IRB approaches and those which are not, transitional
arrangements are set out in a new Article 494d which allow institutions to revert to the SA-
CR during a three year period subject to competent authorities’ approval under a simplified
procedure.
Revised risk parameter under the foundation IRB approaches
Article 161(1) is amended to implement the recalibrated LGD values for senior unsecured
exposures to corporates (LGD of 40% instead of 45%). The LGD value for dilution risk of
purchased corporate receivables is also amended so as to be aligned with the Basel treatment.
Revised scope and calculation methods for own estimates of credit conversion factors
Article 166(8), (8a), (8b) and (8d) and Article 182 are amended to revise the scope and
calculation methods for the computation of own estimates of CCFs which are used to
determine the exposure value of off-balance sheet items other than derivatives contracts. In
particular, the new provisions require the use of a fixed period of 12 months prior to default to
estimate own estimates of CCFs, and allow the use of own estimates only for specific
commitments for which the corresponding standardised CCF is lower than 100%.
Guarantees provided by protection providers treated under a less sophisticated approach
The Basel III standards have significantly revised the methodologies that institutions are
allowed to use to recognise the risk mitigating effects of eligible guarantees with the view to,
among others, limit the range of approaches and therefore reduce the variability of own funds
requirements. To this end, the Basel III standards generally provide for the risk-weight to be
applied to the secured part of the exposure to be the one that should be computed according to
the approach applied to comparable direct exposures to the protection provider. Where an
exposure which is treated under the A-IRB approach is guaranteed by a guarantor which is
treated under the F-IRB approach or the SA-CR, recognition of that guarantee leads to the
guaranteed exposure to be treated under the F-IRB or the SA-CR, respectively. Recognition of
guarantees in the A-IRB approach will need to be done through the use of one of the
following approaches:
 the substitution of the risk weight approach, substituting the risk weight of the
obligor by the risk weight of the guarantor if comparable direct exposures towards
the guarantor are treated under the SA-CR (Article 235a);
 the substitution of risk parameters approach, substituting the risk parameters of the
obligor by the risk parameters associated to comparable direct exposures to the
guarantor if comparable direct exposures towards the guarantor are treated under the
IRB approach (Article 236a); or
 the adjustment of the LGD or of both PD and LGD estimates (Article 183); under
this approach, the proposal clarifies that the recognition of a guarantee should never
lead to a risk-weight applicable to the guaranteed exposure, which is lower than that
of a approach comparable direct exposure to the guarantor. This is intended to
EN 22 EN
safeguard the consistency of the framework in terms of risk assessment, avoiding the
situation that an indirect exposure to a particular protection provider could benefit
from a lower risk weight than a comparable direct exposure where that same
protection provider is the obligor.
Specialised lending exposures under the A-IRB approach
The new modelling restrictions under the Basel III standards are relatively limited as regards
the treatment of specialised lending exposures under the IRB approaches. While parameter
floors do apply, the A-IRB approach remains available independently of the size of the
obligor, unlike the treatment applicable to other corporate exposures. However, the new
parameter floors applicable to corporate exposures also apply to specialised lending exposures
without giving recognition to the specific lending practices which entail security arrangements
to mitigate the credit risk.
Therefore, a new Article 495b is inserted to phase-in the new floors, starting with a 50%
discount factor which increases gradually to 100% over a 5-year period. Furthermore, the
Article mandates EBA to assess the adequacy of the PD and LGD input floors applicable to
specialised lending exposures and empowers the Commission to revise the parameters by a
delegated act based on EBA’s assessment..
Enabling clauses for leasing exposures and credit insurance
A high level of expertise and risk management has been developed by institutions in the EU
in the area of leasing, as well as in the use of credit insurance, in particular for trade finance
purposes. In the absence of sufficient data, it remains unclear whether the new risk parameters
are calibrated appropriately to reflect the risk mitigating effect of leasing collateral and,
respectively, which features credit insurance policies must possess to be recognised as eligible
credit protection.
Therefore, a new Article 495c is inserted mandating EBA to assess the appropriateness of the
Basel III risk calibration of the parameters applicable to leasing exposures, in particular the
new collateral haircuts (‘volatility adjustments’) and regulatory values for secured LGD. The
Commission is empowered to revise the calibration via a delegated act, if appropriate, taking
into account EBA’s report. In the meantime, a 5-year phasing-in applies to the new risk
parameters under the A-IRB approach.
Furthermore, a new Article 495d is inserted mandating EBA to report to the Commission on
the eligibility and the use of credit insurance as a credit risk mitigation technique and on the
appropriate risk parameters they should be associated with under the SA-CR and foundation
IRB approach. Based on that report, the Commission is required to submit, if appropriate, a
legislative proposal on the use of credit insurance as a credit risk mitigation technique.
Credit risk framework – credit risk mitigation techniques
Articles 224 to 230 are amended to implement the Basel III rules and methods for taking into
account collateral and guarantees under both the SA-CR and the F-IRB approach. In
particular, the supervisory haircuts applicable to financial collateral under the financial
collateral comprehensive method have been revised, and so have the values of secured
LGDs and collateral haircuts applicable to exposures treated under the F-IRB.
Article 213(1), point (c)(iii), and Article 215(2) are amended to clarify the eligibility criteria
for guarantees and, respectively, guarantees provided in the context of mutual guarantee
schemes or provided by or counter-guaranteed by some entities. Those clarifications should
notably provide further clarity on the eligibility as credit risk mitigation techniques of public
guarantee schemes set up in the context of the COVID-19 crisis.
EN 23 EN
Market risk framework
In 2016, the BCBS published a first set of revised market risk standards, known as the
fundamental review of the trading book (FRTB) in order to address identified deficiencies of
the market risk capital requirements framework for trading book positions. In the course of
monitoring the impact of the FRTB standards, the BCBS identified a number of issues with
the FRTB standards and, as a result, published revised FRTB standards in January 2019.
In November 2016, the Commission originally proposed to introduce binding own funds
requirements based on the FRTB standards as part of the CRR II to address the deficiencies of
the market risk framework. However, given the BCBS’s subsequent decision to revise those
standards, with timelines incompatible with the milestones in the CRR II negotiation process,
the European Parliament and the Council agreed to implement the FRTB standards in the
CRR II only for reporting purposes. The introduction of own funds requirements based on the
FRTB standards was left for later, by way of adoption of a separate legislative proposal.
In order to introduce binding own funds requirements for market risk in line with the revised
FRTB standards, a number of amendments are made to the CRR.
Subject matter, scope and definitions
Article 4 is amended to clarify the definition of trading desk.
Elements of own funds
Article 34 is amended to include a derogation allowing institutions to reduce the total
additional value adjustments under extraordinary circumstances, based on an opinion
provided by EBA, in order to address the pro-cyclicality embedded in the additional value
adjustments deducted from CET1 capital.
General requirements, valuation and reporting
Article 102 is amended to introduce the FRTB approaches for the purpose of the calculation
of own funds requirements. Article 104 is replaced to revise the criteria used to assign
positions to the trading book or to the non-trading book (i.e. the banking book); it introduces
also a derogation which allows an institution to assign to the non-trading book specific
instruments that would otherwise be assigned to the trading book; the derogation is subject to
very strict conditions and to an approval by the institution’s competent authority. Article 104a
is amended to further specify the conditions that need to be used for reclassifying an
instrument between the two books. Article 104b is amended to introduce a derogation that
allows institutions to create dedicated trading desks to which institutions can allocate
exclusively non-trading book positions subject to foreign exchange risk and commodity risk.
Article 104c is introduced to specify the treatment of hedges of foreign exchange risk in
capital ratios, which allows institutions to exclude, under certain conditions, some positions
from the calculation of the own funds requirements for foreign exchange risk. Article 106 is
amended to clarify to the existing provisions on internal risk transfers.
General provisions
Article 325 is amended to introduce binding own funds requirements for market risk based on
the FRTB approaches set out in Chapters 1a (alternative standardised approach or A-SA), 1b
(alternative internal model approach or A-IMA) and 2 to 4 (simplified standardised approach
or SSA), as well as conditions for their use and the frequency of calculation of the own funds
requirements. A derogation for institutions from calculating own funds requirements for
positions subject to foreign exchange risk that are deducted from their own funds is also
introduced.
EN 24 EN
Article 325a is amended to introduce the eligibility criteria for using the SSA.
Article 325b clarifies the calculation of own funds requirements for market risk on a
consolidated basis.
The alternative standardised approach
Article 325c is amended to introduce additional qualitative requirements related to the
validation, documentation and governance of the A-SA.
Article 325j is amended to clarify certain elements of the final FRTB standards with regards
to the treatment of investments in funds (i.e. collective investment undertakings or CIUs) and
to introduce some targeted adjustments to the calculation of the own funds requirements for
these positions to ensure that the treatment of CIUs under the standardised approach does not
disproportionately increase the complexity of the calculation and is less penalising, given that
CIUs play a crucial role in facilitating the accumulation of personal savings, whether for
major investments or for retirement. These objectives are addressed by specifying that
institutions should apply the look-through approach with a monthly frequency for those
positions in CIUs concerned by that approach, and by allowing institutions, under specific
conditions, to use data provided by relevant third-parties in the calculation of the own funds
requirements under the look-through approach. In addition, under the mandate-based
approach, Article 325j introduces a mandate for the EBA to further specify the technical
elements that the institutions must use to build up the hypothetical portfolio used in the
calculation of the own funds requirements.
Article 325q is amended to clarify the treatment of foreign exchange vega risk factors.
Article 325s is amended to adjust the formula for vega risk sensitivities.
Article 325t is amended to further align the sensitivities used for the calculation of own funds
requirements with the ones used for the risk management of the institution.
A provision related to traded non-securitisation credit and equity derivatives is moved from
Article 325ab to the more relevant Article 325v.
Articles 325y, 325am, 325ah and 325ak are amended similarly to clarify the assignment of
credit quality categories under the A-SA.
Article 325ae is modified to clarify the treatment of the inflation risk factor and of cross
currency basis risk factors.
Articles 325ah and 325ak are amended to clarify the risk weights of covered bonds (both
externally rated and unrated).
Article 325ai and 325aj are amended to clarify the value of correlation parameters.
Article 325as is modified to introduce a lower risk weight for the commodity delta risk factor
related to carbon trading emissions. Under the final Basel III standards, emission allowances
are assimilated to electricity contracts, which could be considered too conservative in light of
historical data relevant to the EU market for emission allowances. Indeed, the creation of the
Market Stability Reserve by the Commission in 2015 has stabilised the volatility of the price
of Emissions Trading System (ETS) allowances. This justifies creating a specific risk
category for ETS allowances under the A-SA, distinct from electricity, with a lower risk
weight equal to 40% to better reflect the actual price volatility of this EU-specific commodity.
Article 325ax is amended to clarify the risk weights for sensitivities to vega risk factors.
The alternative internal model approach
EN 25 EN
Article 325az is amended to clarify the conditions that the institutions must comply with in
order to be granted the permission to use the A-IMA for the calculation of own funds
requirements for market risk.
Article 325ba is amended to introduce the formula for the aggregation of the own funds
requirements calculated under the A-IMA.
Article 325bc is amended to introduce a RTS mandate for EBA to specify the criteria for the
use of data inputs in the risk-measurement model.
Article 325be is amended to specify new powers for the competent authorities with regards to
the assessment of the modellability of the risk factors performed by institutions using the A-
IMA.
Article 325bf is amended to introduce new powers for competent authorities to address model
deficiencies and with respect to the back-testing requirements performed by institutions using
A-IMA.
Article 325bg is amended to introduce binding requirements on P&L attribution performed by
institutions using the A-IMA.
Article 325bh is amended to introduce adjustments for calculating the own fund requirements
for market risk for CIUs positions under the A-IMA, in particular to ensure that more CIUs
could be eligible under the approach. Similarly to the amendments made to the CIU treatment
under the A-SA, institutions are allowed, under specific conditions, to use data provided by
relevant third-parties in the calculation of the own funds requirements under the look-through
approach, and are required to apply the look-through approach with a minimum weekly
frequency.
Article 325bi is amended to clarify the responsibilities of the risk control unit and the
validation unit with respect to the risk management system.
Article 325bp is amended to further clarify the situations in which institutions are permitted to
use an IRB model to estimate default probabilities and loss given default for the calculation of
the own funds requirement for default risk.
Article 337, Article 338, Article 352 and Article 361 are amended to replace, or delete,
provisions that are no longer relevant for using the SSA.
Use of internal models to calculate own funds requirements
Chapter 5 is deleted since the current internal model approach (IMA) used to calculate the
own funds requirements for market risk is replaced by the A-IMA set out in Chapter 1b.
Delegated and Implementing acts
Given the uncertainty of whether major jurisdictions will deviate from the final Basel III
standards in their implementation of FRTB and the importance of ensuring a level playing
field in practice between institutions established in the Union and their international peers,
Article 461a empowers the Commission to adopt delegated acts to amend the approaches to
calculate the own funds requirements for market risk, and to amend the date of entry into
application of these approaches in order to align them with international developments.
Credit valuation adjustment (CVA) risk framework
The credit valuation adjustment (CVA) is a fair-value accounting adjustment to the price of a
derivative transaction, aiming to provision against potential losses due to the deterioration in
the creditworthiness of the counterparty to that transaction. During the GFC, a number of
systemically important banks incurred significant CVA losses on their derivatives portfolios
EN 26 EN
because of the deterioration of many of their counterparties’ creditworthiness at the same
time. As a result, the BCBS introduced in 2011, as part of the first set of Basel III reforms,
new standards to calculate capital requirements for CVA risk to ensure that banks’ CVA risk
would be covered with sufficient capital in the future. These Basel standards were transposed
in Union law in 2013 through the CRR.
However, concerns were raised by banks and supervisors that the 2011 standards did not
appropriately capture the actual CVA risk banks were exposed to. In particular, three specific
criticisms were raised with respect to those standards: i) that the approaches set out in those
standards lack risk-sensitivity, ii) that they do not recognise CVA models developed by banks
for accounting purposes, and iii) that the approaches set out in those standards do not capture
the market risk embedded in the derivative transactions with the counterparty. To address
those concerns, the BCBS published revised standards in December 2017, as part of the final
Basel III reforms, and further adjusted their calibration in a revised publication in July 2020.
In order to align it with the 2020 BCBS standards, a number of amendments are made to the
CRR.
In Article 381, a definition of the meaning of CVA risk is introduced to capture both the
credit spread risk of an institution’s counterparty and the market risk of the portfolio of
transactions traded by that institution with that counterparty.
Article 382 is amended to clarify which securities financing transactions are subject to the
own funds requirements for CVA risk. In addition, a new provision requiring institutions to
report the results of the calculation of the own funds requirements for CVA risk for
transactions exempted in accordance with that Article is introduced. It is additionally
specified that institutions that hedge the CVA risk of those exempted transactions have the
discretion to calculate own funds requirement for CVA risk for those transactions, taking into
account the eligible hedges concerned. Finally, new mandates for the EBA are introduced to
develop guidelines to help supervisors to identify excessive CVA risk and to develop an RTS
to specify the conditions for assessing the materiality of CVA risk exposures arising from
fair-valued securities financing transactions.
Article 382a is inserted to set out the new approaches institutions should use to calculate their
own funds requirements for CVA risk, as well as the conditions for using a combination of
those approaches.
Article 383 is replaced to introduce the general requirements for using the standardised
approach for calculating the own funds requirements for CVA risk, as well as the definition of
regulatory CVA for that purpose. Articles 383a to 383x are inserted to further specify the
technical elements of the standardised approach.
Article 384 is replaced to introduce the basic approach for calculating the own funds
requirements for CVA risk, in line with the Basel III standards.
Article 385 is replaced to introduce the simplified approach for calculating the own funds
requirements for CVA risk, as well as the eligibility criteria for the use of simplified
approach.
Finally, Article 386 is amended to reflect the new requirements applicable to eligible hedges
for the purposes of the own fund requirements for CVA risk.
Minimum haircut floor framework for SFTs
Securities financing transactions (SFTs) play an essential role in the financial system of the
Union by allowing financial institutions to manage their own liquidity position and support
their securities market-making activities. SFTs are also important for central banks as those
EN 27 EN
transactions enable them to transmit, via financial institutions, their monetary policy plans to
the real economy. SFTs can, however, also enable market participants to recursively leverage
their positions by reinvesting cash collateral and re-using non-cash collateral, respectively. To
address the risk of a build-up of excessive leverage outside the banking sector, the Financial
Stability Board (FSB) published in 2013 a recommendation39
to its member jurisdictions to
introduce minimum collateral haircuts for some non-centrally cleared SFTs traded between
banks and non-banks. According to that recommendation, such minimum collateral haircuts
should be introduced, at the discretion of each jurisdiction, either directly via a market
regulation, or indirectly via a more punitive capital requirement; the latter was developed by
the BCBS in 2017 as part of the final Basel III reforms.
The recommendations of EBA in its dedicated report40
on the implementation of the minimum
haircut floors framework for SFTs in Union law and of ESMA in its report41
on SFTs and
leverage in the EU, pointed out, however, that it was not clear what impact the application of
such framework would have on institutions. Those recommendations also expressed concerns
that the application of that framework to certain types of SFTs could create undesirable
consequences to those financial activities. In addition, it is not yet clear whether it would be
more appropriate to apply the framework to institutions as a more punitive own funds
requirement, or rather as a market regulation. Applying the framework to institutions as a
more punitive own funds requirement would allow institutions that would not comply with
those minimum haircut floors to pursue those financial activities, subject to a penalty.
Alternatively, applying the framework as a market regulation would ensure a level-playing
field for all market participants should the Union decide to introduce a similar market
regulation for relevant SFTs between non-banks, as also recommended by the FSB in its
above mentioned 2013 report.
Against this background, Article 519c introduces a mandate for EBA to report, in close
cooperation with ESMA, to the Commission on the appropriateness of implementing in the
Union the minimum haircut floors framework applicable to SFTs. On the basis of this report,
the Commission will, if appropriate, submit a legislative proposal to the European Parliament
and to the Council.
Operational risk
New standardised approach to replace all existing approaches for operational risk
The BCBS has revised the international standard on operational risk in order to address
weaknesses that emerged in the wake of the 2008-2009 financial crisis. Besides the lack of
risk-sensitivity in the standardised approaches, a lack of comparability arising from a wide
range of internal modelling practices under the advanced measurement approaches (AMA)
was identified. Against this background, and in order to enhance the simplicity of the
framework, all existing approaches for the calculation of the own funds requirements for
operational were replaced by a single, non-model-based approach to be used by all
institutions. Although the use of models, such as those developed under the AMA, is no
longer possible under this new framework to determine own funds requirements for
39
FSB: Strengthening Oversight and Regulation of Shadow Banking, 29 August 2013, available at:
https://www.fsb.org/wp-content/uploads/r_130829b.pdf.
40
European Banking Authority: Policy Advice on the Basel III Reforms: Operational Risk, EBA-OP-
2019-09b, 2 August 2019.
41
European Securities and Markets Authority: Report on securities financing transactions and leverage in
the EU, October 2016.
EN 28 EN
operational risk, institutions will still have the discretion to use those models for the purpose
of the internal capital adequacy assessment process (ICAAP).
The new standardised approach is implemented in the Union by replacing Part Three, Title
III, of the CRR. In addition, further adjustments are made to several other articles in the CRR,
mainly i) to introduce clear and harmonised definitions related to operational risk (Article
4(1), points (52a), (52b), and (52c)), as recommended by the EBA in its reply42
to the
Commission’s 2019 Call for Advice, and ii) to reflect the replacement of Title III throughout
the CRR (for instance, former references to Title III in Article 20 are deleted). Lastly, the
EBA is mandated to report to the Commission on the use of insurance in the context of the
revised operational risk framework (Article 519d). That report is needed as some concerns
have emerged in the supervisory community as to whether the new standardised approach for
operational risk may allow for regulatory arbitrage through the use of insurance.
Calculation of own funds requirements for operational risk
According to the final Basel III standards, the new standardised approach combines an
indicator that relies on the size of the business of an institution (Business Indicator
Component or BIC) with an indicator that takes into account the loss history of that
institution. The revised Basel standard envisages a number of discretions on how the latter
indicator may be implemented. Jurisdictions may disregard historical losses for the
calculation of operational risk capital for all relevant institutions, or may take historical loss
data additionally into account for institutions below a certain business size. For the calculation
of the minimum own funds requirements, in order to ensure a level playing field within the
Union and to simplify the calculation of operational risk capital, those discretions are
exercised in a harmonised manner by disregarding historical operational loss data for all
institutions.
The calculation of the BIC is set out in the new Chapter 1 of Title III (new Articles 312 to
315). In the Union, the minimum own funds requirements for operational risk will be solely
based on the BIC (Article 312). The calculation of the BIC, which is based on the so-called
business indicator, is set out in Article 313, while the determination of the business indicator,
including its components and possible adjustments due to mergers, acquisitions or
divestments, is set out in Articles 314 and 315.
Data collection and governance
The new Chapter 2 (new Articles 316 to 323) provides for the rules on data collection and
governance. As a matter of proportionality, those requirements are split into rules that apply
to all institutions, such as the provisions on the operational risk management framework
(Article 323), and rules that are only relevant for institutions that also have to disclose
historical loss data (Article 446(2)) and thus have to maintain a loss data set (Article 317). In
the Union, in line with the EBA reply to the Commission’s 2019 Call for Advice, all
institutions with a business indicator equal to or above EUR 750 million will be required to
maintain a loss data set and to calculate their annual operational risk losses for disclosure
purposes. To ensure that the new framework remains proportionate, competent authorities will
be able to grant a waiver from that requirement, unless the business indicator of an institution
exceeds EUR 1 billion (Article 316). With a view to ensure a certain stability over time, in
42
EBA, Policy advice on the Basel reforms: Operational Risk, EBA/OP/2019/09b, 2 August 2019,
available at:
https://www.eba.europa.eu/sites/default/documents/files/documents/10180/2886865/5db69327-7d3f-
4e6c-9ac9-fc54430781eb/Policy%20Advice%20on%20Basel%20III%20reforms%20-
%20Operational%20Risk.pdf?retry=1
EN 29 EN
particular to avoid that temporary drops in the size of the business indicator unduly affect that
assessment, the relevant business indicator will be the highest business indicator reported over
the last two years.
Elements that are relevant for the calculation of the annual operational risk loss are further
specified in Articles 318 to 321. Article 318 sets out the determination of the ‘gross loss’ and
the ‘net loss’ and Article 319 contains the relevant loss data thresholds of EUR 20 000 and
EUR 100 000. Certain exceptional operational risk events that are no longer relevant to an
institution’s risk profile may be disregarded, provided that all related conditions are met and
the institution’s supervisor has granted the permission to do so (Article 320). In the same vein,
an institution may have to include additional losses, for instance, related to acquired or
merged entities (Article 321).
The accuracy and comprehensiveness of an institutions loss data are essential. Therefore,
supervisors will have to periodically review the quality of the loss data (Article 322).
Leverage ratio
Calculation of the exposure value of derivatives
Since the adoption of Regulation (EU) 2019/876, the BCBS has further revised one specific
aspect of its leverage ratio framework. To facilitate the provision of client-clearing services,
the treatment of client-cleared derivatives for leverage ratio purposes was amended in June
201943
. Under the revised rules, the treatment of those derivatives is generally aligned with
the treatment envisaged under the standardised approach for counterparty credit risk (SA-
CCR) in the risk-based framework. In its February 2021 report on the leverage ratio44
, the
Commission concluded that it was appropriate to adjust the calculation of the total exposure
measure to align the treatment of client-cleared derivatives with the internationally agreed
standards. Therefore, Article 429c is amended accordingly.
Calculation of the exposure value of off-balance-sheet items
In light of the proposed amendments to Articles 4 and 111(1) of the CRR, there is no need any
more to set out a minimum conversion factor of 10% for certain off-balance-sheet items in the
leverage ratio framework. Therefore, the derogation set out in Article 429f(3) is deleted.
Regular way purchases and sales awaiting settlement
The provisions related to regular-way purchases and sales awaiting settlement are amended to
better align those rules with the Basel III standards, notably by clarifying that those provisions
apply to financial assets, rather than to securities only. Articles 429(6) and 429g(1) of the
CRR are amended accordingly.
Environmental, social and governance risks (ESG risks)
Institutions play an instrumental role in the ambition of the Union to promote a long-term
transition to sustainable development in general and, in particular, to support a just transition
towards net-zero greenhouse gas emissions in the economy of the Union by 2050. That
transition entails new risks that need to be understood and appropriately managed at all levels.
43
Basel Committee on Banking Supervision (2019): Leverage ratio treatment of client cleared derivatives,
June 2019, available at: https://www.bis.org/bcbs/publ/d467.pdf
44
Report from the Commission to the European Parliament and the Council on a possible extension of the
leverage ratio buffer framework to O-SIIs and on the definition and calculation of the total exposure
measure, including the treatment of central bank reserves, February 2021, available at: https://eur-
lex.europa.eu/legal-content/en/TXT/?uri=CELEX:52021DC0062
EN 30 EN
The accelerated transition towards a more sustainable economy may have a considerable
impact on companies, increasing the risks to institutions individually and to the overall
financial stability. Human behavioural impacts on climate, like the emissions of greenhouse
gases, or the continuation of unsustainable economic practices, are drivers of physical risks
potentially exacerbating the likelihood of environmental hazards and their socio-economic
impacts. Institutions are also exposed to those physical risks, which hold a trade-off
relationship with transition risks as, all other things being equal, physical risks are expected to
decrease when transition policies are implemented. However, the opposite may occur when
no action is taken, meaning, when the transition risk is low and the implementation of
transition-related policies takes longer, the more physical risks will increase.
To promote an adequate understanding and management of the sustainability risks, commonly
referred as environmental, social and governance (ESG) risks, institutions established in the
Union need to identify systematically, disclose and manage those risks at their individual
level. The relative novelty of ESG risks and their specificities mean that the understanding of
those risks can differ significantly across institutions.
Therefore, Article 4 is amended to introduce new harmonised definitions of the different types
of risks in the universe of ESG risks (Article 4(1), points 52d to 52i). The definitions are
aligned with those proposed by EBA in its report dedicated to ESG risks.
To allow for better supervision of ESG risks, Article 430 is amended to require institutions to
report their exposure to ESG risks to their competent authorities.
Finally, in order to better align the timelines of any changes to the prudential rules that may
be needed, Article 501c is amended to advance the deadline for EBA to deliver its report on
the prudential treatment of these exposures from 2025 to 2023. Within the mandate in Article
501c, the EBA should assess exposures to assets and activities in the energy and resource
efficiency sectors, as well as in the infrastructure and transport fleets sectors. The assessment
should also cover the possibility of a targeted calibration of a risk weights for items associated
with particularly high exposure to climate risk, including assets or activities in the fossil fuel
sector and in high climate impact sectors. If found to be justified, the report by the EBA
should describe a range of options for applying a dedicated prudential treatment of exposures
subject to impacts from environmental and social factors.
Integrated supervisory reporting system and data sharing
Since 2018, the EBA, in cooperation with the ECB and national competent authorities, has
been working on the creation of the European Centralised Infrastructure for Supervisory Data
(EUCLID) to aggregate in a centralised integrated system the reporting information shared by
supervisors on the largest institutions established in the Union. This system will be
particularly useful to feed public reports and analysis with aggregated data and risk indicators
on the overall EU banking sector. Article 430c currently mandates the EBA to prepare a
feasibility study for the development of a consistent and integrated system for collecting
statistical, resolution and prudential data, as well as to involve the relevant authorities in the
preparation of the study. In March 2021, the EBA published a discussion paper on that
feasibility study, seeking stakeholders’ input by 11 June 2021. In accordance with Article
430c(3), once the feasibility study is finalised by EBA, the Commission will assess whether to
introduce at a later stage potential amendments to the reporting requirements mandated in Part
Seven A of the CRR.
Disclosures
Enhanced transparency and proportionality in disclosure requirements
EN 31 EN
In view of the changes made to the CRR to implement the final Basel III standards, as well as
the need to further reduce the administrative costs related to disclosures and to facilitate the
access to information disclosed by institutions, several changes are made to Part Eight of the
CRR.
Article 433 is amended to empower the EBA to centralise the publication of annual,
semiannual and quarterly institutions’ prudential disclosures. This proposal aims to make
prudential information readily available through a single electronic access point, thus
addressing the current fragmentation with a view to increase transparency and comparability
of disclosures to the benefit of all market participants. EBA’s centralised publication would
take place at the same time the institutions publish their financial statements or reports, or as
soon as possible thereafter. This proposal is fully consistent with the Capital Market Union
Action Plan and it is an intermediary step towards the future development of an EU-wide
single access point for companies’ financial and sustainable investment-related information.
Article 434 is amended to reduce the administrative burden related to disclosures, especially
for small and non-complex institutions. The rationale of this provision leverages on the
progress made by the EBA and the competent authorities in the creation of an infrastructure
that aggregates supervisory reporting (EUCLID). The proposal enhances proportionality
mandating the EBA to publish disclosures of small and non-complex institutions based on
supervisory reporting information. This way, small and non-complex institutions are only
required to report to their supervisors, and not to publish relevant disclosures.
Articles 438 and 447 are amended to include disclosures obligations for institutions that use
internal model and thus need to disclose the total risk exposures amounts calculated according
to the full standardised approach as compared to the actual risk-weighted assets at the risk
level, and for credit risk at asset class and sub-asset class level. This implements the relevant
Basel III standard that requires banks to compare modelled and standardised RWA at risk
level. Articles 433a, 433b and 433c concerning the frequency of disclosures are amended
accordingly.
Articles 433b and 433c are amended to include the obligation for small and non-complex
institutions, as well as for other non-listed institutions, to disclose on an annual basis
information on the amount and quality of performing, non-performing and forborne exposures
for loans, debt securities and off-balance-sheet exposures, and information on past due
exposures. The proposed amendments are in line with the 2017 Council action plan on
NPLs45
, which invited the EBA to implement by the end of 2018 enhanced disclosure
requirements on asset quality and non-performing loans for all institutions. In addition, the
changes would ensure full consistency with the Communication on “Tackling non-performing
loans in the aftermath of the COVID-19 pandemic”46
. The extension of the disclosure
requirements in Article 442, points (c) and (d), to small and non-complex institutions and to
other non-listed institutions does not create any additional burden for these institutions for two
reasons. First, these institutions are already disclosing NPLs related information based on the
EBA Guidelines on NPLs disclosure47
, which followed the 2017 Council action plan and,
currently, are reflected in the Commission Implementing Regulation (EU) 2021/637 of 15
45
ECOFIN Council “Action Plan to Tackle Non-Performing Loans in Europe”, July 2017. Council
conclusions on Action plan to tackle non-performing loans in Europe - Consilium (europa.eu)
46
Communication from the Commission to the European Parliament, the Council and the European
Central Bank on “Tackling non-performing loans in the aftermath of the COVID-19 pandemic”
COM/2020/822 final.
47
Guidelines EBA/GL/2018/10 of the European Banking Authority of 17 December 2018 on disclosure of
non-performing and forborne exposures.
EN 32 EN
March 202148
. Second, once the centralisation of disclosures through the EBA web-platform
is in place, information on NPLs could be extracted from supervisory reporting, thus reducing
the burden for all institutions and eliminating any burden for small and non-complex ones.
Articles 445 and 455 introduce new disclosure requirements the institutions calculating their
own funds requirements for market risk using one of the standardised approaches and,
respectively, the A-IMA, need to comply with.
Article 445a is inserted to introduce new disclosure requirements for own funds requirements
for CVA risk.
Article 446 is amended to introduce the revised disclosure requirements for operational risk.
In the area of disclosures, the CRR II already introduced provisions aimed at improving the
capture of ESG risks. In this regard, large institutions with publicly listed issuances will start
disclosing information on ESG risks from June 2022 onwards. However, the immediate
effectiveness of these provisions is limited, as a large number of institutions remains outside
of the scope of the CRR disclosure rules. Article 449a is therefore amended to extend the
requirements related to the disclosure of ESG risks to all institutions, while respecting the
proportionality principle.
Empowerments to EBA
The proposal expands the scope of the existing EBA mandate under Article 434a. In addition
to establish and develop uniform disclosure formats, the proposed amendments to Article
434a require EBA to set up a policy on disclosures’ resubmissions and on the necessary IT
solutions for centralising the disclosures.
Definition of ‘small and non-complex institution’
The proposal amends the definition of the term ‘small and non-complex institution’, set out in
Article 4(1), point (145), by allowing institutions to exclude derivatives transactions
concluded with non-financial clients and derivatives transactions used to hedge those
transactions, subject to a limit.
CIUs with an underlying portfolio of euro area sovereign bonds
Article 506a of Regulation (EU) 2021/558 mandated the Commission to publish by 31
December 2021 a report assessing whether it is necessary to make changes to the regulatory
framework “to promote the market for, and bank purchases of, exposures in the form of units
or shares in CIUs with an underlying portfolio consisting exclusively of sovereign bonds of
Member States whose currency is the euro, where the relative weight of each Member States’
sovereign bonds in the total portfolio of the CIU is equal to the relative weight of each
Member States’ capital contribution to the ECB”.
Article 132(4) of the CRR provides for a “look-through approach”, whereby the investor
institution may “look through to the underlying exposures [of a CIU] in order to calculate an
average risk weight for its exposures in the form of units or shares in the CIUs” in accordance
48
Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing
technical standards with regard to public disclosures by institutions of the information referred to in
Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the
Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission
Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and
Commission Delegated Regulation (EU) 2017/2295 (Text with EEA relevance) OJ L 136, 21.4.2021, p.
1–327.
EN 33 EN
with the methods set out in the CRR. This is subject to the condition that the investor
institution be “aware” of the CIU’s underlying exposures.
Hence, the current regulatory regime allows investor institutions to apply to the units or shares
in the CIU the same risk weights that would apply to a direct investment in the sovereign
bonds of Member States. Given that such sovereign exposures already attract a beneficial
regulatory capital treatment, it does not seem necessary to make changes to the prudential
framework to promote the market for CIUs with this type of underlying or, in particular, to
accommodate the specific structure referred by Article 506a of Regulation (EU) 2021/558.
Furthermore, with the recent and planned issuance of bonds under the NextGenerationEU
programme, it would appear there is no longer an immediate need for the creation of the
abovementioned structure.
Additional supervisory powers to impose restrictions on distributions by institutions
Pursuant to Article 518b, the Commission is required to report to the European Parliament
and to the Council by 31 December 2021 on whether exceptional circumstances that trigger
serious economic disturbance in the orderly functioning and integrity of financial markets
justify during such periods, granting additional binding powers to competent authorities to
impose restrictions on distributions by institutions.
In response to the economic and financial distress caused by the COVID-19 pandemic, the
Commission, the EBA, the ECB, the ESRB and most national competent authorities urged
institutions to refrain from dividend distribution or share buy-backs and to adopt a
conservative approach to variable remunerations. Preserving capital resources to support the
real economy and absorb losses has been the common objective during the exceptional
circumstances in 2020 and 2021.
The recommendations issued by authorities across the Member States in line with agreed EU
stances have led to the desired effects and channelled capital resources in ways that help the
banking system to support the real economy, as recent analysis by the ECB and a stock-take
by EBA suggest. Consequently, when asked on whether the considered they would need
additional powers in the area restrictions on distributions, competent authorities were of the
view that the powers they currently have at their disposal are sufficient.
At the current juncture, the Commission therefore does not see a need for additional
supervisory powers to be granted to the competent authorities to impose restrictions on
distributions by institutions in exceptional circumstances. The issue of macroprudential
oversight and coordination of such restrictions in exceptional circumstances in the future will
be considered in the forthcoming review of the macroprudential framework.
Prudential treatment of crypto assets
In recent years, financial markets have witnessed a rapid increase in activity related to so-
called crypto assets and a progressively increased involvement of institutions in that activity.
While crypto assets share certain common characteristics with more traditional financial
assets, some of their features are significantly different. As a consequence, it is unclear
whether the existing prudential rules would adequately capture the risks inherent in those
assets. Since the BCBS only recently started exploring the question of whether a dedicated
treatment should be developed for those assets, and if so, what should that treatment be, it was
not possible to include specific measures on this topic in this proposal. Instead, the
Commission is asked to review whether a dedicated prudential treatment for crypto assets
would be needed and to adopt, if appropriate, a legislative proposal to this end, taking into
account the work undertaken by the BCBS.
EN 34 EN
2021/0342 (COD)
Proposal for a
REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit
valuation adjustment risk, operational risk, market risk and the output floor
(Text with EEA relevance)
THE EUROPEAN PARLIAMENT AND THE COUNCIL OF THE EUROPEAN UNION,
Having regard to the Treaty on the Functioning of the European Union, and in particular
Article 114 thereof,
Having regard to the proposal from the European Commission,
After transmission of the draft legislative act to the national parliaments,
Having regard to the opinion of the European Economic and Social Committee49
,
Acting in accordance with the ordinary legislative procedure,
Whereas:
(1) In response to the global financial crisis, the Union embarked on a wide-ranging
reform of the prudential framework for institutions aimed at increasing the resilience
of the EU banking sector. One of the main elements of the reform consisted in
implementing international standards agreed by the Basel Committee for Banking
Supervision (BCBS), specifically the so-called “Basel III reform”. Thanks to this
reform, the EU banking sector entered the COVID-19 crisis on a resilient footing.
However, while the overall level of capital in EU institutions is now satisfactory on
average, some of the problems that were identified in the wake of global financial
crisis have not yet been addressed.
(2) To address those problems, provide legal certainty and signal our commitment to our
international partners in the G20, it is of utmost importance to implement the
outstanding elements of the Basel III reform faithfully. At the same time, the
implementation should avoid a significant increase in overall capital requirements for
the EU banking system on the whole and take into account specificities of the EU
economy. Where possible, adjustments to the international standards should be applied
on a transitional basis. The implementation should help avoid competitive
disadvantages for EU institutions, in particular in the area of trading activities, where
EU institutions directly compete with their international peers. Furthermore, the
proposed approach should be coherent with the logic of the Banking Union and avoid
further fragmentation of the Single Market for banking. Finally, it should ensure
proportionality of the rules and aim at further reducing compliance costs, in particular
for smaller institutions, without loosening the prudential standards.
49
OJ C , , p. .
EN 35 EN
(3) Regulation (EU) No 575/2013 enables institutions to calculate their capital
requirements either by using standardised approaches, or by using internal model
approaches. Internal model approaches allow institutions to estimate most or all the
parameters required to calculate capital requirements on their own, whereas
standardised approaches require institutions to calculate capital requirements using
fixed parameters, which are based on relatively conservative assumptions and laid
down in Regulation (EU) No 575/2013. The Basel Committee decided in December
2017 to introduce an aggregate output floor. That decision was based on an analysis
carried out in the wake of the financial crisis of 2008-2009, which revealed that
internal models tend to underestimate the risks that institutions are exposed to,
especially for certain types of exposures and risks, and hence, tend to result in
insufficient capital requirements. Compared to capital requirements calculated using
the standardised approaches, internal models produce, on average, lower capital
requirements for the same exposures.
(4) The output floor represents one of the key measures of the Basel III reforms. It aims at
limiting the unwarranted variability in the regulatory capital requirements produced by
internal models and the excessive reduction in capital that an institution using internal
models can derive relative to an institution using the revised standardised approaches.
Those institutions can do so by setting a lower limit to the capital requirements that are
produced by institutions’ internal models to 72.5% of the capital requirements that
would apply if standardised approaches were used by those institutions. Implementing
the output floor faithfully should increase the comparability of the institutions’ capital
ratios, restore the credibility of internal models and ensure that there is a level playing
field between institutions that use different approaches to calculate capital
requirements.
(5) In order to avoid fragmentation of the internal market for banking, the approach for the
output floor should be coherent with the principle of risk aggregation across different
entities within the same banking group and the logic of consolidated supervision. At
the same time, the output floor should address risks stemming from internal models in
both home and host Member States. The output floor should therefore be calculated at
the highest level of consolidation in the Union, whereas subsidiaries located in other
Member States than the EU parent should calculate, on a sub-consolidated basis, their
contribution to the output floor requirement of the entire banking group. That
approach should avoid unintended impacts and ensure a fair distribution of the
additional capital required by the application of the output floor between group entities
in home and host Member States according to their risk profile.
(6) The Basel Committee has found the current standardised approach for credit risk (SA-
CR) to be insufficiently risk sensitive in a number of areas, leading to inaccurate or
inappropriate – either too high or too low – measurement of credit risk and hence, of
capital requirements. The provisions regarding the SA-CR should therefore be revised
to increase the risk sensitivity of that approach in relation to several key aspects.
(7) For rated exposures to other institutions, some of the risk weights should be
recalibrated in accordance with the Basel III standards. In addition, the risk weight
treatment for unrated exposures to institutions should be rendered more granular and
decoupled from the risk weight applicable to the central government of the Member
State in which the bank is established, as no implicit government support for
institutions is assumed.
EN 36 EN
(8) For subordinated debt and equity exposures, a more granular and stringent risk weight
treatment is necessary to reflect the higher loss risk of subordinated debt and equity
exposures when compared to debt exposures, and to prevent regulatory arbitrage
between the banking book and the trading book. Union institutions have long-
standing, strategic equity investments in financial and non-financial corporates. As the
standard risk weight for equity exposures increases over a 5-year transition period,
existing strategic equity holdings in corporates and insurance undertakings under
significant influence of the institution should be grandfathered to avoid disruptive
effects and to preserve the role of Union institutions as long-standing, strategic equity
investors. Given the prudential safeguards and supervisory oversight to foster financial
integration of the financial sector, however, for equity holdings in other institutions
within the same group or covered by the same institutional protection scheme, the
current regime should be maintained. In addition, to reinforce private and public
initiatives to provide long-term equity to EU corporates, be they listed or unlisted,
investments should not be considered as speculative where they are made with the
firm intention of the institution’s senior management to hold it for three or more years.
(9) To promote certain sectors of the economy, the Basel III standards provide for a
supervisory discretion to enable institutions to assign, within certain limits, a
preferential treatment to equity holdings made pursuant to ‘legislative programmes’
that entail significant subsidies for the investment and involve government oversight
and restrictions on the equity investments. Implementing that discretion in the Union
should also help fostering long-term equity investments.
(10) Corporate lending in the Union is predominantly provided by institutions which use
the internal ratings based (IRB) approaches for credit risk to calculate their capital
requirements. With the implementation of the output floor, those institutions will also
need to apply the SA-CR, which relies on credit assessments by external credit
assessment institutions (‘ECAI’) to determine the credit quality of the corporate
borrower. The mapping between external ratings and risk weights applicable to rated
corporates should be more granular, to bring such mapping in line with the
international standards on that matter.
(11) Most EU corporates, however, do not seek external credit ratings, in particular due to
cost considerations. To avoid disruptive impacts on bank lending to unrated corporates
and to provide enough time to establish public or private initiatives aimed at
increasing the coverage of external credit ratings, it is necessary to provide for a
transitional period for such increase in the coverage. During that transitional period,
institutions using IRB approaches should be able to apply a favourable treatment when
calculating their output floor for investment grade exposures to unrated corporates,
whilst initiatives to foster widespread use of credit ratings should be established. That
transitional arrangement should be coupled with a report prepared by the European
Banking Authority (‘EBA’). After the transition period, institutions should be able to
refer to credit assessments by ECAIs to calculate the capital requirements for most of
their corporate exposures. To inform any future initiative on the set-up of public or
private rating schemes, the European Supervisory Authorities (ESAs) should be
requested to prepare a report on the impediments to the availability of external credit
ratings by ECAIs, in particular for corporates, and on possible measures to address
those impediments. In the meanwhile, the European Commission stands ready to
provide technical support to Member States via its Technical Support Instrument in
this area, e.g. to formulate strategies on increasing the rating-penetration of their
EN 37 EN
unlisted corporates or to explore best practices on setting up entities capable of
providing ratings or providing related guidance to corporates.
(12) For both residential and commercial real estate exposures, more risk-sensitive
approaches have been developed by the Basel Committee to better reflect different
funding models and stages in the construction process.
(13) The financial crisis of 2008-2009 revealed a number of shortcomings of the current
standardised treatment of real estate exposures. Those shortcomings have been
addressed in the Basel III standards. In fact, the Basel III standards introduced income
producing real estate (‘IPRE’) exposures as a new sub-category of the corporate
exposure class which is subject to a dedicated risk weight treatment to reflect more
accurately the risk associated with those exposures, but also to improve consistency
with the treatment of IPRE under the Internal Rating Based Approach (‘IRBA’)
referred to in Part III, Title II, Chapter 3 of Regulation (EU) No 575/2013.
(14) For general residential and commercial real estate exposures, the loan splitting
approach in Articles 124-126 of the Regulation should be kept, as that approach is
sensitive to the type of borrower and reflects the risk mitigating effects of the real
estate collateral in the applicable risk weights, even in case of high ‘loan-to-value’
(LTV) ratios. Its calibration, however, should be adjusted in accordance with the Basel
III standards as it has been found to be too conservative for mortgages with very low
LTV ratios.
(15) To ensure that the impacts of the output floor on low-risk residential mortgage lending
by institutions using IRB approaches are spread over a sufficiently long period and
thus avoid disruptions to that type of lending that could be caused by sudden increases
in own funds requirements, it is necessary to provide for a specific transitional
arrangement. For the duration of the arrangement, when calculating the output floor,
IRB institutions should be able to apply a lower risk weight to the part of their
residential mortgage exposures that is considered secured by residential property under
the revised SA-CR. To ensure that the transitional arrangement is available only to
low-risk mortgage exposures, appropriate eligibility criteria, based on established
concepts used under the SA-CR, should be set. The compliance with those criteria
should be verified by competent authorities. Because residential real estate markets
may differ from one Member States to another, the decision on whether to activate the
transitional arrangement should be left to individual Member States. The use of the
transitional arrangement should be monitored by EBA.
(16) As a result of the lack of clarity and risk-sensitivity of the current treatment of
speculative immovable property financing, capital requirements for those exposures
are currently often deemed to be too high or too low. That treatment therefore should
be replaced by a dedicated treatment for ADC exposures, comprising loans to
companies or special purpose vehicles financing any of the land acquisition for
development and construction purposes, or development and construction of any
residential or commercial immovable property.
(17) It is important to reduce the impact of cyclical effects on the valuation of property
securing a loan and to keep capital requirements for mortgages more stable. A
property’s value recognised for prudential purposes should therefore not exceed the
average value of a comparable property measured over a sufficiently long monitoring
period, unless modifications to that property unequivocally increase its value. To
avoid unintended consequences for the functioning of the covered bond markets,
competent authorities may allow institutions to revalue immovable property on a
EN 38 EN
regular basis without applying those limits to value increases. Modifications that
improve the energy efficiency of buildings and housing units should be considered as
value increasing.
(18) The specialised lending business is conducted with special purpose vehicles that
typically serve as borrowing entities, for which the return on investment is the primary
source of repayment of the financing obtained. The contractual arrangements of the
specialised lending model provide the lender with a substantial degree of control over
the assets and the primary source of repayment of the obligation is the income
generated by the assets being financed. To reflect the associated risk more accurately,
those contractual arrangements should therefore be subject to specific capital
requirements for credit risk. In line with the internationally agreed Basel III standards
on assigning risk weights to specialised lending exposures, a dedicated specialised
exposures class should be introduced under the SA-CR, thereby improving
consistency with the already existing specific treatment of specialised lending under
the IRB approaches. A specific treatment for specialised lending exposures should be
introduced, whereby a distinction should be made between ‘project finance’, ‘object
finance’ and ‘commodities finance’ to better reflect the inherent risks of those sub-
classes of the specialised exposures class. Like for exposures to corporates, two
approaches to assign risk weights should be implemented, one for jurisdictions
allowing the use of external ratings for regulatory purposes and one for jurisdictions
that do not allow it.
(19) While the new standardised treatment for unrated specialised lending exposures laid
down in Basel III standards is more granular than the current standardised treatment of
exposures to corporates under this Regulation, the former is not sufficiently risk-
sensitive to reflect the effects of comprehensive security packages and pledges usually
associated with these exposures in the Union, which enable lenders to control the
future cash flows to be generated over the life of the project or asset. Due to the lack of
external rating coverage of specialised lending exposures in the Union, the treatment
for unrated specialised lending exposures laid down in Basel III standards may also
create incentives for institutions to stop financing certain projects or take on higher
risks in otherwise similarly treated exposures which have different risk profiles.
Whereas the specialised lending exposures are mostly financed by institutions using
the IRB approach that have in place internal models for these exposures, the impact
may be particularly significant in the case of ‘object finance’ exposures, which could
be at risk for discontinuation of the activities, in the particular context of the
application of the output floor. To avoid unintended consequences of the lack of risk-
sensitivity of the Basel treatment for unrated object finance exposures, object finance
exposures that comply with a set of criteria capable to lower their risk profile to ‘high
quality’ standards compatible with prudent and conservative management of financial
risks, should benefit from a reduced risk weight. EBA shall be entrusted to develop
draft regulatory technical standards specifying the conditions for institutions to assign
an object finance specialised lending exposure to the ‘high quality’ category with a
risk weight similar to ‘high quality’ project finance exposures under the SA-CR.
Institutions established in jurisdictions that allow the use of external ratings should
assign to their specialised lending exposures the risk weights determined only by the
issue-specific external ratings, as provided by the Basel III framework.
(20) The classification of retail exposures under the SA-CR and the IRB approaches should
be further aligned to ensure a consistent application of the correspondent risk weights
to the same set of exposures. In line with the Basel III standards, rules should be laid
EN 39 EN
down for a differentiated treatment of revolving retail exposures that meet a set of
conditions of repayment or usage capable to lower their risk profile. Those exposures
shall be defined as exposures to ‘transactors’. Exposures to one or more natural
persons that do not meet all the conditions to be considered retail exposures should be
risk weighted at 100% under the SA-CR.
(21) Basel III standards introduce a credit conversion factor of 10% for unconditionally
cancellable commitments ('UCC') in the SA-CR. This is likely to result in a significant
impact on obligors that rely on the flexible nature of the UCC to finance their
activities when dealing with seasonal fluctuations in their businesses or when
managing unexpected short-term changes in working capital needs, especially during
the recovery from the COVID-19 pandemic. It is thus appropriate to provide for a
transitional period during which institutions will continue to apply a null credit
conversion factor to their UCC, and, afterwards, to assess whether a potential gradual
increase of the applicable credit conversion factors is warranted to allow institutions to
adjust their operational practices and products without hampering credit availability to
institutions’ obligors. That transitional arrangement should be coupled with a report
prepared by EBA.
(22) The financial crisis of 2008-2009 has revealed that, in some cases, credit institutions
have also used IRB approaches on portfolios unsuitable for modelling due to
insufficient data, which had detrimental consequences for the robustness of the results
and thus, for the financial stability. It is therefore appropriate not to oblige institutions
to use the IRB approaches for all of their exposures and to apply the roll-out
requirement at the level of exposure classes. It is also appropriate to restrict the use of
IRB Approaches for exposure classes where robust modelling is more difficult to
increase the comparability and robustness of capital requirements for credit risk under
the IRB approaches.
(23) Institutions’ exposures to other institutions, other financial sector entities and large
corporates typically exhibit low levels of default. For such low-default portfolios, it
has been shown that it is difficult for institutions to obtain reliable estimates of a key
risk parameter of the IRB approach, the loss given default (‘LGD’), due to an
insufficient number of observed defaults in those portfolios. This difficulty has
resulted in an undesirable level of dispersion across credit institutions in the level of
estimated risk. Institutions should therefore use regulatory LGD values rather than
internal LGD estimates for those low-default portfolios.
(24) Institutions that use internal models to estimate the own funds requirements for credit
risk for equity exposures typically base their risk assessment on publically available
data, to which all institutions can be assumed to have identical access. Under those
circumstances, differences in own funds requirements cannot be justified. In addition,
equity exposures held in the banking book form a very small component of
institutions’ balance sheets. Therefore, to increase the comparability of institutions’
own funds requirements and to simplify the regulatory framework, institutions should
calculate their own funds requirements for credit risk for equity exposures using the
SA-CR, and the IRB approach should be disallowed for that purpose.
(25) It should be ensured that the estimates of the probability of default (‘PD’), the LGD
and the credit conversion factors (‘CCF’) of individual exposures of institutions that
are allowed to use internal models to calculate capital requirements for credit risk do
not reach unsuitably low levels. It is therefore appropriate to introduce minimum
values for own estimates and to oblige institutions to use the higher of their own
EN 40 EN
estimates of risk parameters and those minimum values. Such risk parameters’ ‘input
floors’ should constitute a safeguard to ensure that capital requirements do not fall
below prudent levels. In addition, they should mitigate model risk due to such factors
as incorrect model specification, measurement error and data limitations. They would
also improve the comparability of capital ratios across institutions. In order to achieve
those results, input floors should be calibrated in a sufficiently conservative manner.
(26) Risk parameter floors that are calibrated too conservatively may indeed discourage
institutions from adopting the IRB approaches and the associated risk management
standards. Institutions may also be incentivised to shift their portfolios to higher risk
exposures to avoid the constraint imposed by the risk parameter floors. To avoid such
unintended consequences, risk parameter floors should appropriately reflect certain
risk characteristics of the underlying exposures, in particular by taking on different
values for different types of exposure where appropriate.
(27) Specialised lending exposures have risk characteristics that differ from general
corporate exposures. It is thus appropriate to provide for a transitional period during
which the LGD input floor applicable to specialised lending exposures is reduced.
(28) In accordance with the Basel III standards, the IRB treatment for the sovereign
exposure class should remain largely untouched, due to the special nature and risks
related to the underlying obligors. In particular sovereign exposures should not be
subject to the risk parameters input floors.
(29) To ensure a consistent approach for all RGLA-PSE exposures, a new RGLA-PSA
exposure class should be created, independent from both sovereign and institutions
exposure classes, and which should all be subject to the input floors provided by the
new rules.
(30) It should be clarified how the effect of a guarantee could be recognised for a
guaranteed exposure where the underlying exposure is treated under the IRB approach
under which modelling for PD and LGD is allowed but where the guarantor belongs to
a type of exposures for which modelling the LGD, or the IRB approach is not allowed.
In particular, the use of the substitution approach, whereby the risk parameters of the
underlying exposures are substituted with the ones of the guarantor, or of a method
whereby the PD or LGD of the underlying obligor are adjusted using a specific
modelling approach to take into account the effect of the guarantee, should not lead to
an adjusted risk weight that is lower than the risk weight applicable to a direct
comparable exposure to the guarantor. Consequently, where the guarantor is treated
under the SA-CR, recognition of the guarantee under the IRB approach should lead to
assigning the SA-CR risk weight of the guarantor to the guaranteed exposure.
(31) Regulation (EU) 2019/876 of the European Parliament and of the Council50
amended
Regulation (EU) No 575/2013 to implement the final FRTB standards only for
reporting purposes. The introduction of binding capital requirements based on those
standards was left to a separate ordinary legislative initiative, upon the assessment of
their impacts for Union banks.
50
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending
Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements
for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central
counterparties, exposures to collective investment undertakings, large exposures, reporting and
disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).
EN 41 EN
(32) In order to complete the reform agenda introduced after the financial crisis of 2008-
2009 and to address the deficiencies in the current market risk framework, binding
capital requirements for market risk based on the final FRTB standards should be
implemented in Union law. Recent estimates of the impact of the final FRTB
standards on Union banks have shown that the implementation of those standards in
the Union will lead to a large increase in the own funds requirements for market risk
for certain trading and market making activities which are important to the EU
economy. To mitigate that impact and to preserve the good functioning of financial
markets in the Union, targeted adjustments should be introduced to the transposition of
the final FRTB standards in Union law.
(33) As requested under Regulation (EU) 2019/876, the Commission should take into
account the principle of proportionality in the calculation of the capital requirements
for market risk for institutions with medium-sized trading book businesses, and
calibrate those requirements accordingly. Therefore, institutions with medium-sized
trading books should be allowed to use a simplified standardised approach to calculate
own funds requirements for market risk, in line with the internationally agreed
standards. In addition, the eligibility criteria to identify institutions with medium-sized
trading books should remain consistent with the criteria set out in Regulation (EU)
2019/876 for exempting such institutions from the FRTB reporting requirements set
out in that Regulation.
(34) Institutions’ trading activities in wholesale markets can easily be carried out across
borders, including between Member States and third countries. The implementation of
the final FRTB standards should therefore converge as much as possible across
jurisdictions, both in terms of substance and timing. If that would not be the case, it
would be impossible to ensure an international level playing field for those activities.
The Commission should therefore monitor the implementation of those standards in
other BCBS member jurisdictions and, where necessary, should take steps to address
potential distortions of those rules.
(35) The BCBS has revised the international standard on operational risk to address
weaknesses that emerged in the wake of the 2008-2009 financial crisis. Besides a lack
of risk-sensitivity in the standardised approaches, a lack of comparability arising from
a wide range of internal modelling practices under the Advanced Measurement
Approach were identified. Therefore, and in order to simplify the operational risk
framework, all existing approaches for estimating the operational risk capital
requirements were replaced by a single non-model-based method. Regulation (EU) No
575/2013 should be aligned with the revised Basel standards to ensure a level playing
field internationally for institutions established inside the Union but also operating
outside the Union, and to ensure that the operational risk framework at Union level
remains effective.
(36) The new standardised approach for operational risk introduced by the BCBS combines
an indicator that relies on the size of the business of an institution with an indicator
that takes into account the loss history of that institution. The revised Basel standards
envisage a number of discretions on how the indicator that takes into account the loss
history of an institution may be implemented. Jurisdictions may disregard historical
losses for the calculation of operational risk capital for all relevant institutions, or may
take historical loss data into account even for institutions below a certain business size.
To ensure a level playing field within the Union and to simplify the calculation of
operational risk capital, those discretions should be exercised in a harmonised manner
EN 42 EN
for the minimum own funds requirements by disregarding historical operational loss
data for all institutions.
(37) Information on the amount and on the quality of performing, non-performing and
forborne exposures, as well as an ageing analysis of accounting past due exposures
should also be disclosed by small and non-complex institutions and by other non-listed
credit institutions. This disclosure obligation does not create an additional burden on
these credit institutions, as the disclosure of such limited set of information has already
been implemented by EBA based on the 2017 Council Action Plan on Non-
Performing Loans (NPLs)51
, which invited EBA to enhance disclosure requirements
on asset quality and non-performing loans for all credit institutions. This is also fully
consistent with the Communication on tackling non-performing loans in the aftermath
of the COVID-19 pandemic52
.
(38) It is necessary to reduce the compliance burden for disclosure purposes and to enhance
the comparability of disclosures. EBA should therefore establish a centralised web-
based platform that enables the disclosure of information and data submitted by
institutions. That centralised web-platform should serve as a single access point on
institutions’ disclosures, while ownership of the information and data and the
responsibility for their accuracy should remain with the institutions that produce it.
The centralisation of the publication of disclosed information should be fully
consistent with the Capital Market Union Action Plan and represents further step
towards the development of an EU-wide single access point for companies’ financial
and sustainable investment-related information.
(39) To allow for a greater integration of supervisory reporting and disclosures, EBA
should publish institutions’ disclosures in a centralised manner, while respecting the
right of all institutions to publish data and information themselves. Such centralised
disclosures should allow EBA to publish the disclosures of small and non-complex
institutions, based on the information reported by those institutions to competent
authorities and should thus significantly reduce the administrative burden to which
those small and non-complex institutions are subject. At the same time, the
centralisation of disclosures should have no cost impact for other institutions, and
increase transparency and reduce the cost for market participants to access prudential
information. Such increased transparency should facilitate comparability of data across
institutions and promote market discipline.
(40) To ensure convergence across the Union and a uniform understanding of the
environmental, social and governance (ESG) factors and risks, general definitions
should be laid down. The exposure to ESG risks is not necessarily proportional to an
institution’s size and complexity. Level of exposures across the Union are also quite
heterogeneous, with some countries showing potential mild transitional impacts and
others showing potential high transitional impacts on exposures related to activities
that have a significant negative impact on the environment. The transparency
requirements that institutions are subject and the sustainability reporting requirements
laid down in other pieces of existing legislation in the Union will provide more
granular data in a few years. However, to properly assess the ESG risks that
51
ECOFIN Council “Action Plan to Tackle Non-Performing Loans in Europe”, July 2017. Council
conclusions on Action plan to tackle non-performing loans in Europe - Consilium (europa.eu)
52
Communication from the Commission to the European Parliament, the Council and the European
Central Bank on “Tackling non-performing loans in the aftermath of the COVID-19 pandemic”
COM/2020/822 final.
EN 43 EN
institutions may face, it is imperative that markets and supervisors obtain adequate
data from all entities exposed to those risks, independently of their size. In order to
ensure that competent authorities have at their disposal data that are granular,
comprehensive and comparable for an effective supervision, information on exposures
to ESG risks should be included in the supervisory reporting of institutions. The scope
and granularity of that information should be consistent with the principle of
proportionality, having regard to the size and complexity of the institutions.
(41) As the transition of the Union economy towards a sustainable economic model is
gaining momentum, sustainability risks become more prominent and will potentially
require further consideration. It is therefore necessary to bring forward by 2 years
EBA’s mandate to assess and report on whether a dedicated prudential treatment of
exposures related to assets or activities substantially associated with environmental or
social objectives would be justified.
(42) It is essential for supervisors to have the necessary empowerments to assess and
measure in a comprehensive manner the risks to which a banking group is exposed at a
consolidated level and to have the flexibility to adapt their supervisory approach to
new sources of risks. It is important to avoid loopholes between prudential and
accounting consolidation which may give rise to transactions aimed at moving assets
out of the scope of prudential consolidation, even though risks remain in the banking
group. The lack of coherence in the definition of “parent undertaking”, “subsidiary”
and “control” concepts, and the lack of clarity in the definition of “ancillary services
undertaking”, “financial holding company” and “financial institution” make it more
difficult for supervisors to apply the applicable rules consistently in the Union and to
detect and appropriately address risks at a consolidated level. Those definitions should
therefore be amended and further clarified. In addition, it is deemed appropriate for
EBA to investigate further whether these empowerments of the supervisors might be
unintendedly constrained by any remaining discrepancies or loopholes in the
regulatory provisions or in their interaction with the applicable accounting framework.
(43) The lack of clarity of certain aspects of the minimum haircut floors framework for
securities financing transactions (SFTs), developed by the BCBS in 2017 as part of the
final Basel III reforms, as well as reservations about the economic justification of
applying it to certain types of SFTs have raised the question of whether the prudential
objectives of this framework could be attained without creating undesirable
consequences. The Commission should therefore reassess the implementation of the
minimum haircut floors framework for SFTs in Union law by [OP please insert date =
24 months after entry into force of this Regulation]. In order to provide the
Commission with sufficient evidence, EBA, in close cooperation with ESMA, should
report to the Commission on the impact of that framework, and on the most
appropriate approach for its implementation in Union law.
(44) The Commission should transpose into Union law the revised standards for the capital
requirements for CVA risks, published by the BCBS in July 2020, as these standards
overall improve the calculation of own funds requirement for CVA risk by addressing
several previously observed issues, in particular that the existing CVA capital
requirements framework fails to appropriately capture CVA risk.
(45) When implementing the initial Basel III reforms in Union law through the CRR,
certain transactions were exempted from the calculation of capital requirements for
CVA risk. These exemptions were agreed to prevent a potential excessive increase in
the cost of some derivative transactions triggered by the introduction of the capital
EN 44 EN
requirement for CVA risk, particularly when banks could not mitigate the CVA risk of
certain clients that were not able to exchange collateral. According to estimated
impacts calculated by EBA, the capital requirements for CVA risk under the revised
Basel standards would remain unduly high for the exempted transactions with these
clients. To ensure that banks’ clients continue hedging their financial risks via
derivative transactions, the exemptions should be maintained when implementing the
revised Basel standards.
(46) However, the actual CVA risk of the exempted transactions may be a source of
significant risk for banks applying those exemptions; if those risks materialise, the
banks concerned could suffer significant losses. As EBA highlighted in their report on
CVA from February 2015, the CVA risks of the exempted transactions raise prudential
concerns that are not being addressed under CRR. To help supervisors monitor the
CVA risk arising from the exempted transactions, institutions should report the
calculation of capital requirements for CVA risks of the exempted transactions that
would be required if those transactions were not exempted. In addition, EBA should
develop guidelines to help supervisors identify excessive CVA risk and to improve the
harmonisation of supervisory actions in this area across the EU.
(47) Regulation (EU) No 575/2013 should therefore be amended accordingly,
HAVE ADOPTED THIS REGULATION:
Article 1
Amendments to Regulation (EU) No 575/2013
Regulation (EU) No 575/2013 is amended as follows:
(1) in Article 4, paragraph 1 is amended as follows:
(a) points (15) and (16) are replaced by the following:
‘(15) ‘parent undertaking’ means an undertaking that controls, in the meaning
of point (37), one or more undertakings;
(16) ‘subsidiary’ means an undertaking that is controlled, in the meaning of
point (37), by another undertaking;’;
(b) point (18) is replaced by the following:
‘(18) ‘ancillary services undertaking’ means an undertaking the principal
activity of which, whether provided to undertakings inside the group or to
clients outside the group, the competent authority considers to be any of the
following:
(a) a direct extension of banking;
(b) operational leasing, factoring, the management of unit trusts, the
ownership or management of property, the provision of data processing
services or any other activity that is ancillary to banking;
(c) any other activity considered similar by EBA to those mentioned in
points (a) and (b);’;
(c) point (20) is replaced by the following:
EN 45 EN
‘(20) ‘financial holding company’ means an undertaking fulfilling all of the
following conditions:
(a) the undertaking is a financial institution;
(b) the undertaking is not a mixed financial holding company;
(c) at least one subsidiary of that undertaking is an institution;
(d) more than 50 % of any of the following indicators are associated, on a
steady basis, with subsidiaries that are institutions or financial
institutions, and with activities performed by the undertaking itself that
are not related to the acquisition or owning of holdings in subsidiaries
when those activities are of the same nature as the ones performed by
institutions or financial institutions:
(i) the undertaking’s equity based on its consolidated situation;
(ii) the undertaking’s assets based on its consolidated situation;
(iii) the undertaking’s revenues based on its consolidated situation;
(iv) the undertaking’s personnel based on its consolidated situation;
(v) other indicator considered relevant by the competent authority;’;
(d) the following point (20a) is inserted:
‘(20a) ‘investment holding company’ means an investment holding company
as defined in Article 4(1), point (23), of Regulation (EU) 2019/2033 of the
European Parliament and of the Council53
;
(e) point (26) is replaced by the following:
‘(26) ‘financial institution’ means an undertaking that meets both of the
following conditions:
(a) the undertaking is not an institution, a pure industrial holding company,
an insurance holding company or a mixed‐activity insurance holding
company as defined in Article 212(1), points (f) and (g), of Directive
2009/138/EC;
(b) the undertaking fulfils any of the following conditions:
(i) the principal activity of the undertaking is to acquire or own
holdings or to pursue one or more of the activities listed Annex I,
points 2 to 12 and point 15, to Directive 2013/36/EU, or to pursue
one or more of the services or activities listed in Annex I, Section 1
or B, to Directive 2014/65/EU of the European Parliament and of
the Council54
in relation to financial instruments listed in Section C
of that Annex to that Directive;
53
Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on
the prudential requirements of investment firms and amending Regulations (EU) No 1093/2010, (EU)
No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 (OJ L 314, 5.12.2019, p. 1).
54
Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in
financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173,
12.6.2014, p. 349).
EN 46 EN
(ii) the undertaking is an investment firm, a mixed financial holding
company, an investment holding company, a payment services
provider within the meaning of Directive (EU) 2015/2366 of the
European Parliament and of the Council55
, an asset management
company or an ancillary services undertaking;’;
(f) the following point (26a) is inserted:
‘(26a) ‘pure industrial holding company’ means an undertaking that fulfils all
of the following conditions:
(a) the principal activity of the undertaking is to acquire or own holdings;
(b) neither the undertaking nor any of the undertakings in which it owns
participations are referred to in point (27), points (a), (d), (e), (f), (g), (h),
(k) and (l);
(c) neither the undertaking nor any of the undertakings in which it own
participations perform as a principal activity any of the activities listed in
Annex I to Directive 2013/36/EU, any of the activities listed in Annex I,
Sections A or B, to Directive 2014/65/EU in relation to financial
instruments listed in Section C of that Annex to that Directive, or are
investment firms, payment services providers within the meaning of
Directive (EU) 2015/2366, asset management companies, or ancillary
services undertakings;’;
(g) in point (27), point (c) is deleted;
(h) point (28) is replaced by the following:
‘(28) ‘parent institution in a Member State’ means an institution in a Member
State which has an institution or a financial institution as a subsidiary, or which
holds a participation in an institution, financial institution or ancillary services
undertaking, and which is not itself a subsidiary of another institution
authorised in the same Member State, or of a financial holding company or
mixed financial holding company set up in the same Member State;’;
(i) the following points (33a) and (33b) are inserted:
‘(33a) ‘stand-alone institution in the EU’ means an institution that is not
subject to prudential consolidation pursuant to Part One, Title II, Chapter 2 in
the EU, and that has no EU parent undertaking subject to such prudential
consolidation;
(33b) ‘stand-alone subsidiary institution in a Member State’ means an
institution that meets all of the following criteria:
(a) the institution is the subsidiary of an EU parent institution, an EU parent
financial holding company or an EU parent mixed financial holding
company;
55
Directive (EU) 2015/2366 of the European Parliament and of the Council of 25 November 2015 on
payment services in the internal market, amending Directives 2002/65/EC, 2009/110/EC and
2013/36/EU and Regulation (EU) No 1093/2010, and repealing Directive 2007/64/EC (OJ L 337,
23.12.2015, p. 35).
EN 47 EN
(b) the institution is located in another Member State than its parent
institution, parent financial holding company or parent mixed financial
holding company;
(c) the institution has no subsidiary itself and does not hold any participation
in an institution or financial institution;’;
(j) in point (37) the reference to ‘Article 1 of Directive 83/349/EEC’ is replaced
by a reference to ‘Article 22 of Directive 2013/34/EU’;
(k) point (52) is replaced by the following:
‘(52) ‘operational risk’ means the risk of loss resulting from inadequate or
failed internal processes, people and systems or from external events, including
legal risk, model risk and ICT risk, but not strategic and reputational risk;’;
(l) the following points (52a) to (52i) are inserted:
‘(52a) ‘legal risk’ means losses, including expenses, fines, penalties or
punitive damages, caused by events that result in legal proceedings, including
the following:
(a) supervisory actions and private settlements;
(b) failure to act where action is necessary to comply with a legal obligation;
(c) action taken to avoid compliance with a legal obligation;
(d) misconduct events, which are events that arise from wilful or negligent
misconduct, including inappropriate supply of financial services;
(e) non-compliance with any requirement derived from national or
international statutory or legislative provisions;
(f) non-compliance with any requirement derived from contractual
arrangements, or with internal rules and codes of conduct established in
accordance with national or international norms and practices;
(g) non-compliance with ethical rules.
Legal risk does not comprise refunds to third parties or employees and
goodwill payments due to business opportunities, where no breach of any rules
or ethical conduct has occurred and where the institution has fulfilled its
obligations on a timely basis; and external legal costs where the event giving
rise to those external costs is not an operational risk event.
(52b) ‘model risk’ means the loss an institution may incur as a consequence
of decisions that could be principally based on the output of internal models,
due to errors in the development, implementation or use of such models,
including the following:
(a) the improper set-up of a selected internal model and its characteristics;
(b) the inadequate verification of a selected internal model’s suitability for
the financial instrument to be evaluated or for the product to be priced, or
of the selected internal model’s suitability for the applicable market
conditions;
(c) errors in the implementation of a selected internal model;
EN 48 EN
(d) incorrect mark-to-market valuations and risk measurement as a result of a
mistake when booking a trade into the trading system;
(e) the use of a selected internal model or of its outputs for a purpose for
which that model was not intended or designed, including manipulation
of the modelling parameters;
(f) the untimely and ineffective monitoring of model performance to assess
whether the selected internal model remains fit for purpose;
(52c) ‘ICT risk’ means the risk of losses or potential losses related to the use
of network information systems or communication technology, including
breach of confidentiality, failure of systems, unavailability or lack of integrity
of data and systems, and cyber risk;
(52d) ‘environmental, social or governance (ESG) risk’ means the risk of
losses arising from any negative financial impact on the institution stemming
from the current or prospective impacts of environmental, social or governance
(ESG) factors on the institution’s counterparties or invested assets;
(52e) ‘environmental risk’ means the risk of losses arising from any negative
financial impact on the institution stemming from the current or prospective
impacts of environmental factors on the institution’s counterparties or invested
assets, including factors related to the transition towards the following
environmental objectives:
(a) climate change mitigation ;
(b) climate change adaptation;
(c) the sustainable use and protection of water and marine resources;
(d) the transition to a circular economy;
(e) pollution prevention and control;
(f) the protection and restoration of biodiversity and ecosystems;
Environmental risk includes both physical risk and transition risk.
(52f) ‘physical risk’, as part of the overall environmental risk, means the risk
of losses arising from any negative financial impact on the institution
stemming from the current or prospective impacts of the physical effects of
environmental factors on the institution’s counterparties or invested assets;
(52g) ‘transition risk’, as part of the overall environmental risk, means the
risk of losses arising from any negative financial impact on the institution
stemming from the current or prospective impacts of the transition of business
activities and sectors to an environmentally sustainable economy on the
institution’s counterparties or invested assets;
(52h) ‘social risk’ means the risk of losses arising from any negative financial
impact on the institution stemming from the current or prospective impacts of
social factors on its counterparties or invested assets;
(52i) ‘governance risk’ means the risk of losses arising from any negative
financial impact on the institution stemming from the current or prospective
impacts of governance factors on the institution’s counterparties or invested
assets;’;
EN 49 EN
(m) points (54), (55) and (56) are replaced by the following:
‘(54) ‘probability of default’ or ‘PD’ means the probability of default of an
obligor over a one-year period, and, in the context of dilution risk, the
probability of dilution over that one-year period;
(55) ‘loss given default’ or ‘LGD’ means the expected ratio of the loss on an
exposure related to a single facility due to the default of an obligor or facility to
the amount outstanding at default, and, in the context of dilution risk, the loss
given dilution meaning the expected ratio of the loss on an exposure due to
dilution, to the amount outstanding according to the pledged or purchased
receivable;
(56) ‘conversion factor’ or ‘credit conversion factor’ or ‘CCF’ means the
expected ratio of the currently undrawn amount of a commitment from a single
facility that could be drawn from a single facility before default and that would
therefore be outstanding at default to the currently undrawn amount of the
commitment from that facility, the extent of the commitment being determined
by the advised limit, unless the unadvised limit is higher;’;
(n) the following point (56a) is inserted:
‘(56a) ‘realised CCF’ means the ratio of the drawn amount of a commitment
from a single facility, that was undrawn at a given reference date prior to
default, and that is therefore outstanding at default, to the undrawn amount of
the commitment from that facility at that reference date;’;
(o) points (58), (59) and 60 are replaced by the following:
‘(58) ‘funded credit protection’ or ‘FCP’ means a technique of credit risk
mitigation where the reduction of the credit risk on the exposure of an
institution is derived from the right of that institution, in the event of the
default of the obligor or on the occurrence of other specified credit events
relating to the obligor, to liquidate, or to obtain transfer or appropriation of, or
to retain certain assets or amounts, or to reduce the amount of the exposure to,
or to replace it with, the amount of the difference between the amount of the
exposure and the amount of a claim on the institution;
(59) ‘unfunded credit protection’ or ‘UFCP’ means a technique of credit risk
mitigation where the reduction of the credit risk on the exposure of an
institution is derived from the obligation of a third party to pay an amount in
the event of the default of the obligor or the occurrence of other specified credit
events;
(60) ‘cash assimilated instrument’ means a certificate of deposit, a bond,
including a covered bond, or any other non-subordinated instrument, which has
been issued by the lending institution, for which the lending institution has
already received full payment and which shall be unconditionally reimbursed
by the lending institution at its nominal value;’;
(p) the following point (60a) is inserted:
‘(60a) ‘gold bullion’ means gold in the form of a commodity, including gold
bars, ingots and coins, commonly accepted by the bullion market, where liquid
markets for bullion exist, and the value of which is determined by the value of
the gold content, defined by purity and mass, rather than by its interest to
numismatists;’;
EN 50 EN
(q) the following point (74a) is inserted :
‘(74a) ‘property value’ means the value of an immovable property determined
in accordance with Article 229(1);’;
(r) point (75) is replaced by the following:
‘(75) ‘residential property’ means any of the following:
(a) an immovable property which has the nature of a dwelling and satisfies
all applicable laws and regulations enabling the property to be occupied
for housing purposes;
(b) an immovable property which has the nature of a dwelling and is still
under construction, provided that there is the expectation that the
property will satisfy all applicable laws and regulations enabling the
property to be occupied for housing purposes;
(c) the right to inhabit an apartment in housing cooperatives located in
Sweden
(d) land accessory to a property referred to in points (a), (b) or (c);’;
(s) the following points (75a) to (75g) are inserted:
‘(75a) ‘commercial immovable property’ means any immovable property that
is not residential property, including lands other than those referred to in points
(75)(d) and (79);
(75b) ‘income producing real estate exposure’ (IPRE exposure) means an
exposure secured by one or more residential or commercial immovable
properties where the fulfilment of the credit obligations related to the exposure
materially depends on the cash flows generated by those immovable properties
securing that exposure, rather than on the capacity of the obligor to fulfil the
credit obligations from other sources;
(75c) ‘non-income producing real estate exposure’ (non-IPRE exposure) means
any exposure secured by one or more residential or commercial immovable
properties that is not an IPRE exposure;
(75d) ‘non-ADC exposure’ means any exposure secured by one or more
residential or commercial immovable properties that is not an ADC exposure;
(75e) ‘exposure secured by residential property’, or ‘exposure secured by a
mortgage on residential property’, or ‘exposure secured by residential property
collateral’, or ‘exposure secured by residential immovable property’, means an
exposure secured by a mortgage on residential property or secured by any other
mechanisms other than mortgages but which are economically equivalent to
mortgages and recognised as collateral on residential property under the
applicable national law setting out the conditions for the establishment of those
mechanisms;
(75f) ‘exposure secured by commercial immovable property’, or ‘exposure
secured by a mortgage on commercial immovable property’, or ‘exposure
secured by commercial immovable property collateral’ means an exposure
secured by a mortgage on commercial immovable property or secured by any
other mechanisms other than mortgages but which are economically equivalent
to mortgages and recognised as collateral on commercial immovable property
EN 51 EN
under the applicable national law setting out the conditions for the
establishment of those mechanisms;
(75g) ‘exposure secured by immovable property’, or ‘exposure secured by a
mortgage on immovable property’, or ‘exposure secured by immovable
property collateral’ means an exposure secured by a mortgage on residential or
commercial immovable property or secured by any other mechanisms other
than mortgages but which are economically equivalent to mortgages and
recognised as collateral on immovable property under the applicable national
law setting out the conditions for the establishment of those mechanisms;’;
(t) points (78) and (79) are replaced by the following:
‘(78) ‘one-year default rate’ means the ratio between the number of defaults
occurred during a period that starts from one year prior to a date of observation
T, and the number of obligors, or the number of facilities where the
classification as defaulted is applied at facility level pursuant to Article 178,
assigned to this grade or pool one year prior to that date of observation T;
(79) ‘ADC exposures’ or ‘land acquisition, development and construction
exposures’ means exposures to corporates or special purpose entities financing
any land acquisition for development and construction purposes, or financing
development and construction of any residential or commercial immovable
property;’;
(u) point (114) is replaced by the following:
‘(114) ‘indirect holding’ means any exposure to an intermediate entity that has
an exposure to capital instruments issued by a financial sector entity or to
liabilities issued by an institution where, in the event the capital instruments
issued by the financial sector entity or the liabilities issued by the institution
were permanently written off, the loss that the institution would incur as a
result would not be materially different from the loss the institution would
incur from a direct holding of those capital instruments issued by the financial
sector entity or of those liabilities issued by the institution;’
(v) point (126) is replaced by the following:
‘(126) ‘synthetic holding’ means an investment by an institution in a financial
instrument the value of which is directly linked to the value of the capital
instruments issued by a financial sector entity or to the value of the liabilities
issued by an institution;’;
(w) point (144) is replaced by the following:
‘(144) ‘trading desk’ means a well-identified group of dealers set up by the
institution to jointly manage a portfolio of trading book positions, or the non-
trading book positions referred to in Article 104b, paragraphs 5 and 6, in
accordance with a well-defined and consistent business strategy and operating
under the same risk management structure;’
(x) in point (145), the following subparagraph is inserted:
‘For the purposes of point (e), an institution may exclude derivative positions it
entered with its non-financial clients and the derivatives positions it uses to
hedge those positions, provided that the combined value of the excluded
positions calculated in accordance with Article 273a(3) does not exceed 10%
EN 52 EN
of the institution’s total on- and off-balance sheet assets.’;(y) the
following points (151) and (152) are added:
‘(151) ‘revolving exposure’ means any exposure whereby the borrower’s
outstanding balance is permitted to fluctuate based on its decisions to borrow
and repay, up to an agreed limit;
(152) ‘transactor exposure’ means any revolving exposure that has at least 12
months of repayment history and that is one of the following:
(a) an exposure for which, on a regular basis of at least every 12 months, the
balance to be repaid at the next scheduled repayment date is determined
as the drawn amount at a predefined reference date, with a scheduled
repayment date not later than after 12 months, provided that the balance
has been repaid in full at each scheduled repayment date for the previous
12 months;
(b) an overdraft facility where there have been no drawdowns over the
previous 12 months’;
(2) Article 5 is amended as follows:
(a) point (3) is replaced by the following:
‘(3) ‘expected loss’ or ‘EL’ means the ratio, related to a single facility, of the
amount expected to be lost on an exposure from any of the following:
(i) a potential default of an obligor over a one-year period to the amount
outstanding at default;
(ii) a potential dilution event over a one-year period to the amount
outstanding at the date of occurrence of the dilution event;’;
(b) the following points (4) to (10) are added:
‘(4) ‘credit obligation’ means any obligation arising from a credit contract,
including principal, accrued interest and fees, owed by an obligor to an
institution or, where the institution serves as a guarantor, owed by an obligor to
a third party;
(5) ‘credit exposure’ means any on-balance sheet item, including any amount
of principal, accrued interest and fees owed by the obligor to the institution,
and any off-balance sheet item that results, or may result, in a credit obligation;
(6) ‘facility’ means a credit exposure arising from contract or a set of contracts
between an obligor and an institution;
(7) ‘margin of conservatism’ means an additive or multiplicative add-on
incorporated in risk estimates, sufficiently prudent to account for the expected
range of estimation errors stemming from identified deficiencies in data,
methods, models, and changes to underwriting standards, risk appetite,
collection and recovery policies and any other source of additional uncertainty,
as well as from general estimation error;
(8) ‘small and medium-sized enterprise’ or ‘SME’ means a company,
enterprise or undertaking which, according to the last consolidated accounts,
has an annual turnover not exceeding EUR 50 000 000;’
(9) ‘commitment’ means any contractual arrangement that an institution offers
to a client and is accepted by that client, to extend credit, purchase assets or
EN 53 EN
issue credit substitutes. Any arrangement that can be unconditionally cancelled
by the institution at any time without prior notice to the obligor or any
arrangement that can be cancelled by the institution where the obligor fails to
meet conditions set out in the facility documentation, including conditions that
must be met by the obligor prior to any initial or subsequent drawdown under
the arrangement, is a commitment;
Contractual arrangements that meet all of the following conditions shall not be
commitments:
(a) contractual arrangements where the institution receives no fees or
commissions to establish or maintain those contractual arrangements;
(b) contractual arrangements where the client is required to apply to the
institution for the initial and each subsequent drawdown under those
contractual arrangements;
(c) contractual arrangements where the institution has full authority,
regardless of the fulfilment by the client of the conditions set out in the
contractual arrangement documentation, over the execution of each
drawdown;
(d) contractual arrangements where the institution is required to assess the
creditworthiness of the client immediately prior to deciding on the
execution of each drawdown;
(e) contractual arrangements that are offered to a corporate entity, including
an SME, that is closely monitored on an ongoing basis.
(10) ‘unconditionally cancellable commitment’ means any commitment the
terms of which permit the institution to cancel that commitment to the full
extent allowable under consumer protection and related legislation at any time
without prior notice to the obligor or that effectively provide for automatic
cancellation due to deterioration in a borrower's creditworthiness.’;
(3) in Article 6, paragraph 3 is replaced by the following:
‘3. No institution which is either a parent undertaking or a subsidiary, and no
institution included in the consolidation pursuant to Article 18, shall be required to
comply on an individual basis with the obligations laid down in Article 92,
paragraphs 5 and 6, and Part Eight.’;
(4) in Article 10a, the single paragraph is amended as follows:
‘For the purposes of the application of this Chapter, investment firms and investment
holding companies shall be considered to be parent financial holding companies in a
Member State or Union parent financial holding companies where such investment
firms or investment holding companies are parent undertakings of an institution or of
an investment firm subject to this Regulation that is referred to in Article 1(2) or (5)
of Regulation (EU) 2019/2033.’;
(5) in Article 11(1), the first sentence is replaced by the following:
‘Parent institutions in a Member State shall comply, to the extent and in the manner
set out in Article 18, with the obligations laid down in Parts Two, Three, Four, Seven
and Seven A on the basis of their consolidated situation, with the exception of Article
92(3), point (a), and Article 430(1), point (d).’;
EN 54 EN
(6) Article 18 is amended as follows:
(a) paragraph 2 is deleted;
(b) in paragraph 7, first sub-paragraph, the first sentence is replaced by the
following:
‘Where an institution has a subsidiary which is an undertaking other than an
institution or a financial institution or holds a participation in such an
undertaking, it shall apply to that subsidiary or participation the equity
method.’;
(c) a new paragraph 10 is inserted:
‘10. EBA shall report to the Commission by [OP please insert date = 1 year
after the entry into force of this Regulation] on the completeness and
appropriateness of the set of definitions and provisions of this Regulation
concerning the supervision of all types of risks to which institutions are
exposed at a consolidated level. EBA shall assess in particular any possible
remaining discrepancies in those definitions and provisions alongside their
interaction with the applicable accounting framework, and any remaining
aspect that might pose unintended constraints to a consolidated supervision that
is comprehensive and adaptable to new sources or types of risks or structures
that might lead to regulatory arbitrage. EBA shall periodically update its report
on a bi-annual basis.
In the light of EBA’S findings, the Commission may, if appropriate, adopt
delegated acts in accordance with Article 462 to adjust the relevant definitions
or the scope of prudential consolidation.’;
(7) Article 20 is amended as follows:
(a) paragraph 1 is amended as follows:
(i) point (a) is replaced by the following:
‘(a) in the case of applications for the permissions referred to in
Article 143(1), Article 151, paragraphs 4 and 9, Article 283 and Article
363 submitted by an EU parent institution and its subsidiaries, or jointly
by the subsidiaries of an EU parent financial holding company or EU
parent mixed financial holding company, to decide whether or not to
grant the permission sought and to determine the terms and conditions, if
any, to which such permission should be subject;’;
(ii) the third subparagraph is deleted;
(b) paragraph 6 is replaced by the following:
‘6. Where an EU parent institution and its subsidiaries, the subsidiaries of an
EU parent financial holding company or an EU parent mixed financial holding
company use the IRB Approach referred to in Article 143 on a unified basis,
the competent authorities shall allow the parent and its subsidiaries, considered
together, to meet the qualifying criteria set out in Part Three, Title II, Chapter
3, Section 6 in a way that is consistent with the structure of the group and its
risk management systems, processes and methodologies.’;
(8) in Article 27(1), point (a), point (v) is deleted;
(9) in Article 34, the following paragraphs are added:
EN 55 EN
‘By way of derogation from the first paragraph of this Article, in extraordinary
circumstances the existence of which will be determined by an opinion provided by
EBA, institutions may reduce the total additional value adjustments in the calculation
of the total amount to be deducted from Common Equity Tier 1 capital.
For the purposes of providing the opinion referred to in the second subparagraph,
EBA shall monitor the market conditions to assess whether extraordinary
circumstances have occurred and accordingly, shall notify the Commission
immediately.
EBA shall develop draft regulatory technical standards to specify the indicators and
conditions that EBA will use to determine the extraordinary circumstances referred
to in the second paragraph and to specify the reduction of the total aggregated
additional value adjustments referred to in that paragraph.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert date = 2 years after the entry into force of this Regulation].
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the third paragraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.’;
(10) Article 36 is amended as follows:
(a) in paragraph 1, point (d) is replaced by the following:
‘(d) for institutions calculating risk-weighted exposure amounts using the
Internal Ratings Based Approach (the IRB Approach), the IRB shortfall where
applicable, calculated in accordance with Article 159;’;
(b) in paragraph 1, in point (k), point (v) is deleted;
(11) in Article 46(1), in point (a), point (ii) is replaced by the following:
‘(ii) the deductions referred to in Article 36(1), points (a) to (g), points (k)(ii), (iii)
and (iv) and points (l), (m) and (n), excluding the amount to be deducted for deferred
tax assets that rely on future profitability and arise from temporary differences;’;
(12) in Article 48, paragraph 1 is amended as follows:
(a) in point (a), point (ii) is replaced by the following:
‘(ii) Article 36(1), points (a) to (h), points (k)(ii), (iii) and (iv) and points (l),
(m) and (n), excluding deferred tax assets that rely on future profitability and
arise from temporary differences.’;
(b) in point (b), point (ii) is replaced by the following:
‘(ii) Article 36(1), points (a) to (h), points (k)(ii), (iii) and (iv) and points (l),
(m) and (n), excluding deferred tax assets that rely on future profitability and
arise from temporary differences.’;
(13) in Article 49, paragraph 4 is replaced by the following:
‘4. The holdings in respect of which deduction is not made in accordance with
paragraph 1 shall qualify as exposures and shall be risk weighted in accordance with
Part Three, Title II, Chapter 2.
The holdings in respect of which deduction is not made in accordance with
paragraphs 2 or 3 shall qualify as exposures and shall be risk weighted at 100 %.’;
EN 56 EN
(14) in Article 60(1), in point (a), point (ii) is replaced by the following:
‘(ii) Article 36(1), points (a) to (g), points (k)(ii), (iii) and (iv) and points (l), (m) and
(n), excluding deferred tax assets that rely on future profitability and arise from
temporary differences;’;
(15) in Article 62, first subparagraph, point (d) is replaced by the following:
‘(d) for institutions calculating risk-weighted exposure amounts under Chapter 3 of
Title II of Part Three, the IRB excess where applicable, gross of tax effects,
calculated in accordance with Article 159 up to 0,6 % of risk-weighted exposure
amounts calculated under Chapter 3 of Title II of Part Three.’;
(16) in Article 70(1), in point (a), point (ii) is replaced by the following:
‘(ii) Article 36(1), points (a) to (g), points (k)(ii), (iii) and (iv) and points (l), (m) and
(n), excluding the amount to be deducted for deferred tax assets that rely on future
profitability and arise from temporary differences;’;
(17) in Article 72b(3), first subparagraph, the introductory phrase is replaced by the
following:
‘In addition to the liabilities referred to in paragraph 2 of this Article, the resolution
authority may permit liabilities to qualify as eligible liabilities instruments up to an
aggregate amount that does not exceed 3,5 % of the total risk exposure amount
calculated in accordance with Article 92(3), provided that:’;
(18) in Article 72i(1), in point (a), point (ii) is replaced by the following:
‘(ii) Article 36(1), points (a) to (g), points (k)(ii), (iii) and (k)(iv) and points (l), (m)
and (n), excluding the amount to be deducted for deferred tax assets that rely on
future profitability and arise from temporary differences;’;
(19) in Article 84(1), point (a) is replaced by the following:
‘(a) the Common Equity Tier 1 capital of the subsidiary minus the lower of the
following:
(i) the amount of Common Equity Tier 1 capital of that subsidiary required
to meet the following:
– where the subsidiary is an institution, the sum of the requirement
laid down in Article 92(1), point (a), the requirements referred to in
Articles 458 and 459 , the specific own funds requirements referred
to in Article 104 of Directive 2013/36/EU, the combined buffer
requirement defined in Article 128, point (6), of that Directive, or
any local supervisory regulations in third countries insofar as those
requirements are to be met by Common Equity Tier 1 capital, as
applicable;
– where the subsidiary is an investment firm, the sum of the
requirement laid down in Article 11 of Regulation (EU) 2019/2033,
the specific own funds requirements referred to in Article 39(2),
point (a), of Directive (EU) 2019/2034, or any local supervisory
regulations in third countries, insofar as those requirements are to
be met by Common Equity Tier 1 capital, as applicable;
(ii) the amount of consolidated Common Equity Tier 1 capital that relates to
that subsidiary that is required on a consolidated basis to meet the sum of
EN 57 EN
the requirement laid down in Article 92(1), point (a), the requirements
referred to in Articles 458 and 459, the specific own funds requirements
referred to in Article 104 of Directive 2013/36/EU and the combined
buffer requirement defined in Article 128, point (6), of that Directive;’;
(20) in Article 85(1), point (a) is replaced by the following:
‘(a) the Tier 1 capital of the subsidiary minus the lower of the following:
(i) the amount of Tier 1 capital of the subsidiary required to meet the
following:
– where the subsidiary is an institution, the sum of the requirement
laid down in Article 92(1), point (b), the requirements referred to in
Articles 458 and 459, the specific own funds requirements referred
to in Article 104 of Directive 2013/36/EU, the combined buffer
requirement defined in Article 128, point (6), of that Directive, or
any local supervisory regulations in third countries insofar as those
requirements are to be met by Tier 1 Capital, as applicable;
– where the subsidiary is an investment firm, the sum of the
requirement laid down in Article 11 of Regulation (EU) 2019/2033,
the specific own funds requirements referred to in Article 39(2),
point (a), of Directive (EU) 2019/2034, or any local supervisory
regulations in third countries insofar as those requirements are to be
met by Tier 1 capital, as applicable;
(ii) the amount of consolidated Tier 1 capital that relates to the subsidiary
that is required on a consolidated basis to meet the sum of the
requirement laid down in Article 92(1), point (b), the requirements
referred to in Articles 458 and 459, the specific own funds requirements
referred to in Article 104 of Directive 2013/36/EU and the combined
buffer requirement defined in Article 128, point (6), of that Directive;’;
(21) the following Article 88b is inserted:
‘Article 88b
Undertakings in third countries
For the purposes of this Title II, the terms ‘investment firm’ and ‘institution’ shall be
understood to include also undertakings established in third countries, which, were
they established in the Union, would fall under the definitions of those terms in
Article 4(1), points (2) and (3).’;
(22) in Article 89, paragraph 1 is replaced by the following:
‘1. A qualifying holding, the amount of which exceeds 15 % of the eligible capital of
the institution, in an undertaking which is not a financial sector entity, shall be
subject to the provisions laid down in paragraph 3.’;
(23) Article 92 is amended as follows:
(a) paragraph 3 and 4 are replaced by the following:
‘3. The total risk exposure amount shall be calculated as follows:
(a) a stand-alone institution in the EU and, for the purposes of complying
with the obligations of this Regulation on the basis of its consolidated
situation in accordance with Part One, Title II, Chapter 2, an EU parent
EN 58 EN
institution, an EU parent financial holding company and an EU parent
mixed financial holding company shall calculate the total risk exposure
amount as follows:
TREA = max {U-TREA; x ∙ S-TREA}
where:
TREA = the total risk exposure amount of the entity;
U-TREA= the un-floored total risk exposure amount of the entity
calculated in accordance with paragraph 4;
S-TREA = the standardised total risk exposure amount of the entity
calculated in accordance with paragraph 5;
x = 72,5 %;
(b) for the purposes set out in points (i) and (ii), the total risk exposure
amount shall be calculated in accordance with paragraph 6:
(i) in case of a stand-alone subsidiary institution in a Member State,
for the purposes of complying with obligations of this Regulation
on its individual basis;
(ii) in case of a parent institution in a Member State, a parent financial
holding company in a Member State or a parent mixed financial
holding company in a Member State, for the purposes of complying
with obligations of this Regulation on the basis of its consolidated
situation;
(c) for the purposes of complying with the obligations of this Regulation on
an individual basis, the total risk exposure amount of an institution which
is neither a stand-alone institution in the EU nor a stand-alone subsidiary
institution in a Member State shall be the un-floored total risk exposure
amount calculated in accordance with paragraph 4.
4. The un-floored total risk exposure amount shall be calculated as the sum of
points (a) to (f) of this paragraph after having taken into account paragraph 7:
(a) the risk-weighted exposure amounts for credit risk, including
counterparty risk, and dilution risk, calculated in accordance with Title II
and Article 379, in respect of all the business activities of an institution,
excluding risk-weighted exposure amounts for counterparty risk from the
trading book business of the institution;
(b) the own funds requirements for the trading-book business of an
institution for the following:
(i) market risk, calculated in accordance with Title IV of this Part;
(ii) large exposures exceeding the limits specified in Articles 395 to
401, to the extent that an institution is permitted to exceed those
limits, as determined in accordance with Part Four;
(c) the own funds requirements for market risk, calculated in accordance
with Title IV of this Part for all business activities that are subject to
foreign exchange risk or commodity risk;
EN 59 EN
(ca) the own funds requirements for settlement risk, calculated in accordance
with Title V of this Part, with the exception of Article 379;
(d) the own funds requirements for credit valuation adjustment risk,
calculated in accordance with Title VI of this Part;
(e) the own funds requirements for operational risk, calculated in accordance
with Title III of this Part;
(f) the risk-weighted exposure amounts for counterparty risk arising from
the trading book business of the institution for the following types of
transactions and agreements, calculated in accordance with Title II of this
Part:
(i) contracts listed in Annex II and credit derivatives;
(ii) repurchase transactions, securities or commodities lending or
borrowing transactions based on securities or commodities;
(iii) margin lending transactions based on securities or commodities;
(iv) long settlement transactions.’;
(b) the following paragraphs 5, 6 and 7 are added:
‘5. The standardised total risk exposure amount shall be calculated as the sum
of paragraph 4, points (a) to (f), after having taken into account paragraph 7
and the following requirements:
(a) the risk-weighted exposure amounts for credit risk and dilution risk
referred to in paragraph 4, point (a), and for counterparty risk arising
from the trading book business as referred to in point (f) of that
paragraph shall be calculated without using any of the following
approaches:
(i) the internal models approach for master netting agreements set out
in Article 221;
(ii) the Internal Ratings Based Approach provided for in Chapter 3;
(iii) the Securitisation Internal Ratings-Based Approach (SEC-IRBA)
set out in Articles 258 to 260 and the Internal Assessment
Approach (IAA) set out in Article 265;
(iv) the approach set out in this Part, Title II, Chapter 6, Section 6;
(b) the own funds requirements for market risk for the trading book business
referred to in paragraph 3, point (b)(i), and for all its business activities
that are subject to foreign exchange risk or commodity risk referred to in
point (c) of that paragraph shall be calculated without using the
alternative internal model approach set out in Part Three, Title IV,
Chapter 1b.
6. The total risk exposure amount of an entity ‘i’ for the purposes set out in
paragraph 3, point (b), shall be calculated as follows:
TREAi = U-TREAi + DIconso
∗ Contribi
conso
where:
i = the index that denotes the entity;
EN 60 EN
TREAi = the total risk exposure amount of entity i;
U-TREAi = the un-floored total risk exposure amount of entity i calculated in
accordance with paragraph 4;
DIconso
= any positive difference between the total risk exposure amount and
the un-floored total risk exposure amount for the consolidated situation of the
EU parent institution, EU parent financial holding company or EU parent
mixed financial holding company of the group that entity i is part of, calculated
as follows:
DIconso
= TREA − U-TREA
where:
U-TREA = the un-floored total risk exposure amount calculated in accordance
with paragraph 4 for that EU parent institution, EU parent financial holding
company or EU parent mixed financial holding company on the basis of its
consolidated situation;
TREA = the total risk exposure amount calculated in accordance with
paragraph 3, point (a), for that EU parent institution, EU parent financial
holding company or EU parent mixed financial holding company on the basis
of its consolidated situation.
Contribconso
i = the contribution of entity i, calculated as follows:
Contribi
conso
= {
(F-TREA𝑖
− U-TREA𝑖)
∑ (
𝑗 F-TREA𝑗 − U-TREA𝑗 )
, 𝑖𝑓 ∑(
𝑗
F-TREA𝑗 − U-TREAj) > 0
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
where:
j = the index that denotes all entities that are part of the same group
as entity i for the consolidated situation of the EU parent institution, EU parent
financial holding company or EU parent mixed financial holding company;
U-TREAj = the un-floored total risk exposure amount calculated by entity j in
accordance with paragraph 4 on the basis of its consolidated situation or, in
case entity j is a stand-alone subsidiary institution in a Member State, on its
individual basis;
F-TREAj = the floored total risk exposure amount of entity j calculated on
the basis of its consolidated situation as follows:
F-TREAj = max {U-TREAj ; x ∙ S-TREAj}
where:
F-TREAj = the floored total risk exposure amount calculated by entity j on
the basis of its consolidated situation or, in case entity j is a stand-alone
subsidiary institution in a Member State, for its individual basis;
S-TREAj = the standardised total risk exposure amount calculated in
accordance with paragraph 5 by entity j on the basis of its consolidated
situation or, in case entity j is a stand-alone subsidiary institution in a Member
State, for its individual basis;
EN 61 EN
x = 72,5 %.
7. The following provisions shall apply to the calculations of the total un-
floored risk exposure amount referred to in paragraph 4 and of the standardised
risk exposure amount referred to in paragraph 5:
(a) the own funds requirements referred to in paragraph 4, points (c), (ca),
(d) and (e), shall include those arising from all the business activities of
an institution;
(b) institutions shall multiply the own funds requirements set out in
paragraph 4, points (b) to (e), by 12,5.’;
(24) in Article 92a(1), point (a) is replaced by the following:
‘(a) a risk-based ratio of 18 %, representing the own funds and eligible liabilities of
the institution expressed as a percentage of the total risk exposure amount calculated
in accordance with Article 92(3);’;
(25) in Article 102, paragraph 4 is replaced by the following:
‘4. For the purposes of calculating the own fund requirements for market risk in
accordance with the approach referred to in Article 325(1), point (b), trading book
positions shall be assigned to trading desks established in accordance with Article
104b.’;
(26) Article 104 is replaced by the following:
‘Article 104
Inclusion in the trading book
1. An institution shall have in place clearly defined policies and procedures for
determining which positions to include in the trading book to calculate its own fund
requirements, in accordance with Article 102 and this Article, taking into account the
institution's risk management capabilities and practices. The institution shall fully
document its compliance with those policies and procedures, shall subject them to an
internal audit on at least a yearly basis and shall make the results of that audit
available to the competent authorities.
2. Institutions shall assign positions in the following instruments to the trading book:
(a) instruments that meet the criteria, set out in Article 325, paragraphs 6, 7 and 8,
for the inclusion in the alternative correlation trading portfolio ('ACTP');
(b) instruments that would give rise to a net short credit or equity position in the
non-trading book, with the exception of the own liabilities of the institution,
unless such positions meet the criteria referred to in paragraph 2, point (e);
(c) instruments resulting from securities underwriting commitments, where those
underwriting commitments relate only to securities that are expected to be
actually purchased by the institution on the settlement date;
(d) financial assets or liabilities classified unambiguously as having a trading
purpose under the accounting framework applicable to the institution;
(e) instruments resulting from market-making activities;
(f) collective investment undertakings held with trading intent, provided that those
collective investment undertakings meet at least one of the conditions specified
in paragraph 7;
EN 62 EN
(g) listed equities;
(h) trading-related securities financing transactions;
(i) options, or other derivatives, embedded in the own liabilities of the institution
or from other instruments in the non-trading book that relate to credit or equity
risk.
For the purposes of point (b), an institution shall have a net short equity position
where a decrease in the equity’s price results in a profit for the institution. An
institution shall have a net short credit position where the credit spread increase or
deterioration in the creditworthiness of the issuer or group of issuers results in a
profit for the institution. Institutions shall continuously monitor where instruments
give rise to a net short credit or equity position in the non-trading book.
For the purposes of point (i), an institution shall split the embedded option from its
own liability or from the other instrument in the non-trading book that relate to credit
or equity risk and shall assign, the own liability or the other instrument to the trading
or to the non-trading book, as appropriate, in accordance with this Article.
3. Institutions shall not assign positions in the following instruments to the trading
book:
(a) instruments designated for securitisation warehousing;
(b) real estate holdings-related instruments;
(c) unlisted equities;
(d) retail and SME credit-related instruments;
(e) other collective investment undertakings than the ones specified in paragraph
2, point (f);
(f) derivative contracts and collective investment undertakings with one or more
of the underlying instruments referred to in points (a) to (d);
(g) instruments held for hedging a particular risk of one or more positions in an
instrument referred to in points (a) to (f);
(h) own liabilities of the institution, unless such instruments meet the criteria
referred to in paragraph 2, point (e).
4. By way of derogation from paragraph 2, an institution may assign to the non-
trading book a position in an instrument referred to in points (d) to (i) of that
paragraph, subject to the approval from its competent authority. The competent
authority shall give its approval where the institution has proven to the authority’s
satisfaction that the position is not held with trading intent or does not hedge
positions held with trading intent.
5. Where an institution has assigned to the trading book a position in an instrument
other than the instruments referred to in paragraph 2, points (a), (b) or (c), the
institution’s competent authority may ask the institution to provide evidence to
justify such assignment. Where the institution fails to provide suitable evidence, its
competent authority may require the institution to reallocate that position to the non-
trading book.
6. Where an institution has assigned to the non-trading book a position in an
instrument other than the instruments referred to in paragraph 3, the institution’s
competent authority may ask the institution to provide evidence to justify such
EN 63 EN
assignment. Where the institution fails to provide suitable evidence, its competent
authority may require the institution to reallocate that position to the trading book.
7. An institution shall assign to the trading book a position in a collective investment
undertaking that is held with trading intent and where the institution meets one of the
following conditions:
(a) the institution is able to obtain sufficient information about the individual
underlying exposures of the CIU;
(b) the institution is not able to obtain sufficient information about the individual
underlying exposures of the CIU, but the institution has knowledge of the
content of the mandate of the CIU and is able to obtain daily price quotes for
the CIU.
8. EBA shall develop draft regulatory technical standards to further specify the
process that institutions shall use to calculate and monitor net short credit or equity
positions in the non-trading book referred to in the paragraph 2, point (b).
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert date = 24 months after the entry into force of this Regulation].
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the first subparagraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.’;
(27) Article 104a is amended as follows:
(a) in paragraph 1, the second subparagraph is replaced by the following:
‘EBA shall monitor the range of supervisory practices and shall issue by 28
June 2024 guidelines on what exceptional circumstances entail for the purposes
of the first subparagraph and of paragraph 5. Those guidelines shall be adopted
in accordance with Article 16 of Regulation (EU) No 1093/2010. Until EBA
issues those guidelines, competent authorities shall notify EBA of, and shall
provide a rationale for, their decisions on whether or not to permit an
institution to reclassify a position as referred to in paragraph 2 of this Article.’;
(b) paragraph 5 is replaced by the following:
‘5. The reclassification of a position in accordance with this Article shall be
irrevocable, except in the exceptional circumstances referred to in paragraph
1.’;
(c) the following paragraph 6 is added:
‘6. By way of derogation from paragraph 1, an institution may reclassify a non-
trading book position as a trading book position in accordance with Article
104(2), point (d), without seeking permission from its competent authority. In
such case, the requirements laid down in paragraphs 3 and 4 shall continue to
apply to the institution. The institution shall immediately notify its competent
authority where such reclassification has occurred.’;
(28) Article 104b is amended as follows:
(a) paragraph 1 is replaced by the following:
‘1. For the purposes of calculating the own funds requirements for market risk
in accordance with the approach referred to in Article 325(1), point (b),
institutions shall establish trading desks and shall assign each of their trading
EN 64 EN
book positions and their non-trading book positions referred to in paragraphs 5
and 6 to one of those trading desks. Trading book positions shall be attributed
to the same trading desk only where those positions are in compliance with the
agreed business strategy for that trading desk and are consistently managed and
monitored in accordance with paragraph 2 of this Article.’;
(b) the following paragraphs 5 and 6 are added:
‘5. To calculate their own funds requirements for market risk, institutions shall
assign each of their non-trading book positions that are subject to foreign
exchange risk or commodity risk to trading desks established in accordance
with paragraph 1 that manage risks that are similar to those positions.
6. By way of derogation from paragraph 5, institutions may, when calculating
their own funds requirements for market risk, establish one or more trading
desks to which they assign exclusively non-trading book positions subject to
foreign exchange risk or commodity risk. Those trading desks shall not be
subject to the requirements set out in paragraphs 1, 2 and 3.’;
(29) the following Article 104c is inserted:
‘Article 104c
Treatment of foreign exchange risk hedges of capital ratios
1. An institution which has deliberately taken a risk position in order to hedge, at
least partially, against adverse movements in foreign exchange rates on any of its
capital ratios as referred to in Article 92(1), points (a), (b) and (c), may, subject to
permission of the competent authorities, exclude that risk position from the own
funds requirements for foreign exchange risk set out in Article 325(1), provided that
all of the following conditions are met:
(a) the maximum amount of the risk position that is excluded from the own funds
requirements for market risk is limited to the amount of the risk position that
neutralises the sensitivity of any of the capital ratios to the adverse movements
in foreign exchange rates;
(b) the risk position is excluded from the own funds requirements for market risk
for at least 6 months;
(c) the institution has established an appropriate risk management framework for
hedging the adverse movements in foreign exchange rates on any of its capital
ratios, including a clear hedging strategy and governance structure;
(d) the institution has provided to the competent authorities a justification for
excluding a risk position from the own funds requirements for market risk, the
details of that risk position and the amount to be excluded from the own funds
requirements for market risk.
2. Any exclusion of risk positions from the own funds requirements for market risk
in accordance with paragraph 1 shall be applied consistently.
3. The competent authorities shall approve any changes by the institution to the risk
management framework referred to in paragraph 1, point (c), and to the details of the
risk positions referred to in paragraph 1, point (d).
4. EBA shall develop draft regulatory technical standards to specify:
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(a) the risk positions that an institution can deliberately take in order to hedge, at
least partially, against the adverse movements of foreign exchange rates on any
of an institution’s capital ratios referred to paragraph 1, first subparagraph;
(b) how to determine the maximum amount referred to in paragraph 1, point (a),
and the manner in which an institution shall exclude this amount for each of the
approaches set out in Article 325(1);
(c) the criteria that shall be met by an institution’s risk management framework
referred to in paragraph 1, point(c), in order to be considered appropriate for
the purpose of this Article.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 2 years after the entry into force of this Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.’;
(30) Article 106 is amended as follows:
(a) in paragraph 3, the last subparagraph is replaced by the following:
‘Both an internal hedge recognised in accordance with the first subparagraph
and the credit derivative entered into with the third party shall be included in
the trading book to calculate the own funds requirements for market risk. To
calculate the own funds requirements for market risk using the approach set out
in Article 325(1), point (b), both positions shall be assigned to the same trading
desk established in accordance to Article 104b(1) that manages similar risks.’
(b) in paragraph 4, the last subparagraph is replaced by the following:
‘Both an internal hedge recognised in accordance with the first subparagraph
and the equity derivative entered into with the eligible third party protection
provider shall be included in the trading book for the purposes of calculating
the own funds requirements for market risk. For the purposes of calculating the
own funds requirements for market risks using the approach set out in Article
325(1), point (b) both positions shall be assigned to the same trading desk
established in accordance to Article 104b(1) that manages similar risks.’
(c) paragraph 5 is replaced by the following:
‘5. Where an institution hedges non-trading book interest rate risk exposures
using an interest rate risk position booked in its trading book, that interest rate
risk position shall be considered to be an internal hedge to assess the interest
rate risk arising from non-trading positions in accordance with Articles 84 and
98 of Directive 2013/36/EU where the following conditions are met:
(a) to calculate the own funds requirements for market risk using the
approaches referred to in Article 325(1), points (a), (b) and (c), the
interest rate risk position has been assigned to a separate portfolio from
the other trading book positions, the business strategy of which is solely
dedicated to manage and mitigate the market risk of internal hedges of
interest rate risk exposure; for that purpose;
(b) for the purposes of calculating the own funds requirements for market
risk using the approaches referred to in Article 325(1), point (b), the
position has been assigned to a trading desk established in accordance
EN 66 EN
with Article 104b the business strategy of which is solely dedicated to
manage and mitigate the market risk of internal hedges of interest rate
risk exposure;
(c) the institution has fully documented how the position mitigates the
interest rate risk arising from non-trading book positions for the purposes
of the requirements laid down in Articles 84 and 98 of Directive
2013/36/EU.’;
(d) the following paragraphs 5a and 5b are inserted:
‘5a. For the purposes of paragraph 5, point (a), the institution may assign to
that portfolio other interest rate risk positions entered into with third parties, or
with its own trading book, as long as the institution perfectly offsets the market
risk of those interest rate risk positions entered into with its own trading book
by entering into opposite interest rate risk positions with third parties.
5b. The following requirements apply to the trading desk referred to in
paragraph 5, point (b):
(a) that trading desk may include other interest rate risk positions entered
into with third parties or with other trading desks of the institution, as
long as those positions meet the requirements for inclusion in the trading
book referred to in Article 104 and those other trading desks perfectly
offset the market risk of those other interest rate risk positions by
entering into opposite interest rate risk positions with third parties;
(b) no trading book positions other than those referred to in point (a) are
assigned to that trading desk;
(c) by way of derogation from Article 104b, that trading desk shall not be
subject to the requirements set out in paragraphs 1, 2 and 3 of that
Article.
(e) paragraphs 6 and 7 are replaced by the following:
‘6. The own funds requirements for the market risk of all the positions assigned
to the separate portfolio referred to in paragraph 5, point (a), or to the trading
desk referred to in point (b) of that paragraph, shall be calculated on a stand-
alone basis, in addition to the own funds requirements for the other trading
book positions.
7. Where an institution hedges a CVA risk exposure using a derivative
instrument entered into with its trading book, the position in that derivative
instrument shall be recognised as an internal hedge for the CVA risk exposure
for the purpose of calculating the own funds requirements for CVA risks in
accordance with the approaches set out in Articles 383 or 384, where the
following conditions are met:
(a) the derivative position is recognised as an eligible hedge in accordance
with Article 386;
(b) where the derivative position is subject to any of the requirements set out
in Article 325c(2), points (b) or (c), or in Article 325e(1), point (c), the
institution perfectly offsets the market risk of that derivative position by
entering into opposite positions with third parties;
EN 67 EN
The opposite trading book position of the internal hedge recognised in
accordance with the first subparagraph shall be included in the institution’s
trading book to calculate the own funds requirements for market risk.’
(31) in Article 107, paragraphs 1, 2 and 3 are replaced by the following:
‘1. Institutions shall apply either the Standardised Approach provided for in Chapter
2 or, where permitted by the competent authorities in accordance with Article 143,
the Internal Ratings Based Approach provided for in Chapter 3 to calculate their risk-
weighted exposure amounts for the purposes of Article 92(4), points (a) and (f).
2. For trade exposures and for default fund contributions to a central counterparty,
institutions shall apply the treatment set out in Chapter 6, Section 9 to calculate their
risk-weighted exposure amounts for the purposes of Article 92(4), points (a) and (f).
For all other types of exposures to a central counterparty, institutions shall treat those
exposures as follows:
(a) as exposures to an institution for other types of exposures to a qualifying CCP;
(b) as exposures to a corporate for other types of exposures to a non- qualifying
CCP.
3. For the purposes of this Regulation, exposures to third country investment firms
and exposures to third country credit institutions and exposures to third country
clearing houses and exchanges, as well as exposures to third country financial
institutions authorised and supervised by third country authorities and subject to
prudential requirements comparable to those applied to institutions in terms of
robustness, shall be treated as exposures to an institution only if the third country
applies prudential and supervisory requirements to that entity that are at least
equivalent to those applied in the Union.”’;
(32) Article 108 is replaced by the following:
‘Article 108
Use of credit risk mitigation techniques under the Standardised Approach and the IRB
Approach for credit risk and dilution risk
1. For an exposure to which an institution applies the Standardised Approach under
Chapter 2 or applies the IRB Approach under Chapter 3 but without using its own
estimates of loss given default (LGD) under Article 143, the institution may take into
account the effect of FCP in accordance with Chapter 4 in the calculation of risk-
weighted exposure amounts for the purposes of Article 92(4) points (a) and (f) or,
where relevant, expected loss (EL) amounts for the purposes of the calculation
referred to in Article 36(1) point (d) and Article 62 point (c).
2. For an exposure to which an institution applies the IRB Approach by using its own
estimates of LGD under Article 143, the institution may take into account the effect
of FCP in risk-weighted exposure amounts and expected loss amounts in accordance
with Chapter 3.
2a. Where an institution applies the IRB Approach by using its own estimates of
LGD under Article 143 for both the original exposure and for comparable direct
exposures to the protection provider, the institution may take into account the effect
of UFCP in risk-weighted exposure amounts and expected loss amounts in
accordance with Chapter 3. In all other cases, the institution may take into account
EN 68 EN
the effect of UFCP in risk-weighted exposure amounts and expected loss amounts in
accordance with Chapter 4.
3. Subject to the conditions set out in paragraph 4, retail loans may be regarded as
exposures secured by a mortgage on residential property, instead of being treated as
guaranteed exposures, for the purposes of Part three, Title II, Chapters 2, 3 and 4 as
applicable, where in a Member State the following conditions for those retail loans
have been fulfilled:
(a) the majority of loans to natural persons for the purchase of residential
properties in that Member State are not provided as mortgages in legal form;
(b) the majority of loans to individuals for the purchase of residential properties in
that Member State are guaranteed by a guarantor with a credit assessment by
an nominated ECAI corresponding to a credit quality step of 1 or 2, that is
required to repay the institution in full where the original borrower defaults;
(c) the institution has the legal right to take a mortgage on the residential property
in the event that the guarantor referred to in point (b) fails.
Competent authorities shall inform EBA where the conditions referred in points (a),
(b) and (c) are met in the national territories of their jurisdictions, and shall provide
the names of guarantors eligible to that treatment which fulfil the conditions of this
paragraph and paragraph 4.
EBA shall publish the list of all such eligible guarantors on its website and update
that list yearly.
4. For the purposes of paragraph 3, loans referred to in that paragraph may be treated
as exposures secured by a mortgage on residential property, instead of being treated
as guaranteed exposures, where all of the following conditions are met:
(a) for an exposure that is treated under the Standardised Approach the exposure
meets all of the requirements to be assigned to the Standardised Approach
‘exposures secured by mortgages on immovable property’ exposure class
pursuant to Articles 124 and 125 with the exception that the institution granting
the loan does not hold a mortgage over the residential property;
(b) for an exposure that is treated under the IRB Approach, the exposure meets all
of the requirements to be assigned to the IRB exposure class ‘retail exposures
secured by residential property’ referred to in Article 147(2), (d)(ii), with the
exception that the institution granting the loan does not hold a mortgage over
the property;
(c) there is no mortgage lien on the residential property when the loan is granted
and the borrower is contractually committed not to grant any mortgage lien
without the consent of the institution that originally granted the loan;
(d) the guarantor is an eligible protection provider as referred to in Article 201, and
the guarantor has a credit assessment by an ECAI corresponding to a credit
quality step of 1 or 2;
(e) the guarantor is an institution or a financial sector entity subject to capital
requirements at least equivalent to those applicable to institutions or insurance
undertakings;
(f) the guarantor has established a fully-funded mutual guarantee fund or
equivalent protection for insurance undertakings to absorb credit risk losses,
EN 69 EN
the calibration of which is periodically reviewed by its competent authority and
is subject to yearly stress testing;
(g) the institution is contractually and legally allowed to take a mortgage on the
residential property in the event that the guarantor fails;
(h) the institution that decides to exercise the option provided for in paragraph 3
for a given eligible guarantor under the mechanism referred to in paragraph 3,
shall do so for all its retail exposures guaranteed by that guarantor under that
mechanism.’;
(33) the following Article 110a is inserted:
‘Article 110a
Monitoring of contractual arrangements that are not commitments
‘Institutions shall monitor contractual arrangements that meet all the conditions
specified in Article 5, point (9), second subparagraph, points (a) to (e), and shall
document to the satisfaction of their competent authorities their compliance with all
those conditions.’;
(34) Article 111 is replaced by the following:
‘Article 111
Exposure value
‘1. The exposure value of an asset item shall be its accounting value remaining after
specific credit risk adjustments in accordance with Article 110, additional value
adjustments in accordance with Article 34 related to the non-trading book business of
the institution, amounts deducted in accordance with Article 36(1), point (m), and
other own funds reductions related to the asset item have been applied.
2. The exposure value of an off-balance sheet item listed in Annex I shall be the
following percentage of the item’s nominal value after the deduction of specific
credit risk adjustments in accordance with Article 110 and amounts deducted in
accordance with Article 36(1), point (m):
(a) 100 % for items in bucket 1;
(b) 50 % for items in bucket 2;
(c) 40 % for items in bucket 3;
(d) 20 % for items in bucket 4;
(e) 10 % for items in bucket 5.
3. The exposure value of a commitment on an off-balance sheet item as referred to in
paragraph 2 shall be the lower of the following percentages of the commitment’s
nominal value after the deduction of specific credit risk adjustments and amounts
deducted in accordance with Article 36(1), point (m):
(a) the percentage referred to in paragraph 2 that is applicable to the item on which
the commitment is made;
(b) the percentage referred to in paragraph 2 that is applicable to the type of
commitment.
4. For contractual arrangements offered by an institution, but not yet accepted by the
client, that would become commitments if accepted by the client, and contractual
arrangements that would qualify as commitments but meet the conditions for not
EN 70 EN
being treated as commitments, the percentage applicable to that type of contractual
arrangement shall be that provided for in accordance with paragraph 2.
5. Where an institution is using the Financial Collateral Comprehensive Method
referred to in Article 223, the exposure value of securities or commodities sold,
posted or lent under a repurchase transaction or under a securities or commodities
lending or borrowing transaction, and of margin lending transactions shall be
increased by the volatility adjustment appropriate to such securities or commodities
in accordance with Articles 223 and 224.
6. The exposure value of a derivative instrument listed in Annex II shall be
determined in accordance with Chapter 6, taking into account the effects of contracts
of novation and other netting agreements as specified in that Chapter. The exposure
value of repurchase transactions, securities or commodities lending or borrowing
transactions, long settlement transactions and margin lending transactions may be
determined in accordance with either Chapter 4 or Chapter 6.
7. Where the exposure is covered by a funded credit protection, the exposure value
may be amended in accordance with Chapter 4.
8. EBA shall develop draft regulatory technical standards to specify:
(a) the criteria that institutions shall use to assign off-balance sheet items, with the
exception of items already included in Annex I, to the buckets 1 to 5 referred to
in Annex I;
(b) the factors that may constrain the institutions’ ability to cancel the
unconditionally cancellable commitments referred to in Annex I;
(c) the process for notifying EBA about the institutions’ classification of other off-
balance sheet items carrying similar risks as those referred to in Annex I.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 1 year after the entry into force of this Regulation].
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the first subparagraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.’;
(35) in Article 112, point (k) is replaced by the following:
‘(k) subordinated debt exposures;’;
(36) Article 113 is amended as follows :
(a) paragraph 1 is replaced by the following:
‘1. To calculate risk-weighted exposure amounts, risk weights shall be applied
to all exposures, unless those exposures have been deducted from own funds,
in accordance with Section 2, based on the exposure class to which those
exposures are assigned and, to the extent specified in Section 2, based on the
credit quality of those exposure. Credit quality may be determined by reference
to the credit assessments of ECAIs or the credit assessments of export credit
agencies in accordance with Section 3. With the exception of exposures
assigned to the exposure classes laid down in Article 112, point (a), (b), (c) and
(e), where the assessment in accordance with Article 79, point (b) of
Directive 2013/36/EU reflects higher risk characteristics than those implied by
the credit assessment of the nominated ECAI or export credit agency, the
EN 71 EN
institution shall assign a risk weight at least one credit quality step higher than
the risk weight implied by the credit assessment of the nominated ECAI or
export credit agency.’;
(b) paragraph 3 is replaced by the following:
‘3. Where an exposure is subject to credit protection, the exposure value or the
applicable risk weight to that exposure, as appropriate, may be amended in
accordance with this Chapter and Chapter 4.’;
(37) in Article 119, paragraphs 2 and 3 are deleted;
(38) in Article 120, paragraphs 1 and 2 are replaced by the following:
‘1. Exposures for which a credit assessment by a nominated ECAI is available shall
be assigned a risk weight in accordance with Table 3 which corresponds to the credit
assessment of the ECAI in accordance with Article 136.
Table 3
Credit quality step 1 2 3 4 5 6
Risk weight 20 %30 %50 %100 %100 %150 %
2. Exposures with an original maturity of three months or less for which a credit
assessment by a nominated ECAI is available and exposures which arise from the
movement of goods across national borders with an original maturity of six months
or less and for which a credit assessment by a nominated ECAI is available, shall be
assigned a risk weight in accordance with Table 4 which corresponds to the credit
assessment of the ECAI in accordance with Article 136.
Table 4
Credit quality step 1 2 3 4 5 6
Risk weight 20 % 20 % 20 % 50 % 50 % 150 %
(39) Article 121 is replaced by the following:
‘Article 121
Exposures to unrated institutions
1. Exposures to institutions for which a credit assessment by a nominated ECAI is
not available shall be assigned to one of the following grades:
(a) where all of the following conditions are met, exposures to institutions shall be
assigned to Grade A:
(i) the institution has adequate capacity to meet its financial commitments,
including repayments of principal and interest, in a timely manner, for
the projected life of the assets or exposures and irrespective of the
economic cycles and business conditions;
(ii) the institution meets or exceeds the requirement laid down in Article
92(1), the specific own funds requirements referred to in Article 104a of
Directive 2013/36/EU, the combined buffer requirement defined in
Article 128, point (6), of Directive 2013/36/EU and any equivalent or
additional local supervisory or regulatory requirements in third countries,
EN 72 EN
insofar as those requirements are published and are to be met by
Common Equity Tier 1 capital, Tier 1 capital or own funds;
(iii) information about the requirements referred to in point (ii) is publicly
disclosed or otherwise made available;
(iv) the assessment in accordance with Article 79 of Directive 2013/36/EU
has not revealed that the institution does not meet the conditions set out
in points (i) and (ii);
(b) where all of the following conditions are met and at least one of the conditions
in point (a) is not met, exposures to institutions shall be assigned to Grade B:
(i) the institution is subject to substantial credit risk, including repayment
capacities that are dependent on stable or favorable economic or business
conditions;
(ii) the institution meets or exceeds the requirement laid down in Article
92(1), the requirements referred to in Articles 458 and 459, the specific
own funds requirements referred to in Article 104a of Directive
2013/36/EU and any equivalent or additional local supervisory or
regulatory requirements insofar as those requirements are published and
are to be met by Common Equity Tier 1 capital, Tier 1 capital and own
funds;
(iii) information about the requirements referred to in point (ii) is publicly
disclosed or otherwise made available;
(iv) the assessment performed in accordance with Article 79 of
Directive 2013/36/EU has not revealed that the institution does not meet
the conditions set out in points (i) and (ii).
For the purposes of point (ii), equivalent or additional local supervisory or
regulatory requirements shall not include capital buffers equivalent to those
defined in Article 128 of Directive 2013/36/EU.
(c) where the conditions for assignment to Grade A or Grade B are not met, or
where any of the following conditions is met, exposures to institutions shall be
assigned to Grade C:
(i) the institution has material default risks and limited margins of safety;
(ii) adverse business, financial, or economic conditions are very likely to
lead, or have led, to the institution’s inability to meet its financial
commitments;
(iii) where audited financial statements are required by law for the institution,
the external auditor has issued an adverse audit opinion or has expressed
substantial doubt in its financial statements or audited reports within the
previous 12 months about the institution’s ability to continue as a going
concern institution.
2. Exposures assigned to Grade A, B or C in accordance with paragraph 1 shall be
assigned a risk weight as follows:
(a) exposures assigned to Grade A, B or C which meet any of the following
conditions shall be assigned a risk weight for short-term exposures in
accordance with Table 5:
EN 73 EN
(i) the exposure has an original maturity of three months or less;
(ii) the exposure has an original maturity of six months or less and arises
from the movement of goods across national borders.
(b) exposures assigned to Grade A which are not short-term shall be assigned a
risk weight of 30 % where all of the following conditions are met:
(i) the exposure does not meet any of the conditions laid down in point (a);
(ii) the institution’s Common Equity Tier 1 capital ratio is equal to or higher
than 14 %;
(iii) the institution’s leverage ratio is higher than 5 %.
(c) exposures assigned to Grade A, B or C that do not meet the conditions in point
(a) or (b) shall be assigned a risk weight in accordance with the Table 5.
Where an exposure to an institution is not denominated in the domestic currency of
the jurisdiction of incorporation of that institution, or where that institution has
booked the credit obligation in a branch in a different jurisdiction and the exposure is
not in the domestic currency of the jurisdiction in which the branch operates, the risk
weight assigned in accordance with points (a), (b) or (c), as applicable, to exposures
other than those with a maturity of one year or less stemming from self-liquidating,
trade-related contingent items that arise from the movement of goods across national
borders shall not be lower than the risk weight of an exposure to the central
government of the country where the institution is incorporated.
Table 5
Credit risk assessment Grade AGrade BGrade C
Risk weight for short-term exposures20 % 50 % 75 %
Risk weight 40 % 75 % 150 %
’;
(40) Article 122 is amended as follows:
(a) in paragraph 1, Table 6 is replaced by the following:
‘Table 6
Credit quality step1 2 3 4 5 6
Risk weight 20 %50 %75 %100 %150 %150 %
’;
(b) paragraph 2 is replaced by the following:
‘Exposures for which such a credit assessment is not available shall be assigned a
risk weight of 100 %.’;
(41) the following Article 122a is inserted:
EN 74 EN
‘Article 122a
Specialised lending exposures
1. Within the corporate exposure class laid down in Article 112, point (g),
institutions shall separately identify as specialised lending exposures, exposures with
all the following characteristics:
(a) the exposure is to an entity which was created specifically to finance or operate
physical assets or is an exposure that is economically comparable to such an
exposure;
(b) the exposure is not secured by immovable property or otherwise related to the
financing of real estate ;
(c) the contractual arrangements governing the obligation related to the exposure
give the institution a substantial degree of control over the assets and the
income that they generate;
(d) the primary source of repayment of the obligation related to the exposure is the
income generated by the assets being financed, rather than the independent
capacity of a broader commercial enterprise.
2. Specialised lending exposures for which a directly applicable credit assessment by
a nominated ECAI is available shall be assigned a risk weight in accordance with
Table 6aa:
Table 6aa
Credit quality
Step
1 2 3 4 5
Risk Weight 20 % 50 % 75 % 100 % 150 %
3. Specialised lending exposures for which a directly applicable credit assessment is
not available shall be risk weighted as follows:
(a) where the purpose of a specialised lending exposure is to finance the
acquisition of physical assets, including ships, aircraft, satellites, railcars, and
fleets, and the income to be generated by those assets comes in the form of
cash flows generated by the specific physical assets that have been financed
and pledged or assigned to the lender by one or several third parties (‘object
finance exposures’), institutions shall apply the following risk weights:
(i) 80 % where the exposure is deemed to be high quality when taking into
account all of the following criteria:
– the obligor can meet its financial obligations even under severely
stressed conditions due to the presence of all of the following
features:
 adequate exposure-to-value of the exposure;
 conservative repayment profile of the exposure;
 commensurate remaining lifetime of the assets upon full pay-
out of the exposure or alternatively recourse to a protection
provider with high creditworthiness;
EN 75 EN
 low refinancing risk of the exposure by the obligor or that
risk is adequately mitigated by a commensurate residual asset
value or recourse to a protection provider with high
creditworthiness;
 the obligor has contractual restrictions over its activity and
funding structure;
 the obligor uses derivatives only for risk-mitigation purposes;
 material operating risks are properly managed;
– the contractual arrangements on the assets provide lenders with a
high degree of protection including the following features:
 the lenders have a legally enforceable first-ranking right over
the assets financed, and, where applicable, over the income
that they generate;
 there are contractual restrictions on the ability of the obligor
to change anything to the asset which would have a negative
impact on its value;
 where the asset is under construction, the lenders have a
legally enforceable first-ranking right over the assets and the
underlying construction contracts;
– the assets being financed meet all of the following standards to
operate in a sound and effective manner:
 the technology and design of the asset are tested;
 all necessary permits and authorisations for the operation of
the assets have been obtained;
 where the asset is under construction, the obligor has
adequate safeguards on the agreed specifications, budget and
completion date of the asset, including strong completion
guarantees or the involvement of an experienced constructor
and adequate contract provisions for liquidated damages;
(ii) 100 % where the exposure is not deemed to be high quality as referred to
in point (i);
(b) where the purpose of a specialised lending exposure is to provide for short-
term financing of reserves, inventories or receivables of exchange-traded
commodities, including crude oil, metals, or crops, and the income to be
generated by those reserves, inventories or receivables is to be the proceeds
from the sale of the commodity (‘commodities finance exposures’), institutions
shall apply a risk weight of 100 %;
(c) where the purpose of a specialised lending exposure is to finance a project for
the development or acquisition of large, complex and expensive installations,
including power plants, chemical processing plants, mines, transportation
infrastructure, environment, and telecommunications infrastructure, and the
income to be generated by the project is the money generated by the contracts
for the output of the installation obtained from one or several parties which are
EN 76 EN
not under management control of the sponsor (‘project finance exposures’),
institutions shall apply the following risk weights:
(i) 130 % where the project to which the exposure is related is in the pre-
operational phase;
(ii) provided that the adjustment to own funds requirements for credit risk
referred to in Article 501a is not applied, 80 % where the project to
which the exposure is related is in the operational phase and the exposure
meets all of the following criteria:
– there are contractual restrictions on the ability of the obligor to
perform activities that may be detrimental to lenders, including the
restriction that new debt cannot be issued without the consent of
existing debt providers;
– the obligor has sufficient reserve funds fully funded in cash, or
other financial arrangements, with highly rated guarantors to cover
the contingency funding and working capital requirements over the
lifetime of the project being financed;
– the obligor generates cash flows that are predictable and cover all
future loan repayments;
– the source of repayment of the obligation depends on one main
counterparty and that main counterparty is one of the following:
 a central bank, a central government, a regional government
or a local authority, provided that they are assigned a risk
weight of 0 % in accordance with Articles 114 and 115, or
are assigned an ECAI rating with a credit quality step of at
least 3;
 a public sector entity, provided that that entity is assigned a
risk weight of 20 % or below in accordance with Article 116,
or is assigned an ECAI rating with a credit quality step of at
least 3;
 a corporate entity which has been assigned an ECAI rating
with a credit quality step of at least 3.
– the contractual provisions governing the exposure to the obligor
provide for a high degree of protection for the lending institution in
case of a default of the obligor;
– the contractual arrangements effectively protect the lending
institution against losses resulting from the termination of the
project;
– all assets and contracts necessary to operate the project have been
pledged to the lending institution to the extent permitted by
applicable law;
– equity is pledged to the lending institution such that they are able to
take control of the obligor entity upon default;
EN 77 EN
(iii) 100 % where the project to which the exposure is related is in the
operational phase and the exposure does not meet the conditions laid
down in point (ii) of this subparagraph;
(d) for the purposes of point (c)(ii), third indent, the cash flows generated shall not
be considered predictable unless a substantial part of the revenues satisfies one
or more of the following conditions:
(i) the revenues are availability-based;
(ii) the revenues are subject to a rate-of-return regulation;
(iii) the revenues are subject to a take-or-pay contract;
(e) for the purposes of point (c), the operational phase shall mean the phase in
which the entity that was specifically created to finance the project meets both
of the following conditions:
(i) the entity has a positive net cash flow that is sufficient to cover any
remaining contractual obligation;
(ii) the entity has a declining long term debt.
4. EBA shall develop draft regulatory technical standards specifying in further detail
the conditions under which the criteria set out in paragraph 3, point (a)(i) and point
(c)(ii), are met.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 1 year after the date of entry into force of this
Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.’;
(42) Article 123 is replaced by the following:
‘Article 123
Retail exposures
1. Exposures that comply with all of the following criteria shall be considered retail
exposures:
(a) the exposure is either of the following:
(i) an exposure to one or more natural persons;
(ii) an exposure to an SME within the meaning of Article 5, point (8), where
the total amount owed to the institution, its parent undertakings and its
subsidiaries, by the obligor or group of connected clients, including any
exposure in default but excluding exposures secured by residential
property up to the property value shall not, to the knowledge of the
institution, which shall take reasonable steps to confirm the situation,
exceed EUR 1 million;
(b) the exposure represents one of a significant number of exposures with similar
characteristics, such that the risks associated with such exposure are
substantially reduced;
(c) the institution concerned treats the exposure in its risk management framework
and manages the exposure internally as retail exposure consistently over time
EN 78 EN
and in a manner that is similar to the treatment by the institution of other retail
exposures.
The present value of retail minimum lease payments shall be eligible for the retail
exposure class.
EBA shall issue guidelines, in accordance with Article 16 of Regulation (EU) No
1093/2010, to specify proportionate diversification methods under which an
exposure is to be considered as one of a significant number of similar exposures as
specified in point (b), by [OP please insert the date = 1 year after entry into force of
this Regulation].
2. The following exposures shall not be considered to be retail exposures:
(a) non-debt exposures conveying a subordinated, residual claim on the assets or
income of the issuer;
(b) debt exposures and other securities, partnerships, derivatives, or other vehicles,
the economic substance of which is similar to the exposures specified in point
(a);
(c) all other exposures in the form of securities.
3. Retail exposures as referred to in paragraph 1 shall be assigned a risk weight of 75
%, with the exception of transactor exposures, which shall be assigned a risk weight
of 45 %.
4. By way of derogation from paragraph 3, exposures due to loans granted by an
institution to pensioners or employees with a permanent contract against the
unconditional transfer of part of the borrower’s pension or salary to that institution
shall be assigned a risk weight of 35 %, provided that all the following conditions are
met:
(a) to repay the loan, the borrower unconditionally authorises the pension fund or
employer to make direct payments to the institution by deducting the monthly
payments on the loan from the borrower’s monthly pension or salary;
(b) the risks of death, inability to work, unemployment or reduction of the net
monthly pension or salary of the borrower are properly covered through an
insurance policy to the benefit of the institution;
(c) the monthly payments to be made by the borrower on all loans that meet the
conditions set out in points (a) and (b) do not in aggregate exceed 20 % of the
borrower’s net monthly pension or salary;
(d) the maximum original maturity of the loan is equal to or less than ten years.’;
(43) the following Article 123a is inserted:
‘Article 123a
Exposures with a currency mismatch
1. Exposures to natural persons assigned to any of the exposures classes laid down in
point (h) or (i) of Article 112, the risk weight assigned in accordance with Chapter 2
shall be multiplied by a factor of 1,5, whereby the resulting risk weight shall not be
higher than 150 %, where the following conditions are met.
(a) the exposure is due to a loan denominated in a currency which is different from
the currency of the obligor's source of income;
EN 79 EN
(b) the obligor does not have a hedge for its payment risk due to the currency
mismatch, either by a financial instrument or foreign currency income that
matches the currency of the exposure, or the total of such hedges available to
the borrower cover less than 90 % of any instalment for this exposure.
Where an institution is unable to single out those exposures with a currency
mismatch, the risk weight multiplier of 1,5 shall apply to all unhedged exposures
where the currency of the exposures is different from the domestic currency of the
country of residence of the obligor.
2. For the purposes of this Article, source of income refers to any source that
generates cash flows to the obligor, including from remittances, rental incomes or
salaries, whilst excluding proceeds from selling assets or similar recourse actions by
the institution.’;
(44) Article 124 is replaced by the following:
‘Article 124
Exposures secured by mortgages on immovable property
1. A non-ADC exposure that does not meet all of the conditions laid down in
paragraph 3 shall be treated as follows:
(a) a non-IPRE exposure shall be treated as an exposure not secured by the
immovable property concerned;
(b) an IPRE exposure shall be risk-weighted at 150 %.
2. A non-ADC exposure secured by an immovable property, where all the conditions
laid down in paragraph 3 are met and, shall be treated as follows:
(a) where the exposure is secured by a residential property, the exposure shall not
qualify as an IPRE exposure and shall be treated in accordance with Article
125(1) where the exposure meets any of the following conditions:
(i) the immovable property securing the exposure is the obligor’s primary
residence, either where the immovable property as a whole constitutes a
single housing unit or where the immovable property securing the
exposure is a housing unit that is a separated part within an immovable
property;
(ii) the exposure is to an individual and is secured by an income-producing
residential housing unit, either where the immovable property as a whole
constitutes a single housing unit or where the housing unit is a separated
part within the immovable property, and total exposures of the institution
to that individual are not secured by more than four immovable
properties, including those which are not residential properties or which
do not meet any of the criteria in this point, or separate housing units
within immovable properties;
(iii) the exposure secured by residential property is to associations or
cooperatives of individuals that are regulated by law and solely exist to
grant their members the use of a primary residence in the property
securing the loans;
(iv) the exposure is secured by residential property to public housing
companies or not-for-profit associations that are regulated by law and
exist to serve social purposes and to offer tenants long-term housing;
EN 80 EN
(b) where the exposure is secured by residential property and the exposure does
not meet any of the conditions laid down in point (a), points (i) to (iv), the
exposure shall be treated in accordance with Article 125(2);
(c) where the exposure is secured by a commercial immovable property, the
exposure shall be treated as follows:
(i) a non-IPRE exposure shall be treated in accordance with Article 126(1);
(ii) an IPRE exposure shall be treated in accordance with Article 126(2).
3. In order to be eligible for the treatment laid down in paragraph 2, an exposure
secured by an immovable property shall fulfil all of the following conditions:
(a) the immovable property securing the exposure meets any of the following
conditions:
(i) the immovable property has been fully completed;
(ii) the immovable property is forest or agricultural land;
(iii) the immovable property is residential property under construction or it is
land upon which a residential property is planned to be constructed where
that plan has been approved by all authorities concerned and where any
of the following conditions is met:
– the property does not have more than four residential housing units
and will be the primary residence of the obligor and the lending to
the individual is not indirectly financing ADC exposures;
– a central government, regional government or local authority or a
public sector entity, exposures to which are treated in accordance
with Articles 115(2) and 116(4), respectively, has the legal powers
and ability to ensure that the property under construction will be
finished within a reasonable time frame and is required to or has
committed in a legally binding manner to do so where the
construction would otherwise not be finished within a reasonable
time frame;
(b) the exposure is secured by a first lien held by the institution on the immovable
property, or the institution holds the first lien and any sequentially lower
ranking lien on that property;
(c) the property value is not materially dependent upon the credit quality of the
obligor;
(d) all the information required at origination of the exposure and for monitoring
purposes is properly documented, including information on the ability of the
obligor to repay and on the valuation of the property;
(e) the requirements set out in Article 208 are met and the valuation rules set out in
Article 229(1) are complied with.
For the purposes of point (c), institutions may exclude situations where purely
macro-economic factors affect both the value of the property and the performance of
the obligor.
4. By way of derogation from paragraph 3, point (b), in jurisdictions where junior
liens provide the holder with a claim on collateral that is legally enforceable and
constitutes an effective credit risk mitigant, junior liens held by an institution other
EN 81 EN
than the one holding the senior lien may also be recognised, including where the
institution does not hold the senior lien or does not hold a lien ranking between a
more senior lien and a more junior lien both held by the institution.
For the purposes of the first subparagraph, the rules governing the liens shall ensure
all of the following:
(a) each institution holding a lien on a property can initiate the sale of the property
independently from other entities holding a lien on the property;
(b) where the sale of the property is not carried out by means of a public auction,
entities holding a senior lien take reasonable steps to obtain a fair market value
or the best price that may be obtained in the circumstances when exercising
any power of sale on their own;
5. For the purposes of Article 125(2) and Article 126(2), the exposure-to-value
(‘ETV’) ratio shall be calculated by dividing the gross exposure amount by the
property value subject to the following conditions:
(a) the gross exposure amount shall be calculated as the outstanding amount of
credit obligation related to the exposure secured by the immovable property
and any undrawn but committed amount that, once drawn, would increase the
exposure value of the exposure which is secured by the immovable property.;
(b) the gross exposure amount shall be calculated without taking into account
credit risk adjustments and other own funds reductions related to the exposure
or any form of funded or unfunded credit protection, except for pledged
deposits accounts with the lending institution that meet all requirements for on-
balance sheet netting, either under master netting agreements in accordance
with Articles 196 and 206 or under other on-balance sheet netting agreements
in accordance with Articles 195 and 205 and have been unconditionally and
irrevocably pledged for the sole purposes of fulfilling the credit obligation
related to the exposure secured by the immovable property;
(c) exposures that have to be treated in accordance with Article 125(2) or 126(2)
where a party other than the institution holds a senior lien and a junior lien held
by the institution is recognised according to paragraph 4, the gross exposure
amount shall be calculated as the sum of the gross exposure amount of the
institution’s lien and of the gross exposure amounts for all other liens of equal
or higher ranking seniority than the institution’s lien. Where there is
insufficient information for ascertaining the ranking of the other liens, the
institution should treat these liens as ranking pari passu with the junior lien
held by the institution. The institution shall first determine the risk weight in
accordance with Article 125(2) or Article 126(2) (‘base risk weight’), as
applicable. It shall then adjust this risk weight by a multiplier of 1.25, for the
purposes of calculating the risk-weighted amounts of junior liens. Where the
base risk weight corresponds to the lowest ETV bucket, the multiplier shall not
be applied. The risk weight resulting from multiplying the base risk weight by
1.25 shall be capped at the risk weight that would be applied to the exposure if
the requirements in paragraph 3 would not met.
For the purposes of point (a), where an institution has more than one exposure
secured by the same immovable property and these exposures are secured by liens on
this immovable property sequential in ranking order without any lien held by a third
party ranking in-between, the exposures shall be treated as a single combined
EN 82 EN
exposure and the gross exposure amounts for the individual exposures shall be
summed up to calculate the gross exposure amount for the single combined exposure.
6. Member States shall designate an authority to be responsible for the application of
paragraph 7. That authority shall be the competent authority or the designated
authority.
Where the authority designated by the Member State for the application of this
Article is the competent authority, it should ensure that the relevant national bodies
and authorities which have a macroprudential mandate are duly informed of the
competent authority's intention to make use of this Article, and are appropriately
involved in the assessment of financial stability concerns in its Member State in
accordance with paragraph 6.
Where the authority designated by the Member State for the application of this
Article is different from the competent authority, the Member State shall adopt the
necessary provisions to ensure proper coordination and exchange of information
between the competent authority and the designated authority for the proper
application of this Article. In particular, authorities shall be required to cooperate
closely and to share all the information that may be necessary for the adequate
performance of the duties imposed upon the designated authority pursuant to this
Article. That cooperation shall aim at avoiding any form of duplicative or
inconsistent action between the competent authority and the designated authority, as
well as ensuring that the interaction with other measures, in particular measures
taken under Article 458 of this Regulation and Article 133 of Directive 2013/36/EU,
is duly taken into account.
7. Based on the data collected under Article 430a on any other relevant indicators,
the authority designated in accordance with paragraph 6 of this Article shall
periodically, and at least annually, assess whether the weights laid down in Article
125 and Article 126 for exposures secured by immovable property located in their
territory are appropriately based on:
(a) the loss experience of exposures secured by immovable property;
(b) forward-looking immovable property markets developments.
Where, on the basis of the assessment referred to in the first subparagraph, the
authority designated in accordance with paragraph 6 of this Article concludes that the
risk weights set out in Article 125 or 126 do not adequately reflect the actual risks
related to exposures to one or more property segments secured by mortgages on
residential property or on commercial immovable property located in one or more
parts of the territory of the Member State of the relevant authority, and if it considers
that the inadequacy of the risk weights could adversely affect current or future
financial stability in its Member State, it may increase the risk weights applicable to
those exposures within the ranges determined in the fourth subparagraph of this
paragraph or impose stricter criteria than those set out in paragraph 3 of this Article.
The authority designated in accordance with paragraph 6 of this Article shall notify
EBA and the ESRB of any adjustments to risk weights and criteria applied pursuant
to this paragraph. Within one month of receipt of that notification, EBA and the
ESRB shall provide their opinion to the Member State concerned. EBA and the
ESRB shall publish the risk weights and criteria for exposures referred to in Articles
125, 126 and Article 199(1), point (a), as implemented by the relevant authority.
EN 83 EN
For the purposes of the second subparagraph of this paragraph, the authority
designated in accordance with paragraph 6 may increase the risk weights laid down
in Article 125(1), point (a), or Article 126(1), point (a). The authority shall not
increase those to more than 150 %.
8. Where the authority designated in accordance with paragraph 6 sets higher risk
weights or stricter criteria pursuant to the paragraph 2, second subparagraph;
institutions shall have a six-month transitional period to apply them.
9. EBA, in close cooperation with the ESRB, shall develop draft regulatory technical
standards to specify the types of factors to be considered for the assessment of the
appropriateness of the risk weights referred in the paragraph 7.
EBA shall submit those draft regulatory technical standards to the Commission by 31
December 2024.
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the first subparagraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.
10. The ESRB may, by means of recommendations in accordance with Article 16 of
Regulation (EU) No 1092/2010, and in close cooperation with EBA, give guidance
to authorities designated in accordance with paragraph 6 of this Article on both of the
following:
(a) factors which could ‘adversely affect current or future financial stability’
referred to in the second subparagraph of paragraph 7;
(b) indicative benchmarks that the authority designated in accordance with
paragraph 6 is to take into account when determining higher risk weights.
11. Institutions established in a Member State shall apply the risk weights and
criteria that have been determined by the authorities of another Member State in
accordance with paragraph 7 to all their corresponding exposures secured by
mortgages on residential property or commercial immovable property located in one
or more parts of that other Member State.’;
(45) Article 125 is replaced by the following:
‘Article 125
Exposures secured by mortgages on residential immovable property
1. An exposure secured by a residential property that complies with any of the
conditions laid down in Article 124(2), point (a), points (i) to (iv), shall be treated as
follows:
(a) the part of the exposure up to 55 % of the property value remaining after any
senior or pari passu ranking liens not held by the institution have been
deducted shall be assigned a risk weight of 20 %.
For the purposes of this point, where, in accordance with Article 124(7), the
competent or designated authority, as applicable, has set a higher risk weight or
a lower percentage of the property value than those referred to in this point,
institutions shall use the risk weight and percentage set in accordance with
Article 124(7).
(b) the remaining part of the exposure, if any, shall be treated as an exposure that
is not secured by residential property.
EN 84 EN
2. An exposure secured by a residential property that does not meet any of the
conditions laid down in Article 124(2), point (a), points (i) to (iv), shall be assigned
the higher between the risk weight set in accordance with the following Table 6aaa,
and the risk weight set in accordance with Article 124(7):
Table 6aaa
ETV ETV ≤ 50
%
50 % <
ETV
≤ 60 %
60 % <
ETV
≤ 80 %
80 % <
ETV
≤ 90 %
90 % <
ETV
≤100 %
ETV >
100 %
Risk
weight
30 % 35 % 45 % 60 % 75 % 105 %
’
By way of derogation from the first subparagraph of this paragraph, institutions may
apply the treatment referred to in paragraph 1 to exposures secured by residential
property which is situated within the territory of a Member State, where the loss rates
for such exposures published by the competent authorities of that Member State in
accordance with Article 430a(3) do not exceed any of the following limits for losses
aggregated across all institutions with such exposures existing in the previous year:
(a) the losses on the part of the exposures up to 55 % of the property value do not
exceed 0,3 % of the total amount, across all those exposures, of credit
obligations outstanding in that year.
For the purposes of this point, where, in accordance with Article 124(7), the
competent or designated authority, as applicable, has set a lower percentage of
the property value than the one referred to in this point, institutions shall use
the percentage set in accordance with Article 124(7);
(b) the losses on the part of the exposures up to 100 % of the property value do not
exceed 0,5 % of the total amount, across all these exposures, of credit
obligations outstanding in that year.
(46) Article 126 is replaced by the following:
‘Article 126
Exposures secured by mortgages on commercial immovable property
1. An exposure as referred to in Article 124(2), point (c)(i) shall be treated as follows:
(a) the part of the exposure up to 55 % of the property value reduced by any senior
or pari passu ranking liens not held by the institution shall be assigned a risk
weight of 60 %, unless that part of the exposure is subject to a higher risk
weight or lower percentage of the property value where decided in accordance
with Article 124(7);
(b) the remaining part of the exposure, if any, shall be treated as an exposure that
is not secured by this immovable property.
2. An exposure as referred to in Article 124(2), point (c)(ii) shall be assigned the
higher between the risk weight set in accordance with Table 6c and the risk weight
set in accordance with Article 124(7):
Table 6c
EN 85 EN
ETV ≤ 60 % 60 % < ETV ≤ 80 % ETV > 80 %
Risk weight 70 % 90 % 110 %
By way of derogation from the first subparagraph of this paragraph, institutions may
apply the treatment referred to in paragraph 1 to an exposure secured by a
commercial property which is situated within the territory of a Member State, where
the loss rates for such exposures published by the competent authorities of that
Member State in accordance with Article 430a(3) do not exceed any of the following
limits for losses aggregated across all such exposures existing in the previous year:
(a) the losses on the part of the exposures up to 55 % of the property value do not
exceed 0,3 % of the total amount of credit obligations outstanding in that year.
For the purposes of this point, where, in accordance with Article 124(7), the
competent or designated authority, as applicable, has set a lower percentage of
the property value than the one referred to in this point, institutions shall use
the percentage set in accordance with Article 124(7);
(b) the losses on the part of the exposures up to 100 % of the property value do not
exceed 0,5 % of the total amount of credit obligations outstanding in that year.
(47) a new Article 126a is inserted:
‘Article 126a
Land acquisition, development and construction exposures
1. An ADC exposure shall be assigned a risk weight of 150 %.
2. ADC exposures to residential property, however, may be risk weighted at 100 %,
provided that, where applicable, the institution applies sound origination and
monitoring standards which meet the requirements of Articles 74 and 79 of Directive
2013/36/EU and where at least one of the following conditions is met:
(a) legally binding pre-sale or pre-lease contracts, for which the purchaser or
tenant has made a substantial cash deposit which is subject to forfeiture if the
contract is terminated, amount to a significant portion of total contracts;
(b) the obligor has substantial equity at risk, which is represented as an appropriate
amount of obligor-contributed equity to the residential property's appraised
value upon completion.
3. EBA shall by [OP please insert date = 1 year after entry into force] issue
guidelines specifying the terms "substantial cash deposits", “appropriate amount of
obligor-contributed equity”, "significant portion of total contracts", and "substantial
equity at risk".
Those guidelines shall be adopted in accordance with Article 16 of Regulation (EU)
No 1093/2010.
(48) Article 127 is amended as follows:
(a) in paragraph (1), the following subparagraph is added:
‘For the purposes of calculating the sum of specific credit risk adjustments
referred to in this paragraph, institutions shall include in the calculation any
EN 86 EN
positive difference between, on the one hand, the amount owed by the obligor
on the exposure and, on the other hand, the sum of:
(i) the additional own funds reduction if the exposure was written off fully; and
(ii) any already existing own funds reductions related to that exposure.’
(b) paragraph 2 is replaced by the following:
‘2. For the purposes of determining the secured part of a defaulted exposure,
collateral and guarantees shall be eligible for credit risk mitigation purposes in
accordance with Chapter 4.’;
(c) paragraphs 3 is replaced by the following:
‘3. The exposure value remaining after specific credit risk adjustments of non-
IPRE exposures secured by residential or commercial immovable property in
accordance with Article 125 and 126, respectively, shall be assigned a risk
weight of 100 % if a default has occurred in accordance with Article 178.’;
(d) paragraph 4 is deleted;
(49) Article 128 is replaced by the following:
‘Article 128
Subordinated debt exposures
1. The following exposures shall be treated as subordinated debt exposures:
(a) debt exposures which are subordinated to claims of another creditor;
(b) own funds instruments to the extent that those instruments are not considered
as equity exposures in accordance with Article 133(1); and
(c) liabilities instruments that meet the conditions set out in Article 72b.
2. Subordinated debt exposures shall be assigned a risk weight of 150 %, unless
those subordinated debt exposures are required to be deducted in accordance with
Part Two of this Regulation.’;
(50) in Article 129(3), the following subparagraph is inserted:
‘By way of derogation from the first subparagraph, for the purposes of valuing
immovable property, the competent authorities designated pursuant to Article 18(2)
of Directive (EU) 2019/2162 may allow that property to be valued at or at less than
the market value, or in those Member States that have laid down rigorous criteria for
the assessment of the mortgage lending value in statutory or regulatory provisions,
the mortgage lending value of that property without applying the limits set out in
Article 208(3), point (b).’
(51) in Article 131, Table 7 is replaced by the following:
‘Table 7
Credit quality step1 2 3 4 5 6
Risk weight 20 %20 %20%50 %50 %150 %
;’
(52) Article 133 is replaced by the following:
EN 87 EN
‘Article 133
Equity exposures
1. All of the following shall be classified as equity exposures:
(a) any exposure meeting all of the following conditions:
(i) the exposure is irredeemable in the sense that the return of invested funds
can be achieved only by the sale of the investment or sale of the rights to
the investment or by the liquidation of the issuer;
(ii) the exposure does not embody an obligation on the part of the issuer; and
(iii) the exposure conveys a residual claim on the assets or income of the
issuer;
(b) instruments that would qualify as Tier 1 items if issued by an institution;
(c) instruments that embody an obligation on the part of the issuer and meet any of
the following conditions:
(i) the issuer may defer the settlement of the obligation indefinitely;
(ii) the obligation requires, or permits at the issuer’s discretion, settlement by
issuance of a fixed number of the issuer’s equity shares;
(iii) the obligation requires, or permits at the issuer’s discretion, settlement by
issuance of a variable number of the issuer’s equity shares and, ceteris
paribus, any change in the value of the obligation is attributable to,
comparable to, and in the same direction as, the change in the value of a
fixed number of the issuer’s equity shares;
(iv) the holder of the instrument has the option to require that the obligation
be settled in equity shares, unless one of the following conditions is met:
– in the case of a traded instrument, the institution has demonstrated
to the satisfaction of the competent authority that the instrument is
traded on the market more like the debt of the issuer than like its
equity;
– in the case of non-traded instruments, the institution has
demonstrated to the satisfaction of the competent authority that the
instrument should be treated as a debt position.
For the purposes of point (c)(iii), obligations are included that require or permit
settlement by issuance of a variable number of the issuer’s equity shares, for
which the change in the monetary value of the obligation is equal to the change
in the fair value of a fixed number of equity shares multiplied by a specified
factor, where both the factor and the referenced number of shares are fixed.
For the purposes of point (iv), where one of the conditions laid down in that
point is met, the institution may decompose the risks for regulatory purposes,
subject to the prior permission by the competent authority.
(d) debt obligations and other securities, partnerships, derivatives or other vehicles
structured in a way that the economic substance is similar to the exposures
referred to in points (a), (b) and (c), including liabilities from which the return
is linked to that of equities;
EN 88 EN
(e) equity exposures that are recorded as a loan but arise from a debt/equity swap
made as part of the orderly realisation or restructuring of the debt.
2. Equity investments shall not be treated as equity exposures in any of the following
cases:
(a) the equity investments are structured in a way that their economic substance is
similar to the economic substance of debt holdings which do not meet the
criteria in any of the points in paragraph 1;
(b) the equity investments constitute securitisation exposures.
3. Equity exposures, other than those referred to in paragraph 4 to 7, shall be
assigned a risk weight of 250 %, unless those exposures are required to be deducted
or risk-weighted in accordance with Part Two.
4. The following equity exposures to unlisted companies shall be assigned a risk
weight of 400 %, unless those exposures are required to be deducted or risk-weighted
in accordance with Part Two:
(a) investments for short-term resale purposes;
(b) investments in venture capital firms or similar investments which are acquired
in anticipation of significant short-term capital gains.
By way of derogation from the first subparagraph, long-term equity investment,
including investments in equities of corporate clients with which the institution has
or intends to establish a long-term business relationship as well as venture capital
firms and debt-equity swaps for corporate restructuring purposes shall be assigned a
risk weight in accordance with paragraph 3 or 5, as applicable. For the purposes of
this Article, a long-term equity investment is an equity investment that is held for
three years or longer or incurred with the intention to be held for three years or
longer as approved by the institution’s senior management.
5. Institutions that have received the prior permission of the competent authorities,
may assign a risk weight of 100 % to equity exposures incurred under legislative
programmes to promote specified sectors of the economy that comply with all of the
following conditions:
(a) the legislative programs provide significant subsidies, including in the form of
guarantees by multilateral development banks, public development credit
institutions as defined Article 429a(2) or international organisations, for the
investment to the institution;
(b) the legislative programs involve some form of government oversight;
(c) such equity exposures in aggregate do not exceed 10 % of the institutions own
funds.
6. Equity exposures to central banks shall be assigned a risk weight of 100 %.
7. Equity exposures that are recorded as a loan but arise from a debt/equity swap
made as part of the orderly realisation or restructuring of the debt shall not be
assigned a risk weight lower than the risk weight that would apply had the equity
holdings remained in the debt portfolio.’;
(53) Article 134 is amended as follows:
(a) paragraph 3 is replaced by the following:
EN 89 EN
‘3. Cash items in the process of collection shall be assigned a 20 % risk weight.
Cash owned and held by the institution or in transit, and equivalent cash items
shall be assigned a 0 % risk weight.’;
(b) the following paragraph 8 is added:
‘8. The exposure value of any other item for which no risk weight is provided
under Chapter 2 shall be assigned a risk weight of 100 %.’;
(54) in Article 135, the following paragraph 3 is added:
‘3. EBA, EIOPA and ESMA shall by [OP please insert the date = 1 year after entry
into force] prepare a report on the impediments to the availability of credit
assessments by ECAIs, in particular for corporates, and on possible measures to
address them taking into account differences across economic sectors and
geographical areas.’;
(55) Article 138 is amended as follow:
(a) the following point (g) is added:
‘(g) an institution shall not use an ECAI credit assessment in relation to an
institution that incorporates assumptions of implicit government support,
unless the respective ECAI credit assessment refers to an institution owned by
or set up and sponsored by central governments, regional governments or local
authorities.’;
(b) the following subparagraph is added:
‘For the purposes of point (g), in case of institutions, other than institutions
owned by or set up and sponsored by central governments, regional
governments or local authorities, for which only ECAI credit assessment exist
which do incorporate assumptions of implicit government support, exposures
to such institutions shall be treated as exposures to unrated institutions in
accordance with Article 121.
Implicit government support means that the central government, regional
government or local authority shall act to prevent creditors of the institution
from incurring losses in the event of the institution’s default or distress.’;
(56) in Article 139(2), points (a) and (b) are replaced by the following:
‘(a) the credit assessment produces a higher risk weight than would be the case when
the exposure is treated as unrated and the exposure concerned:
(i) is not a specialised lending exposure;
(ii) ranks pari passu or junior in all respects to the specific issuing program or
facility or to senior unsecured exposures of that issuer, as relevant;
(b) the credit assessment produces a lower risk weight and the exposure concerned:
(i) is not a specialised lending exposure;
(ii) ranks pari passu or senior in all respects to the specific issuing programme or
facility or to senior unsecured exposures of that issuer, as relevant.’;
(57) Article 141 is replaced by the following:
EN 90 EN
‘Article 141
Domestic and foreign currency items
1. A credit assessment that refers to an item denominated in the obligor's domestic
currency shall not be used to derive a risk weight for an exposure on that same
obligor that is denominated in a foreign currency.
2. By way of derogation from paragraph 1, where an exposure arises through an
institution's participation in a loan that has been extended by, or has been guaranteed
against convertibility and transfer risk, by a multilateral development bank listed in
Article 117(2) the preferred creditor status of which is recognised in the market, the
credit assessment on the obligor’s domestic currency item may be used to derive a
risk weight for an exposure on that same obligor that is denominated in a foreign
currency.
For the purposes of the first subparagraph, where the exposure denominated in a
foreign currency is guaranteed against convertibility and transfer risk, the credit
assessment on the obligor’s domestic currency item may only be used for risk
weighting purposes on the guaranteed part of that exposure. The part of that exposure
that is not guaranteed shall be risk-weighted based on a credit assessment on the
obligor that refers to an item denominated in that foreign currency.’;
(58) Article 142, paragraph 1 is amended as follows:
(a) the following points (1a) to (1e) are inserted:
‘(1a) ‘exposure class’ means any of the exposure classes referred to in
Article 147(2), points (a), (a1)(i), (a1)(ii), (b), (c)(i), (c)(ii), (c)(iii), (d)(i),
(d)(ii), (d)(iii), (d)(iv), (e), (e1), (f) and (g);
(1b) ‘corporate exposure class’ means any of the exposure classes referred to in
Article 147(2), points (c)(i), (c)(ii) and (c)(iii);
(1c) ‘corporate exposure’ means any exposure assigned to the exposure classes
referred to in Article 147(2), points (c)(i), (c)(ii) and (c)(iii);
(1d) ‘retail exposure class’ means any of the exposure classes referred to in
Article 147(2), points (d)(i), (d)(ii), (d)(iii) and (d)(iv);
(1e) ‘retail exposure’ means any exposure assigned to the exposure classes
referred to in Article 147(2), points (d)(i), (d)(ii), (d)(iii) and (d)(iv);’;
(b) point (2) is replaced by the following:
‘(2) ‘type of exposures’ means a group of homogeneously managed exposures
within an exposure class, which may be limited to a single entity or a single
sub-set of entities within a group provided that the same type of exposures is
managed differently in other entities of the group;’;
(c) points (4) and (5) are replaced by the following:
‘(4) ‘large regulated financial sector entity’ means a financial sector entity
which meets all the following conditions:
(a) the entity’s total assets, or the total assets of its parent company where
the entity has a parent company, calculated on an individual or
consolidated basis, are greater than or equal to EUR 70 billion , using the
most recent audited financial statement or consolidated financial
statement in order to determine asset size;
EN 91 EN
(b) the entity is subject to prudential requirements, directly on an individual
or consolidated basis, or indirectly from the prudential consolidation of
its parent undertaking, in accordance with this Regulation, Regulation
(EU) 2019/2033, Directive 2009/138/EC, or legal prudential
requirements of a third country at least equivalent to those Union acts;
(5) ‘unregulated financial sector entity’ means a financial sector entity that
does not fulfil the condition laid down in point (4)(b);’;
(d) the following point (5a) is inserted:
‘(5a) ‘large corporate’ means any corporate undertaking having consolidated
annual sales of more than EUR 500 million or belonging to a group where the
total annual sales for the consolidated group is more than EUR 500 million.’;’
(e) the following points (8) to (12) are added:
‘(8) ‘PD/LGD modelling adjustment approach’ refers to modelling an
adjustment of the LGD or modelling an adjustment of both the PD and the
LGD of the underlying exposure in accordance with Article 183(1a);
(9) ‘protection-provider-RW-floor’ refers to the risk weight applicable to a
comparable, direct exposure to the protection provider;
(10) for an exposure to which an institution applies the IRB approach by using
its own estimates of LGD under Article 143, ‘recognised’ unfunded credit
protection means an unfunded credit protection the effect of which on the
calculation of risk-weighted exposure amounts or expected loss amounts of the
underlying exposure is taken into account with one of the following methods,
in accordance with Article 108(2a):
(a) PD/LGD modelling adjustment approach;
(b) substitution of risk parameters approach under A-IRB, in accordance
with Article 192, point (8);
(11) ‘SA-CCF’ means the percentage applicable under Chapter 2, by which the
nominal value of an off-balance sheet item is multiplied to calculate its
exposure value in accordance with Article 111(2);
(12) ‘IRB-CCF’ means own estimates of CCF.;
(59) Article 143 is amended as follows:
(a) paragraph 2 is replaced by the following:
‘2. Prior permission to the use the IRB Approach, including own estimates of
LGDs and CCFs, shall be required for each exposure class and for each rating
system and for each approach to estimating LGDs and CCFs used.’;
(b) in paragraph 3, first subparagraph, points (a) and (b) are replaced by the
following:
‘(a) material changes to the range of application of a rating system that the
institution has received permission to use;
(b) material changes to a rating system that the institution has received
permission to use.’;
(c) paragraph 4 and 5 are replaced by the following:
EN 92 EN
‘4. Institutions shall notify the competent authorities of all changes to rating
systems.
5. EBA shall develop draft regulatory technical standards to specify the
conditions for assessing the materiality of the use of an existing rating system
for other additional exposures not already covered by that rating system and
changes to rating systems under the IRB Approach.
EBA shall submit those draft regulatory technical standards to the Commission
by [OP please insert date = 18 months after the entry into force of this
amending Regulation].
Power is delegated to the Commission to adopt the regulatory technical
standards referred to the first subparagraph in accordance with Articles 10 to
14 of Regulation (EU) No 1093/2010.’;
(60) in Article 144(1), the first subparagraph is amended as follows:
(a) point (f) is replaced by the following:
‘(f) the institution has validated each rating system during an appropriate
time period prior to the permission to use that rating system, has assessed
during that time period whether the rating system are suited to the range of
application of the rating system, and has made necessary changes to those
rating systems following from its assessment;’;
(b) point (h) is replaced by the following:
‘(h) the institution has assigned and continues to assign each exposure in the
range of application of a rating system to a rating grade or pool of this rating
system;’;
(c) paragraph 2 is replaced by the following:
‘2. EBA shall develop draft regulatory technical standards to specify the
assessment methodology competent authorities shall follow when assessing the
compliance of an institution with the requirements to use the IRB Approach.
EBA shall submit those draft regulatory technical standards to the Commission
by 31 December 2025.
Power is delegated to the Commission to adopt the regulatory technical
standards referred to in the first subparagraph in accordance with Articles 10 to
14 of Regulation (EU) No 1093/2010.’;
(61) Article 147 is amended as follows:
(a) paragraph 2 is replaced by the following:
‘2. Each exposure shall be assigned to one of the following exposure classes:
(a) exposures to central governments and central banks;
(a1) exposures to regional and local authorities and to public sector entities
(‘RGLA-PSE’), which shall be divided into the following exposure
classes:
(i) exposures to regional and local authorities (‘RGLAs’);
(ii) exposures to public sector entities (‘PSEs’);
(b) exposures to institutions;
EN 93 EN
(c) exposures to corporates, which shall be divided into the following
exposure classes:
(i) general corporates;
(ii) specialised lending (‘SL’) exposures;
(iii) corporate purchased receivables;
(d) retail exposures, which shall be divided into the following exposure
classes:
(i) qualifying revolving retail exposures (‘QRREs’);
(ii) retail exposures secured by residential property;
(iii) retail purchased receivables;
(iv) other retail exposures;
(e) equity exposures;
(e1) exposures in the form of units or shares in a CIU;
(f) items representing securitisation positions;
(g) other non credit-obligation assets.
(b) in paragraph 3, point (a) is deleted;
(c) the following paragraph 3a is inserted:
‘3a. Exposures to regional governments, local authorities or public sector
entities shall all be assigned to the exposure class referred to in paragraph 2,
point (a1), irrespective of the treatment such exposures would receive under
Articles 115 or 116.’;
(d) in paragraph 4, points (a) and (b) are deleted;
(e) paragraph 5 is amended as follows:
(i) in point (a), point (ii) is replaced by the following:
‘(ii) exposures to an SME within the meaning of Article 5, point (8),
provided in that case that the total amount owed to the institution and
parent undertakings and its subsidiaries, including any exposure in
default, by the obligor client or group of connected clients, but excluding
exposures secured by residential property up to the property value does
not, to the knowledge of the institution, exceed EUR 1 million, which
shall take reasonable steps to verify the amount of that exposure;
(iii) exposures secured by residential property, including first and
subsequent liens, term loans, revolving home equity lines of credit, and
exposures as referred to in Article 108, paragraphs 3 and 4, regardless of
the exposure size, provided that the exposure is either of the following:
– an exposure to a natural person;
– an exposure to associations or cooperatives of individuals that are
regulated under national law and exist with the only purpose of
granting their members the use of a primary residence in the
property securing the loan;’;
(ii) the following subparagraphs are added:
EN 94 EN
‘Exposures fulfilling all the conditions laid down in points (a)(iii), (b),
(c), (d) shall be assigned to the exposure class ‘retail exposures secured
by residential property’ as referred to in paragraph 2, point (d)(ii).
By way of derogation from the third subparagraph, competent authorities
may exclude from the exposure class ‘retail exposures secured by
residential property’ as referred to in paragraph 2, point (d)(ii), loans to
natural persons who have mortgaged more than four properties or
housing units and assign those loans to the corporate exposure class.’;
(iii) the following paragraph 5a is inserted:
‘5a. Retail exposures belonging to a type of exposures meeting all
the following conditions may be assigned to the QRRE exposure class:
(a) the exposures of that type of exposures are to individuals;
(b) the exposures of that type of exposures are revolving, unsecured,
and to the extent they are not drawn immediately and
unconditionally, cancellable by the institution;
(c) the maximum exposure of that type of exposure to a single
individual is EUR 100 000 or less;
(d) that type of exposures has exhibited low volatility of loss rates,
relative to its average level of loss rates, especially within the low
PD bands;
(e) the treatment as a qualifying revolving retail exposure is consistent
with the underlying risk characteristics of the type of exposures to
which it belongs.
By way of derogation from point (b), the requirement to be unsecured
shall not apply in respect of collateralised credit facilities linked to a
wage account. In that case, amounts recovered from the collateral shall
not be taken into account in the LGD estimate.
Institutions shall identify within the QRRE exposure class transactor
exposures (‘QRRE transactors’), as defined in Article 4(1), point (152),
and exposures that are not transactor exposures (‘QRRE revolvers’). In
particular, QRREs with less than 12 months of repayment history shall be
identified as QRRE revolvers.’;
(f) paragraphs 6 and 7 are replaced by the following:
‘6. Unless they are assigned to the exposure class laid down in
paragraph 2, point (e1), the exposures referred to in Article 133, paragraph 1
shall be assigned to the equity exposure class laid down in paragraph 2, point
(e).
7. Any credit obligation not assigned to the exposure classes laid down in
paragraph 2, points (a), (a1), (b), (d), (e) and (f), shall be assigned to one of the
exposure classes referred to in point (c) of that paragraph.’;
(g) in paragraph 8, the following subparagraphs are added:
‘Those exposures shall be assigned to the exposure class referred to in
paragraph 2, point (c)(ii), and shall be distributed into the following categories:
EN 95 EN
‘project finance’ (PF), ‘object finance’ (OF), ‘commodity finance’ (CF) and
‘income producing real estate’ (IPRE).
EBA shall develop draft regulatory technical standards to specify the
following:
(a) the categorisation to PF, OF and CF, consistently with the definitions of
Chapter 2;
(b) the determination of the IPRE category, in particular providing which
ADC exposures and exposures secured by immovable property, may or
shall be categorised as IPRE, where those exposures do no materially
depend on cash flows generated by the property for their repayment.
EBA shall submit those draft regulatory technical standards to the Commission
by 31 December 2025.
Power is delegated to the Commission to adopt the regulatory technical
standards referred to in the first subparagraph in accordance with Articles 10 to
14 of Regulation (EU) No 1093/2010.’;
(h) a new paragraph 11 is added:
‘11. EBA shall develop draft regulatory technical standards specifying further
the classes referred to in paragraph 2 where necessary and the conditions and
criteria for assigning exposures to those classes.
EBA shall submit those draft regulatory technical standards to the Commission
by 31 December 2026.
Power is delegated to the Commission to supplement this Regulation by
adopting the regulatory technical standards referred to in the first subparagraph
in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;
(62) Article 148 is amended as follows:
(a) paragraphs 1 and 2 are replaced by the following:
‘1. An institution that is permitted to apply the IRB Approach in accordance with
Article 107(1), shall, together with any parent undertaking and its subsidiaries,
implement the IRB Approach for at least one of the exposure classes referred to in
points (a), (a1)(i), (a1)(ii), (b), (c)(i), (c)(ii), (c)(iii), (d)(i), (d)(ii), d(iii), (d)(iv), (e1),
(f) and (g) of Article 147(2). Once an institution implements the IRB Approach for
one of those exposure classes, it shall do so for all the exposures within that exposure
class, unless it has received the permission of the competent authorities to use the
Standardised Approach permanently in accordance with Article 150.
Subject to the prior permission of the competent authorities, implementation of the
IRB Approach may be carried out sequentially across the different types of
exposures within the same exposure class and within the same business unit, and
across different business units in the same group, or for the use of own estimates of
LGDs or IRB-CCFs.
2. Competent authorities shall determine the time period over which an institution
and any parent undertaking and its subsidiaries shall be required to implement the
IRB Approach for all exposures within one exposure class across different business
units in the same group or for the use of own estimates of LGDs or IRB-CCFs. That
time period shall be one that competent authorities consider to be appropriate on the
EN 96 EN
basis of the nature and scale of the activities of the institution concerned, or any
parent undertaking and its subsidiaries, and the number and nature of rating systems
to be implemented.’;
(b) paragraphs 4, 5 and 6 are deleted;
(63) Article 150 is amended as follows:
(a) paragraph 1 is replaced by the following:
‘1. Institutions shall apply the Standardised Approach for all the following
exposures:
(a) exposures assigned to the equity exposure class referred to in Article
147(2), point (e);
(b) exposures assigned to exposure classes for which institutions have
decided not to implement the IRB Approach for the calculation of the
risk-weighted exposure amounts and expected loss amounts;
(c) exposures for which institutions have not received the prior permission of
the competent authorities to use the IRB Approach for the calculation of
the risk-weighted exposure amounts and expected loss amounts.
An institution that is permitted to use the IRB Approach for the calculation of
risk-weighted exposure amounts and expected loss amounts for a given
exposure class may, subject to the competent authority’s prior permission,
apply the Standardised Approach for some types of exposures within that
exposure class where those types of exposures are immaterial in terms of size
and perceived risk profile.
An institution that is permitted to use the IRB Approach for the calculation of
risk-weighted exposure amounts for only some types of exposures within an
exposure class, shall apply the Standardised Approach for the remaining types
of exposures within that exposure class.’;
(b) paragraphs 2, 3 and 4 are deleted;
(64) Article 151 is amended as follows:
(a) paragraph 4 is deleted;
(b) paragraph 7, 8 and 9 are replaced by the following:
‘7. For retail exposures, institutions shall provide own estimates of LGDs, and
IRB-CCF where applicable pursuant to Article 166, paragraphs 8 and 8b, in
accordance with Article 143 and Section 6. Institutions shall use SA-CCF
where Article 166, paragraphs 8 and 8b do not allow for the use of IRB-CCF.
8. For the following exposures, institutions shall apply the LGD values set out
in Article 161(1) and SA-CCF in accordance with Article 166, paragraphs 8, 8a
and 8b:
(a) exposures assigned to the exposure class ‘exposures to institutions’
referred to in Article 147(2), point (b);
(b) exposures to financial sector entities;
(c) exposures to large corporates.
EN 97 EN
For exposures belonging to the exposure classes referred to in Article 147(2),
points (a), (a1) and (c), except for the exposures referred to in the first
subparagraph of this paragraph, institutions shall apply the LGD values set out
in Article 161(1), and the SA-CCF in accordance with Article 166,
paragraphs 8, 8a and 8b, unless they have been permitted to use their own
estimates of LGDs and CCFs for those exposures in accordance with
paragraph 9 of this Article.
9. For the exposures referred to in paragraph 8, second subparagraph the
competent authority shall permit institutions to use own estimates of LGDs,
and IRB-CCFs where applicable pursuant to Article 166, paragraphs 8 and 8b,
in accordance with Article 143 and Section 6.’;
(c) the following paragraphs 11, 12 and 13 are added:
‘11. Institutions shall apply the requirements laid down for exposures
belonging to the exposure class ‘general corporates’ referred to in Article
147(2), point (c)(i) to exposures belonging to the exposure class ‘RGLA-PSE’
referred to in Article 147(2), point (a1). For the purposes of this paragraph, the
threshold provided in the definition of large corporate and the provisions
applicable to large corporates set out in paragraph 8, first subparagraph,
point (c) shall not apply, and the treatment set out in Article 501 shall not
apply.
12. For exposures in the form of shares or units in a CIU belonging to the
exposure class referred to in Article 147(2), point (e1), institutions shall apply
the treatment set out in Article 152.
13. EBA shall develop draft regulatory technical standards to specify the
treatment applicable to exposures belonging to the exposure class ‘corporates
purchased receivables’ referred to in Article 147(2), point (c)(iii) and the
exposure class ‘retail purchased receivables’ referred to in Article 147(2),
point (d)(iii), for the purposes of calculating risk-weighted exposure amounts
for the default risk and for the dilution risk of those exposures, including for
the recognition of credit risk mitigation techniques.
EBA shall submit those draft regulatory technical standards to the Commission
by 31 December 2025.
Power is delegated to the Commission to adopt the regulatory technical
standards referred to in the first subparagraph in accordance with Articles 10 to
14 of Regulation (EU) No 1093/2010.’;
(65) in Article 152, paragraph 4 is replaced by the following:
‘4. Institutions that apply the look-through approach in accordance with paragraphs 2
and 3 of this Article and that do not use the methods set out in this Chapter or in
Chapter 5 as applicable for all or parts of the underlying exposures of the CIU, shall
calculate risk-weighted exposure amounts and expected loss amounts in accordance
with the following principles:
(a) for underlying exposures that would be assigned to the equity exposure class
referred to in Article 147(2), point (e), institutions shall apply the Standardised
Approach laid down in Chapter 2;
EN 98 EN
(b) for exposures assigned to the items representing securitisation positions
referred to in Article 147(2), point (f), institutions shall apply the treatment set
out in Article 254 as if those exposures were directly held by those institutions;
(c) for all other underlying exposures, institutions shall apply the Standardised
Approach laid down in Chapter 2.’;
(66) Article 153 is amended as follows:
(a) paragraph 1, point (iii) is replaced by the following:
‘(iii) if 0 < PD < 1, then:
RW = (LGD ⋅ 𝑁 (
1
√1 − 𝑅
⋅ 𝐺(PD) + √
𝑅
1 − 𝑅
⋅ 𝐺(0,999)) − LGD ⋅ PD)
⋅
1 + (M − 2,5) ⋅ 𝑏
1 − 1,5 ⋅ 𝑏
⋅ 12,5
where:
N = the cumulative distribution function for a standard normal random
variable, i.e. N(x) equals the probability that a normal random variable with
mean of 0 and variance of 1, is less than or equal to x;
G = the inverse cumulative distribution function for a standard normal random
variable, i.e. if x = G(z), x is the value such that N(x) = z;
R = the coefficient of correlation, which is defined as:
𝑅 = 0,12 ⋅
1 − 𝑒−50⋅PD
1 − 𝑒−50
+ 0,24 ⋅ (1 −
1 − 𝑒−50⋅PD
1 − 𝑒−50
)
b = the maturity adjustment factor, which is defined as:
𝑏 = [0,11852 − 0,05478 ⋅ 𝑙𝑛(PD)]2
M = the maturity and shall beexpressed in years and calculated in accordance
with Article 162.’;
(b) paragraph 2 is replaced by the following:
‘2. For exposures to large regulated financial sector entities and to unregulated
financial sector entities, the coefficient of correlation R provided in
paragraph 1, point (iii), or paragraph 4 as applicable, shall be multiplied by
1,25 when calculating the risk weights of those exposures.’;
(c) paragraph 3 is deleted;
(d) paragraph 9 is replaced by the following:
‘9. EBA shall develop draft regulatory technical standards to specify how
institutions shall take into account the factors referred to in paragraph 5, second
subparagraph, when assigning risk weights to specialised lending exposures.
EBA shall submit those draft regulatory technical standards to the Commission
by 31 December 2025.
EN 99 EN
Power is delegated to the Commission to adopt the regulatory technical
standards referred to in the first subparagraph in accordance with Articles 10 to
14 of Regulation (EU) No 1093/2010.’;
(67) Article 154 is amended as follows:
(a) in paragraph 1, point (ii) is replaced by the following:
‘(ii) if PD < 1, then:
RW = (LGD ⋅ 𝑁 (
1
√1 − 𝑅
⋅ 𝐺(PD) + √
𝑅
1 − 𝑅
⋅ 𝐺(0,999)) − LGD ⋅ PD) ⋅ 12,5
where:
N = the cumulative distribution function for a standard normal random
variable, i.e. N(x) equals to the probability that a normal random variable with
mean of 0 and variance of 1, is less than or equal to x;
G = the inverse cumulative distribution function for a standard normal random
variable, i.e. if x = G(z), x is the value such that N(x) = z;
R = the coefficient of correlation, which is defined as:
𝑅 = 0,03 ⋅
1 − 𝑒−35⋅PD
1 − 𝑒−35
+ 0,16 ⋅ (1 −
1 − 𝑒−35⋅PD
1 − 𝑒−35
)
’;
(b) paragraph 2 is deleted;
(c) paragraph 3 is replaced by the following:
‘3. For retail exposures that are not in default and are secured or partly secured
by residential property, a coefficient of correlation R of 0,15 shall replace the
figure produced by the coefficient of correlation formula in paragraph 1.
The risk-weight applicable pursuant to paragraph 1, point (ii), to an exposure
partly secured by residential property shall also apply to the unsecured portion
of the underlying exposure.’;
(d) paragraph 4 is replaced by the following:
‘4. For QRREs that are not in default, a coefficient of correlation R of 0,04
shall replace the figure produced by the coefficient of correlation formula in
paragraph 1.
Competent authorities shall review the relative volatility of loss rates across
QRREs belonging to the same type of exposures, as well as across the
aggregate QRRE exposure class, and shall share information on the typical
characteristics of qualifying revolving retail loss rates across Member States
and with EBA.’;
(68) Article 155 is deleted;
(69) in Article 157, the following paragraph 6 is added:
‘6. EBA shall develop draft regulatory technical standards to specify further:
EN 100 EN
(a) the methodology for the calculation of risk-weighted exposure amount for
dilution risk of purchased receivables, including recognition of CRM
techniques in accordance with Article 160(4), and the conditions for the use of
own estimates and fall-back parameters;
(b) the assessment of the immateriality criterion for the type of exposures referred
to in paragraph 5;
EBA shall submit those draft regulatory technical standards to the Commission by 31
December 2026.
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the first subparagraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.’;
(70) Article 158 is amended as follows:
(a) in paragraph 5, the last subparagraph is deleted;
(b) paragraphs 7, 8 and 9 are deleted.
(71) Article 159 is replaced by the following:
‘Article 159
Treatment of expected loss amounts, IRB shortfall and IRB excess
Institutions shall subtract the expected loss amounts of exposures referred to in
Article 158, paragraphs 5, 6 and 10 from the sum of all of the following:
(a) the general and specific credit risk adjustments related to those exposures,
calculated in accordance with Article 110;
(b) additional value adjustments related to the non-trading book business of the
institution determined in accordance with Articles 34, related to those
exposures;
(c) other own funds reductions related to those exposures other than the deductions
made in accordance with Article 36(1), point (m).
Where the calculation performed in accordance with the first subparagraph results in
a positive amount, the amount obtained shall be called ‘IRB excess’. Where the
calculation performed in accordance with the first subparagraph results in a negative
amount, the amount obtained shall be called ‘IRB shortfall’.
For the purposes of the calculation referred to in the first subparagraph, institutions
shall treat discounts or premiums determined in accordance with Article 166(1) on
balance sheet exposures purchased when in default in the same manner as specific
credit risk adjustments. Discounts or premiums on balance sheet exposures
purchased when not in default shall not be allowed to be included in the calculation
of the IRB shortfall or IRB excess. Specific credit risk adjustments on exposures in
default shall not be used to cover expected loss amounts on other exposures.
Expected loss amounts for securitised exposures and general and specific credit risk
adjustments related to those exposures shall not be included in the calculation of the
IRB shortfall or IRB excess.’;
(72) in Section 4, the following Sub-Section 0 is inserted:
EN 101 EN
‘Sub-Section 0
Exposures covered by guarantees provided by Member States’ central governments and
central banks or the ECB
Article 159a
Non application of PD and LGD input floors
For the purposes of Chapter 3, and in particular with regard to Articles 160(1),
161(4), 164(4) and 166(8c), where an exposure is covered by an eligible guarantee
provided by a Member State’s central government or central bank or by the ECB, the
PD, LGD and CCF input floors shall not apply to the part of the exposure covered by
that guarantee. However, the part of the exposure that is not covered by that
guarantee shall be subject to the PD, LGD and CCF input floors concerned.’;
(73) Article 160 is amended as follows:
(a) paragraph 1 is replaced by the following:
‘1. For exposures assigned to the exposure class ‘exposures to institutions’
referred to in Article 147(2), point (b), or ‘exposures to corporates’ referred to
in Article 147(2), point (c), for the sole purposes of calculating risk weighted
exposures and expected losses amounts of those exposures, in particular for the
purposes of Article 153, Article 157, Article 158(1), Article 158(5) and
Article 158(10), the PD values used in the input of the risk weights and
expected loss formulas shall not be less than the following value: 0,05 % (‘PD
input floor’).’;
(b) paragraph 4 is replaced by the following:
‘4. For an exposure covered by an UFCP, an institution using own LGD
estimates under Article 143 for both the original exposure and for direct
comparable exposures to the protection provider may recognise the unfunded
credit protection in the PD in accordance with Article 183.’;
(c) paragraph 5 is deleted;
(d) paragraph 6 is replaced by the following:
‘6. For dilution risk of purchased corporate receivables, PD shall be set equal
to the EL estimate of the institution for dilution risk. An institution that has
received permission from the competent authority pursuant to Article 143 to
use own LGD estimates for corporate exposures that can decompose its EL
estimates for dilution risk of purchased corporate receivables into PDs and
LGDs in a manner that the competent authority considers to be reliable, may
use the PD estimate that results from this decomposition. Institutions may
recognise unfunded credit protection in the PD in accordance with Chapter 4.’;
(e) paragraph 7 is replaced by the following:
‘7. An institution that has received the permission of the competent authority
pursuant to Article 143 to use own LGD estimates for dilution risk of
purchased corporate receivables, may recognise unfunded credit protection by
adjusting PDs subject to Article 161(3).’;
(74) Article 161 is amended as follows:
(a) paragraph 1 is amended as follows:
EN 102 EN
(i) point (a) is replaced by the following:
‘(a) senior exposures without FCP to central governments and central
banks and financial sector entities: 45 %;’;
(ii) the following point (aa) is inserted:
‘(aa) senior exposures without FCP, to corporates which are not financial
sector entities: 40 %;’;
(iii) point (c) is deleted;
(iv) point (e) is replaced by the following:
‘(e) for senior purchased corporate receivables exposures where an
institution is not able to estimate PDs or where the institution's PD
estimates do not meet the requirements set out in Section 6: 40 %;’;
(v) point (g) is replaced by the following
‘(g) for dilution risk of purchased corporate receivables: 100 %.’;
(b) paragraph 3 and 4 are replaced by the following:
‘3. For an exposure covered by an unfunded credit protection, an institution
using own LGD estimates pursuant to Article 143 for both the original
exposure and for direct comparable exposures to the protection provider may
recognise the unfunded credit protection in the LGD in accordance with
Article 183.
4. For exposures assigned to the exposure class ‘corporates exposure class’
referred to in Article 147(2), point (c), for the sole purpose of calculating risk
weighted exposures and expected losses amounts of those exposures, and in
particular for the purposes of Article 153(1), point (iii), Article 157,
Article 158, paragraphs 1, 5 and 10, where own LGD estimates are used, the
LGD values used in input of the risk weight and expect loss formulas shall not
be less than the following LGD input floor values, and calculated in
accordance with paragraph 5:
Table 2a
LGD input floors (LGDfloor) for exposures belonging to the
exposure class ‘exposure to corporates’
exposure without FCP (LGDU-floor)
exposure fully secured by FCP (LGDS-
floor)
25 %
financial collateral 0 %
receivables 10 %
residential or
commercial
immovable
property
10 %
other physical 15 %
EN 103 EN
collateral
;’;
(c) the following paragraph 5 and 6 are added:
‘5. For the purposes of paragraph 4, the LGD input floors in Table 2a in that
paragraph for exposures fully secured with FCP shall apply when the value of
the FCP, after the application of the volatility adjustments Hc and Hfx
concerned in accordance with Article 230, is equal to or exceeds the value of
the underlying exposure. In addition, those values shall be applicable for FCP
eligible pursuant to this Chapter.
The applicable LGD input floor (LGDfloor) for an exposure partially secured
with FCP is calculated as the weighted average of LGDU-floor for the portion of
the exposure without FCP and LGDS-floor for the fully secured portion, as
follows:
LGDfloor = LGDU-floor ⋅
EU
E ⋅ (1 + HE)
+ LGDS-floor ⋅
ES
E ⋅ (1 + HE)
where:
LGDU-floor and LGDS-floor are the relevant floor values of Table 1;
E , ES , EU and HE are determined as specified in Article 230.
6. Where an institution that uses own LGD estimates for a given type of
corporate unsecured exposures is not able to take into account the effect of the
FCP securing one of the exposures of that type of exposures in the own LGD
estimates, the institution shall be permitted to apply the formula set out in
Article 230, with the exception that the LGDU term in that formula shall be the
institution’s own LGD estimate. In that case, the FCP shall be eligible in
accordance with Chapter 4 and the institution’s own LGD estimate used as
LGDU term shall be calculated based on underlying losses data excluding any
recoveries arising from that FCP.’;
(75) Article 162 is amended as follows:
(a) paragraph 1 is replaced by the following:
‘1. For exposures for which an institution has not received permission of the
competent authority to use own estimates of LGD, the maturity value (‘M’)
shall be 2,5 years, except for exposures arising from securities financing
transactions, for which M shall be 0,5 years.
Alternatively, as part of the permission referred to in Article 143, the
competent authorities may decide on whether the institution shall use the
maturity value M as set out in paragraph 2 for all those exposures of for a
subset of those exposures.’;
(b) paragraph 2 is amended as follows:
(i) the introductory phrase in paragraph 2 is replaced by the following:
‘For exposures for which an institution applies own estimates of LGD,
the maturity value (‘M’) shall be calculated using periods of times
expressed in years, as set out in this paragraph and subject to paragraphs
3 to 5 of this Article. M shall be no greater than 5 years, except in the
EN 104 EN
cases specified in Article 384(1) where M as specified there shall be
used. M shall be calculated as follows in each of the following cases:’;
(ii) the following points (da) and (db) are inserted:
‘(da) for secured lending transactions which are subject to a master
netting agreement, M shall be the weighted average remaining maturity
of the transactions where M shall be at least 20 days. The notional
amount of each transaction shall be used for weighting the maturity;
(db) for a master netting agreement including more than one transaction
types corresponding to points (c), (d) or (da), M shall be the weighted
average remaining maturity of the transactions where M shall be at least
the longest holding period (expressed in years) to such transactions as
provided in Article 224(2) (either 10 days or 20 days, depending on the
cases). The notional amount of each transaction shall be used for
weighting the maturity’;
(iii) point (f) is replaced by the following:
‘(f) for any instrument other than those referred to in this paragraph or
when an institution is not in a position to calculate M as set out in point
(a), M shall be the maximum remaining time (in years) that the obligor is
permitted to take to fully discharge its contractual obligations (principal,
interest, and fees), where M shall be at least one year;’;
(iv) point (i) is replaced by the following:
‘(i) for institutions using the approaches referred to in Article 382a(1),
points (a) or (b), to calculate own fund requirement for CVA risks of
transactions with a given counterparty, M shall be no greater than 1 in the
formula laid out in Article 153(1) for the purposes of calculating the risk
weighted exposure amounts for counterparty risk for the same
transactions, as referred to in Article 92(4), points (a) or (f), as
applicable;’;
(v) point (j) is replaced by the following:
‘(j) For revolving exposures, M shall be determined using the maximum
contractual termination date of the facility. Institutions shall not use the
repayment date of the current drawing if this date is not the maximum
termination date of the facility.’;
(c) paragraph 3 is amended as follows:
(i) in the first subparagraph, the introductory sentence is replaced by the
following:
‘Where the documentation requires daily re-margining and daily
revaluation and includes provisions that allow for the prompt liquidation
or set off of collateral in the event of default or failure to remargin, M
shall be the weighted average remaining maturity of the transactions and
M shall be at least one day:’;
(ii) the second subparagraph is amended as follows:
– point (b) is replaced by the following:
EN 105 EN
‘(b) self-liquidating short-term trade finance transactions connected
to the exchange of goods or services, including corporate purchased
receivables, with a residual maturity of up to 1 year as referred to in
Article 4(1), point (80);’;
– the following point (e) is added:
‘(e) issued as well as confirmed letters of credit that are short term
that is with a maturity below 1 year, and are self-liquidating.’;
(d) paragraph 4 is replaced by the following:
‘4. For exposures to corporates established in the Union which are not large
corporates, institutions may choose to set for all such exposures M as set out in
paragraph 1 instead of applying paragraph 2.’;
(e) the following new paragraph 6 is added:
‘6. For the purposes of expressing in years the minimum numbers of days
referred to in paragraph 2, points (c) to (db), and paragraph 3, the minimum
numbers of days shall be divided by 365,25.’;
(76) Article 163 is amended as follows:
(a) paragraph 1 is replaced by the following:
‘1. For the sole purposes of calculating risk weighted exposures and expected
losses amounts of those exposures, and in particular for the purposes of Article
154, Article 157 and Article 158, paragraphs 1, 5 and 10, the PD values used in
the input of the risk weight and expected loss formulas shall not be less than
the following:
(a) 0,1 % for QRRE revolvers;
(b) 0,05 % for retail exposures which are not QRRE revolvers.’;
(b) paragraph 4 is replaced by the following:
‘4. For an exposure covered by an unfunded credit protection, an institution
using own LGD estimates under Article 143 for direct comparable exposures to
the protection provider may recognise the unfunded credit protection in the PD
in accordance with Article 183.’;
(77) Article 164 is amended as follows:
(a) paragraphs 1 and 2 are replaced by the following:
‘1. Institutions shall provide own estimates of LGDs subject to the
requirements specified in Section 6 of this Chapter and to permission of the
competent authorities granted in accordance with Article 143. For dilution risk
of purchased receivables, an LGD value of 100 % shall be used. Where an
institution can decompose its expected loss estimates for dilution risk of
purchased receivables into PDs and LGDs in a reliable manner, the institution
may use its own LGD estimate.
2. Institutions using own LGD estimates pursuant to Article 143 for direct
comparable exposures to the protection provider may recognise the unfunded
credit protection in the LGD in accordance with Article 183.’;
(b) paragraph 3 is deleted;
EN 106 EN
(c) paragraph 4 is replaced by the following:
‘4. For the sole purpose of calculating risk weighted exposures and expected
losses amounts for retail exposures, and in particular pursuant to Article
154(1), Articles 157, Article 158, paragraphs 1 and 10, the LGD used in input
of the risk weight and expected loss formulas shall not be less than the LGD
input floor values laid down in Table 2aa and in accordance with paragraphs 4a
and 4b:
Table 2aa
LGD input floors (LGDfloor) for retail exposures
exposure without FCP (LGDU-floor)
exposure secured with FCP
(LGDS-floor)
Retail exposure secured by
residential property
N/A
Retail exposure
secured by
residential
property
5 %
QRRE 50 % QRRE N/A
Other retail exposure
30 %
Other retail
exposure
secured with
financial
collateral
0 %
Other retail
exposure
secured with
receivables
10 %
Other retail
exposure
secured with
residential or
commercial
immovable
property
10 %
Other retail
exposure
secured with
other physical
collateral
15 %
’;
(d) the following paragraphs 4a and 4b are inserted:
EN 107 EN
‘4a. For the purposes of paragraph 4, the following shall apply:
(a) LGD input floors in paragraph 4, Table 2aa shall be applicable for
exposures secured with FCP when the FCP is eligible pursuant to this
Chapter;
(b) except for retail exposures secured by residential property, the LGD input
floors in paragraph 4, Table 2aa shall be applicable to exposures fully
secured with FCP where the value of the FCP, after the application of the
relevant volatility adjustments in accordance with Article 230, is equal to
or exceeds the value of the underlying exposure;
(c) except for retail exposures secured by residential property, the applicable
LGD input floor for an exposure partially secured with FCP is calculated
in accordance with the formula laid down in Article 161(5);
(d) for retail exposures secured by residential property, the applicable LGD
input floor shall be fixed at 5 % irrespective of the level of collateral
provided by the residential property.
4b. Where an institution is not able to recognise the effects of the FCP securing
one of the exposures of that type of exposures in the own LGD estimates, the
institution shall be permitted to apply the formula set out in Article 230, with
the exception that the LGDU term in that formula shall be the institution’s own
LGD estimate. In that case, the FCP shall be eligible in accordance with
Chapter 4 and the institution own LGD estimate used as LGDU term shall be
calculated based on underlying losses data excluding any recoveries arising
from that FCP.’;
(78) Part Three, Title II, Chapter 3, Section 4, Sub-Section 3 is deleted.;
(79) Article 166 is amended as follows:
(a) paragraph 8 is replaced by the following:
‘8. The exposure value of off-balance sheet items which are not contracts as
listed in Annex II, shall be calculated by using either using IRB-CCF or SA-
CCF, in accordance with paragraphs 8a and 8b and Article 151(8).
Where the drawn balances of revolving facilities have been securitised,
institutions shall ensure that they continue to hold the required amount of own
funds against the undrawn balances associated with the securitisation.
An institution that does not use IRB-CCF, shall calculate the exposure value as
the committed but undrawn amount multiplied by the SA-CCF concerned.
An institution that does not use IRB-CCF, shall calculate the exposure value
for undrawn commitments as the undrawn amount multiplied by an IRB-
CCF.’;
(b) the following paragraphs 8a, 8b and 8c are inserted:
8a. For an exposure for which the IRB-CCF is not used, the applicable CCF
shall be the SA-CCF as provided under Chapter 2 for the same types of items
as laid down in Article 111. The amount to which the SA-CCF shall be applied
shall be the lower of the value of the unused committed credit line, and the
value that reflects any possible constraining of the availability of the facility,
including the existence of an upper limit on the potential lending amount which
EN 108 EN
is related to an obligor’s reported cash flow. Where a facility is constrained in
that way, the institution shall have sufficient line monitoring and management
procedures to support the existence of that constraining.
8b. Subject to the permission of competent authorities, institutions that meet
the requirements for the use of IRB-CCF as specified in Section 6 shall use
IRB-CCF for exposures arising from undrawn revolving commitments treated
under the IRB Approach provided that those exposures would not be subject to
a SA-CCF of 100 % under the Standardised Approach. SA-CCF shall be used
for:
(a) all other off-balance sheet items, in particular undrawn non-revolving
commitments;
(b) exposures where the minimum requirements for calculating IRB-CCF as
specified in Section 6 are not met by the institution or where the
competent authority has not permitted the use of IRB-CCFs.
For the purposes of this Article, a commitment shall be deemed ‘revolving’
where it lets an obligor obtain a loan where the obligor has the flexibility to
decide how often to withdraw from the loan and at what time intervals,
allowing the obligor to drawdown, repay and re-draw loans advanced to it.
Contractual arrangements that allow prepayments and subsequent redraws of
those prepayments shall be considered as revolving.
8c. For the sole purposes of calculating risk weighted exposures and expected
losses amounts of exposures arising from revolving commitments where IRB-
CCF are used, in particular pursuant to Article 153(1), Article 157, Article 158
paragraph 1, 5 and 10, the exposure value used as input in the risk weighted
exposure amount and expect loss formulas shall not be less that then the sum
of:
(a) the drawn amount of the revolving commitment;
(b) 50 % of the off-balance exposure amount of the remaining undrawn part
of the revolving commitment calculated using the applicable SA-CCF
provided for in Article 111.
The sum of points (a) and (b) shall be referred to as the ‘CCF input floor’.’;
(c) paragraph 10 is deleted;
(80) Article 167 is deleted;
(81) in Article 169(3), the following subparagraph is added:
‘EBA shall issue guidelines on how to apply in practice the requirements on model
design, risk quantification, validation and application of risk parameters using
continuous or very granular rating scales for each risk parameter. Those guidelines
shall be adopted in accordance with Article 16 of Regulation (EU) No 1093/2010.’;
(82) in Article 170(4), point (b) is replaced by the following:
‘(b) transaction risk characteristics, including product and funded credit protection,
recognised unfunded credit protection, loan to value measures, seasoning and
seniority. Institutions shall explicitly address cases where several exposures benefit
from the same collateral. For each pool where the institution estimates PD and LGD,
the institution shall analyse the representativeness of the age of the facilities in terms
EN 109 EN
of time since origination for PD and time since the date of default for LGD, in the
data used to derive the estimates of the institution’s actual facilities;’;
(83) in Article 171, the following paragraph 3 is added:
‘3. Rating systems shall be designed in such a way that idiosyncratic or industry-
specific changes are a driver of migrations from one grade to another. In addition,
business cycles effects shall be taken into account as a driver for migrations of
obligors and facilities from one grade or pool to another.’;
(84) in Article 172, paragraph 1 is amended as follows:
(a) the introductory sentence is replaced by the following:
‘For exposures to corporates, institutions and central governments and central
banks, assignment of exposures shall be carried out in accordance with the
following criteria:’;
(b) point (d) is replaced by the following:
‘(d) each separate legal entity to which the institution is exposed shall be
separately rated;’;
(c) the following subparagraph is added:
‘For the purposes of point (d), an institution shall have appropriate policies for
the treatment of individual obligor clients and groups of connected clients.
Those policies shall contain a process for the identification of specific wrong
way risk for each legal entity to which the institution is exposed. Transactions
with counterparties where specific wrong way risk has been identified shall be
treated differently when calculating their exposure value;’;
(85) Article 173 is amended as follows:
(a) in paragraph 1, the introductory sentence is replaced by the following:
‘For exposures to corporates, institutions and central governments and central
banks, assignment process shall meet the following requirements:’;
(b) paragraph 3 is replaced by the following:
‘3. EBA shall develop draft regulatory technical standards setting out the
methodologies of the competent authorities to assess the integrity of the
assignment process and the regular and independent assessment of risks.
EBA shall submit those draft regulatory technical standards to the Commission
by 31 December 2025.
Power is delegated to the Commission to adopt the regulatory technical
standards referred to in the first subparagraph in accordance with Articles 10 to
14 of Regulation (EU) No 1093/2010.’;
(86) Article 174 is amended as follows:
(a) the introductory sentence is replaced by the following:
‘Institutions shall use statistical other mathematical methods (‘models’) to
assign exposures to obligors or facilities grades or pools, for which the
following requirements shall be met:’;
(b) point (a) is replaced by the following:
EN 110 EN
‘(a) the model shall have good predictive power and capital requirements shall
not be distorted as a result of its use;’;
(c) the following subparagraph is added:
‘For the purposes of point (a), the input variables shall form a reasonable and
effective basis for the resulting predictions. The model shall not have material
biases. There shall be a functional link between the inputs and the outputs of
the model, which may be determined through expert judgement where
appropriate.’;
(87) Article 176 is amended as follows:
(a) in paragraph 2, the introductory sentence is replaced by the following:
‘For exposures to corporates, institutions and central governments and central
banks, institutions shall collect and store:’;
(b) paragraph 3 is replaced by the following:
‘3. For exposures for which this Chapter allows the calculation of own
estimates of LGDs or IRB-CCFs but for which institutions do not use own
estimates of LGDs or IRB-CCFs, institutions shall collect and store data on
comparisons between realised LGDs and the values as set out in Article 161(1),
and between realised CCFs and SA-CCFs as set out in Article 166(8a).’;
(88) in Article 177, paragraph 3 is deleted;
(89) Article 178 is amended as follows:
(a) the title is replaced by the following:
‘Default of an obligor or facility’
(b) in paragraph 1, point (b) is replaced by the following:
‘(b) the obligor is more than 90 days past due on any material credit obligation
to the institution, the parent undertaking or any of its subsidiaries.’;
(c) in paragraph 3, point (d) is replaced by the following:
‘(d) the institution consents to a distressed restructuring of the credit obligation
where such restructuring is likely to result in a diminished financial obligation
due to the material forgiveness, or postponement, of principal, interest or,
where relevant, fees. A distressed restructuring shall be considered to have
occurred when forbearance measures as referred to in Article 47b have been
extended toward the obligor;’;
(90) Article 180 is amended as follows:
(a) paragraph 1 is amended as follows:
(i) the introductory sentence is replaced by the following:
‘In quantifying the risk parameters to be associated with rating grades or
pools, institutions shall apply the following requirements specific to PD
estimation to exposures to corporates, institutions and central
governments and central banks:’;
(ii) point (h) is replaced by the following:
EN 111 EN
‘(h) irrespective of whether an institution is using external, internal, or pooled
data sources, or a combination of the three, for its PD estimation, the length of
the underlying historical observation period used shall be at least five years for
at least one source.’;
(iii) the following point (i) is added:
‘(i) irrespective of the method used to estimate PD, institutions shall estimate a
PD for each rating grade based on the observed historical average one-year
default rate that is a simple average based on number of obligors (count
weighted) and other approaches, including exposure-weighted averages, shall
not be permitted.’;
(iv) the following subparagraph is added:
‘For the purposes of point (h), where the available observation period
spans a longer period for any source, and this data is relevant, this longer
period shall be used. The data shall include a representative mix of good
and bad years relevant for the type of exposures. Subject to the
permission of competent authorities, institutions which have not received
the permission of the competent authority pursuant to Article 143 to use
own estimates of LGDs or conversion factors may use, when they
implement the IRB Approach, relevant data covering a period of two
years. The period to be covered shall increase by one year each year until
relevant data cover a period of five years.’;
(b) paragraph 2 is amended as follows:
(i) point (a) is replaced by the following:
‘(a) institutions shall estimate PDs by obligor or facility grade or pool
from long run averages of one-year default rates, and default rates shall
be calculated at facility level only where the definition of default is
applied at individual credit facility level pursuant to Article 178(1),
second subparagraph;’
(ii) point (e) is replaced by the following:
‘(e) irrespective of whether an institution is using external, internal or
pooled data sources, or a combination of the three, for its PD estimation,
the length of the underlying historical observation period used shall be at
least five years for at least one source.’;
(iii) the following subparagraph is added:
‘For the purposes of point (e), where the available observation spans a
longer period for any source, and where those data are relevant, such
longer period shall be used. The data shall contain a representative mix of
good and bad years of the economic cycle relevant for the type of
exposures. The PD shall be based on the observed historical average one-
year default rate. Subject to the permission of the competent authorities,
institutions may use, when they implement the IRB Approach, relevant
data covering a period of two years. The period to be covered shall
increase by one year each year until relevant data cover a period of five
years.’;
(c) paragraph 3 is replaced by the following:
EN 112 EN
‘EBA shall develop draft regulatory technical standards to specify the
methodologies in accordance with which competent authorities shall assess the
methodology of an institution for estimating PD pursuant to Article 143.
EBA shall submit those draft regulatory technical standards to the Commission
by 31 December 2025.
Power is delegated to the Commission to adopt the regulatory technical
standards referred to in the first subparagraph in accordance with Articles 10 to
14 of Regulation (EU) No 1093/2010.’;
(91) Article 181 is amended as follows:
(a) paragraph 1 is amended as follows:
(i) points (c) to (g) are replaced by the following:
‘(c) an institution shall consider the extent of any dependence between,
on the one hand, the risk of the obligor and, on the other hand, that of
funded credit protection, other than master netting agreements and on-
balance sheet netting of loans and deposits, or its provider.;
(d) currency mismatches between the underlying obligation and the
funded credit protection other than master netting agreements and on-
balance sheet netting of loans and deposits shall be treated conservatively
in the institution's assessment of LGD;’
(e) to the extent that LGD estimates take into account the existence of
funded credit protection other than master netting agreements and on-
balance sheet netting of loans and deposits, those estimates shall not
solely be based on the estimated market value of the funded credit
protection.;
(f) to the extent that LGD estimates take into account the existence of
funded credit protection other than master netting agreements and on-
balance sheet netting of loans and deposits, institutions shall establish
internal requirements for the management, legal certainty and risk
management of that funded credit protection, and those requirements
shall be generally consistent with those set out in Chapter 4, Section 3;
(g) to the extent that an institution recognises funded credit protection
other than master netting agreements and on-balance sheet netting of
loans and deposits for determining the exposure value for counterparty
credit risk in accordance with Chapter 6, Section 5 or 6, any amount
expected to be recovered from this funded credit protection shall not be
taken into account in the LGD estimates;’;
(ii) point (i) is replaced by the following:
‘(i) to the extent that fees for late payments, imposed on the obligor
before the time of default, have been capitalised in the institution's
income statement, they shall be added to the institution's measure of
exposure and loss;’;
(iii) the following point (k) is added:
‘(k) additional drawings after default shall be accounted for in the
LGD;’;
EN 113 EN
(iv) the following subparagraphs are added:
‘For the purposes of point (a), institutions shall adequately take into
account recoveries realised in the course of the relevant recovery
processes from any form of FCP as well as from UFCP not falling under
the definition of Article 142, point (10).
For the purposes of point (c), cases where there is a significant degree of
dependence shall be addressed in a conservative manner.
For the purposes of point (e), LGD estimates shall take into account the
effect of the potential inability of institutions to expeditiously gain
control of their collateral and liquidate it.’;
(b) paragraph 2 is amended as follows:
(i) in the first subparagraph, point (b) is deleted;
(ii) the second subparagraph is replaced by the following:
‘For retail exposures, estimates of LGD shall be based on data over a
minimum of five years. Subject to the permission of the competent
authorities, institutions may use, when they implement the IRB
Approach, relevant data covering a period of two years. The period to be
covered shall be increased by one year each year until the data concerned
cover a period of five years.’;
(c) the following paragraph 4 is added:
‘4. EBA shall, in accordance with Article 16 of Regulation (EU)
No 1093/2010, issue guidelines to clarify the treatment of any form of funded
and unfunded credit protection for the purposes of paragraph 1, point (a), and
for the purposes of the application of the LGD parameters;’;
(92) Article 182 is amended as follows:
(a) in paragraph 1 is amended as follows:
(i) point (c) is replaced by the following:
‘(c) institutions’ IRB-CCF shall reflect the possibility of additional
drawings by the obligor up to the time a default event is triggered. The
IRB-CCF shall incorporate a larger margin of conservatism where a
stronger positive correlation can reasonably be expected between the
default frequency and the magnitude of conversion factor;’;
(ii) the following points (g) and (h) are added:
‘(g) institutions’ IRB-CCF shall be developed using a 12-month fixed-
horizon approach. For that purpose, for each observation in the reference
data set, default outcomes shall be linked to relevant obligor and facility
characteristics at a fixed reference date defined as 12 months prior to
default day;
(h) institutions’ IRB-CCF shall be based on reference data that reflect the
obligor, facility and bank management practice characteristics of the
exposures to which the estimates are applied.
(iii) the following subparagraphs are added:
EN 114 EN
‘For the purposes of point (c), the IRB-CCF shall incorporate a larger
margin of conservatism where a stronger positive correlation can
reasonably be expected between the default frequency and the magnitude
of the conversion factor.
For the purposes of point (g), for each observation in the reference data
set, default outcomes shall be linked to relevant obligor and facility
characteristics at a fixed reference date which shall be set as 12 months
prior to default day.
For the purposes of point (h), IRB-CCF applied to particular exposures
shall not be based on data that comingle the effects of disparate
characteristics or data from exposures that exhibit different risk
characteristics. IRB-CCF shall be based on appropriately homogenous
segments. For that purpose, the following practices shall not be allowed:
(a) SME/mid-market underlying data being applied to larger corporate
obligors;
(b) data from commitments with ‘small’ unused limit availability being
applied to facilities with ‘large’ unused limit availability;
(c) data from delinquent obligors or blocked for further drawdowns at
reference date being applied to obligors with no known
delinquency or relevant restrictions;
(d) data that have been affected by changes in the obligors’ mix of
borrowing and other credit-related products over the observation
period unless those data have been effectively by removing the
effects of the changes in the product mix.
For the purposes of the fourth subparagraph, point (d), institutions shall
demonstrate to the competent authorities that they have a detailed
understanding of the impact of changes in customer product mix on the
exposures reference data sets and associated CCF estimates, and that the
impact is immaterial or has been effectively mitigated within their
estimation process. In that regard, the following shall not be deemed
appropriate:
(a) setting floors to CCF or exposure values observations
(b) the use of obligor-level estimates that do not fully cover the
relevant product transformation options or inappropriately combine
products with very different characteristics,
(c) adjusting only material observations affected by product
transformation,
(d) excluding observations affected by product profile
transformation.’;
(b) in paragraph 3, the first subparagraph is deleted;
(c) the following paragraph 5 is added:
‘5. EBA shall, in accordance with Article 16 of Regulation (EU) No
1093/2010, issue guidelines to specify the methodology institutions shall apply
to estimate IRB-CCF.
EN 115 EN
EBA shall submit those draft regulatory technical standards to the Commission
by 31 December 2026.
Power is delegated to the Commission to adopt the regulatory technical
standards referred to in the first subparagraph in accordance with Articles 10 to
14 of Regulation (EU) No 1093/2010.’;
(93) Article 183 is amended as follows
(a) the title is replaced by the following:
‘Requirements for assessing the effect of unfunded credit protection for exposures to
corporates, central governments and central banks where own estimates of LGD are
used and for retail exposures’;
(b) paragraph 1 is amended as follows:
(i) point (c) is replaced by the following:
‘(c) the guarantee shall be evidenced in writing, non-cancellable and non-
changeable on the part of the guarantor, in force until the obligation is
satisfied in full, to the extent of the amount and tenor of the guarantee,
and legally enforceable against the guarantor in a jurisdiction where the
guarantor has assets to attach and enforce a judgement;
(ii) the following points (d) and (e) are added:
‘(d) the guarantee shall be unconditional.
(e) first-to-default credit derivatives may be recognised as eligible
unfunded credit protection, but second-to-default or more generally nth-
to-default credit derivatives shall not be recognised as eligible unfunded
credit protection.’;
(iii) the following subparagraph is added:
‘For the purposes of point (d), an ‘unconditional guarantee’ means a
guarantee where the credit protection contract does not contain any
clause the fulfilment of which is outside the direct control of the lending
institution and, that could prevent the guarantor from being obliged to
pay out in a timely manner in the event that the original obligor fails to
make any payments due. A clause in the credit protection contract
providing that a faulty due diligence or fraud by the lending institution
cancels or diminishes the extent of the guarantee offered by the guarantor
shall not disqualify that guarantee from being considered as
unconditional. Any credit protection contract which can, in the event of
fraud of the obligor, be cancelled or of which the extent of credit
protection can be diminished, shall not be considered as unconditional.
Guarantees where the payment by the guarantor is subject to the lending
institution first having to pursue the obligor and that only cover losses
remaining after the institutions has completed the workout process shall
be considered as unconditional.’;
(c) the following paragraph 1a is added:
‘1a. Institutions may recognise unfunded credit protection by using either the
PD/LGD modelling approach, in accordance with this Article and subject to the
EN 116 EN
requirement set out in paragraph 4, or the substitution of risk parameters
approach under A-IRB as referred to in Article 236a and subject to the
eligibility requirements of Chapter 4. Institutions should have clear policies for
assessing the effects of unfunded credit protection on risk parameters. The
policies of the institutions shall be consistent with their internal risk
management practices and shall reflect the requirements of this Article. Those
policies shall clearly specify which of the specific methods described in this
subparagraph are used for each rating system, and institutions shall apply those
policies consistently over time.’;
(d) paragraph 4 is replaced by the following:
‘4. Where institutions recognise unfunded credit protection by the PD/LGD
modelling approach, the covered portion of the underlying exposure shall not
be assigned a risk weight which would be lower than the protection-provider-
RW-floor. For that purpose, the protection-provider-RW-floor shall be
calculated using the same PD, the same LGD and the same risk weight function
as the ones used applicable to comparable direct exposure to the protection
provider as referred to in Article 236a.’;
(e) paragraph 6 is deleted;
(94) in Part Three, Title II, Chapter 3, Section 6, Sub-Section 4 is deleted;
(95) in Article 192, the following points (5) to (8) are added:
‘(5) ‘substitution of risk weight approach under SA’ means the substitution, in
accordance with Article 235, of the risk weight of the underlying exposure with the
risk weight applicable under the Standardised Approach to a comparable direct
exposure to the protection provider;
(6) ‘substitution of risk weight approach under IRB’ means the substitution, in
accordance with Article 235a, of the risk weight of the underlying exposure with the
risk weight applicable under the Standardised Approach to a comparable direct
exposure to the protection provider;
(7) ‘substitution of risk parameters approach under F-IRB’ means the substitution, in
accordance with Article 236, of both the PD and LGD risk parameters of the
underlying exposure with the corresponding PD and LGD that would be assigned
under the IRB approach without using own LGD estimates to a comparable direct
exposures to the protection provider;
(8) ‘substitution of risk parameters approach under A-IRB’ means the substitution, in
accordance with Article 236a, of both the PD and LGD risk parameters of the
underlying exposure with the corresponding PD and LGD that would be assigned
under the IRB approach using own LGD estimates to a comparable direct exposure
to the protection provider.’;
(96) in Article 193, the following paragraph 7 is added:
‘7. Collateral that satisfies all eligibility requirements set out in this Chapter can be
recognised as such even for exposures associated with undrawn facilities. Where
drawing under the facility is conditional on the prior or simultaneous purchase or
reception of collateral to the extent of the institution’s interest in the collateral once
the facility is drawn, such that the institution does not have any interest in the
collateral to the extent the facility is not drawn, such collateral can be recognised for
the exposure arising from the undrawn facility.’;
EN 117 EN
(97) in Article 194, paragraph 10 is deleted;
(98) in Article 197, paragraph 1 is amended as follows:
(a) points (b) to (e) are replaced by the following:
‘(b) debt securities satisfying all of the following conditions:
(i) the debt securities are issued by central governments or central banks;
(ii) the debt securities have a credit assessment carried out by an ECAI or
export credit agency that:
– has been recognised as being eligible for the purposes of Chapter 2;
– has been determined by EBA to be associated with credit quality
step 1, 2, 3 or 4 under the rules for the risk weighting of exposures
to central governments and central banks under Chapter 2;
(c) debt securities satisfying all of the following conditions:
(i) those debt securities are issued by institutions;
(ii) those debt securities have a credit assessment carried out by an ECAI
that:
– has been recognised as being eligible for the purposes of Chapter 2;
– has been determined by EBA to be associated with credit quality
step 1, 2 or 3 under the rules for the risk weighting of exposures to
corporates under Chapter 2;
(d) debt securities satisfying all of the following conditions:
(i) those debt securities are issued by other entities;
(ii) those debt securities have a credit assessment carried out by an ECAI that
satisfies all of the following conditions:
– the ECAI has been recognised as being eligible for the purposes of
Chapter 2;
– the ECAI has been determined by EBA to be associated with credit
quality step 1, 2 or 3 under the rules for the risk weighting of
exposures to institutions under Chapter 2;
(e) debt securities having a short-term credit assessment carried out by an
ECAI that satisfies all of the following conditions:
(i) the ECAI has been recognised as being eligible for the purposes of
Chapter 2; and
(ii) the ECAI has been determined by EBA to be associated with credit
quality step 1, 2 or 3 under the rules for the risk weighting of short-term
exposures under Chapter 2;’;
(b) point (g) is replaced by the following:
‘(g) gold bullion;’;
(99) Article 199 is amended as follows:
(a) paragraph 2 is replaced by the following:
EN 118 EN
‘2. Unless otherwise specified under Article 124(7), institutions may use as
eligible collateral residential 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 immovable property, including offices and other commercial
premises, where both of the following conditions are met:
(a) the value of the property does not materially depend upon the credit
quality of the obligor;
(b) the risk of the borrower does not materially depend upon the performance
of the underlying property or project, but on the underlying capacity of
the borrower to repay the debt from other sources, and as a consequence
the repayment of the facility does not materially depend on any cash flow
generated by the underlying property serving as collateral.
For the purposes of point (a), institutions may exclude situations where purely
macro-economic factors affect both the value of the property and the
performance of the borrower. ’;
(b) in paragraph 3, point (a) is replaced by the following:
‘(a) losses stemming from loans collateralised by residential property up to
55 % of the value determined in accordance with Article 229, unless otherwise
provided under Article 124(7), do not exceed 0,3 % of the outstanding loans
collateralised by residential property in any given year;’;
(c) in paragraph 4, point (a) is replaced by the following:
‘(a) losses stemming from loans collateralised by commercial property up to
55 % of the value determined in accordance with Article 229, unless otherwise
provided under Article 124(7), do not exceed 0,3 % of the outstanding loans
collateralised by commercial property in any given year;’;
(d) in paragraph 5, the following subparagraph is added:
‘Where a public development credit institution as defined in Article 429a(2)
issues a promotional loan as defined in Article 429a(3) to another institution, or
to a financial institution that is authorised to perform activities as referred to in
points 2 or 3 of Annex I to Directive 2013/36/EU and that meets the conditions
pursuant to Article 119(5) of this Regulation, and where that other institution
or financial institution passes through directly or indirectly that promotional
loan to an ultimate obligor and cedes the receivable from the promotional loan
as collateral to the public development credit institution, the public
development credit institution may use the ceded receivable as eligible
collateral, regardless of the original maturity of the ceded receivable.’;
(e) in paragraph 6, in the first subparagraph, point (d) is replaced by the following:
‘(d) the institution demonstrates that in at least 90 % of all liquidations for a
given type of collateral the realised proceeds from the collateral are not below
70 % of the collateral value. Where there is material volatility in the market
prices, the institution demonstrates to the satisfaction of the competent
authorities that its valuation of the collateral is sufficiently conservative.’;
(100) Article 201 is amended as follows:
(a) paragraph 1 is amended as follows:
EN 119 EN
(i) point (d) is replaced by the following:
‘ (d) international organisations to which a 0 % risk weight is assigned in
accordance with in Article 118;’;
(ii) the following point (fa) is inserted:
‘(fa) regulated financial sector entities;’;
(iii) point (g) is replaced by the following:
‘(g) where the credit protection is not provided to a securitisation
exposure, other undertakings, that have a credit assessment by an ECAI,
including parent undertakings, subsidiaries or affiliated entities of the
obligor where those parent undertakings, subsidiaries or affiliated entities
have a lower risk weight than that of the obligor;’;
(iv) the following point (ga) is inserted:
‘(ga) where the credit protection is provided to a securitisation exposure,
other undertakings, that have a credit assessment by an ECAI of credit
quality step 1, 2 or 3 and that had a credit assessment of credit quality
step 1 or 2 at the time the credit protection was provided, including
parent undertakings, subsidiaries and affiliated entities of the obligor
where those parent undertakings, subsidiaries or affiliated entitieshave a
lower risk weight than that of the obligor;’;
(v) the following subparagraph is added:
‘For the purposes of point (fa), ‘regulated financial sector entity’ means a
financial sector entity meeting the condition laid down in Article 142(1),
point (4)(b).’;
(b) paragraph 2 is replaced by the following:
‘2. In addition to the protection providers listed in paragraph 1, corporate
entities that are internally rated by the institution in accordance with Chapter 3,
Section 6, shall be eligible protection providers of unfunded credit protection
where the institution treats those corporate entities under the IRB Approach.’;
(101) Article 202 is deleted;
(102) in Article 204, the following paragraph 3 is added:
‘3. First-to-default and all other nth-to-default credit derivatives shall not be eligible
forms of unfunded credit protection under this Chapter.
Risk-weighted exposures amounts shall be calculated for first-to-default credit
derivatives. For that purpose, the risk-weights of the underlying assets included in
the basket shall be aggregated up to a maximum of 1250 % and multiplied by the
nominal amount of the protection provided by the credit derivative to obtain the risk-
weighted exposure amount for the exposure related to that derivative.
For second-to-default credit derivatives, the treatment shall be identical, except that
in aggregating the risk-weights, the underlying asset with the lowest risk-weighted
exposure amount shall be excluded from the calculation. Such a treatment shall also
apply for nth-to-default credit derivatives, for which the n-1 assets with the lowest
risk-weighted exposure amounts shall be excluded from the calculation.’;
(103) Article 208 is amended as follows:
EN 120 EN
(a) paragraph 3 is amended as follows:
(i) in point (b), the following sentences are added:
‘The value of the property shall not exceed the average value measured
for that property or for a comparable property over the last three years in
case of commercial immovable property, and over the last six years in
case of residential property. Modifications made to the property that
improve the energy efficiency of the building or housing unit shall be
considered as unequivocally increasing its value.’;
(ii) the second subparagraph is deleted;
(b) the following paragraph 3a is inserted:
‘3a. In accordance with paragraph 3 and subject to the approval of the
competent authorities, institutions may carry out the valuation and revaluation
of the property value by means of advanced statistical or other mathematical
methods (‘models’), developed independently from the credit decision process,
subject to the fulfilment of the following conditions:
(a) the institutions set out, in their policies and procedures, the criteria for
using models to valuate, revaluate and monitor the values of collateral.
Those policies and procedures shall account for such models’ proven
track record, property-specific variables considered, the use of minimum
available and accurate information, and the models’ uncertainty;
(b) the institutions ensure that the models used are:
(i) property and location specific at a sufficient level of granularity;
(ii) valid and accurate, and subject to robust and regular back-testing
against the actual observed transaction prices;
(iii) based on a sufficiently large and representative sample, based on
observed transaction prices;
(iv) based on up-to-date data of high quality;
(c) the institutions are ultimately responsible for the appropriateness and
performance of the models, the valuer referred to in paragraph 3, point
(b), is responsible for the valuation that is made using the models and the
institutions understand the methodology, input data and assumptions of
the models used;
(d) the institutions ensure that the documentation of the models is up to date;
(e) the institutions have in place adequate IT processes, systems and
capabilities and have sufficient and accurate data for any model-based
valuation or revaluation of collateral;
(f) the estimates of models are independently validated and the validation
process is generally consistent with the principles set out in Article 185,
and the independent valuer referred to in paragraph 3, point (b) is
responsible for the final values used by the institution for the purposes of
this Chapter.’;
(c) paragraph 5 is replaced by the following:
EN 121 EN
‘5. The immovable property taken as credit protection shall be adequately
insured against the risk of damage and institutions shall have in place
procedures to monitor the adequacy of the insurance.’;
(104) in Article 210, the following subparagraph is added:
‘Where general security agreements, or other forms of floating charge, provide the
lending institution with a registered claim over a company’s assets and where that
claim contains both assets that are not eligible as collateral under the IRB Approach
and assets that are eligible as collateral under the IRB Approach, the institution may
recognise those latter assets as eligible funded credit protection. In that case, that
recognition shall be conditional on those assets meeting the requirements for
eligibility of collateral under the IRB Approach as set out in this Chapter.’;
(105) in Article 213, paragraph 1 is replaced by the following:
‘1. Subject to Article 214(1), credit protection deriving from a guarantee or credit
derivative shall qualify as eligible unfunded credit protection where all of the
following conditions are met:
(a) the credit protection is direct;
(b) the extent of the credit protection is clearly set out and incontrovertible;
(c) the credit protection contract does not contain any clause, the fulfilment of
which is outside the direct control of the lending institution, that:
(i) would allow the protection provider to cancel or change the credit
protection unilaterally;
(ii) would increase the effective cost of the credit protection as a result of a
deterioration in the credit quality of the protected exposure;
(iii) could prevent the protection provider from being obliged to pay out in a
timely manner in the event that the original obligor fails to make any
payments due, or where the leasing contract has expired for the purposes
of recognising guaranteed residual value under Articles 134(7) and
166(4);
(iv) could allow the maturity of the credit protection to be reduced by the
protection provider;
(d) the credit protection contract is legally effective and enforceable in all
jurisdictions which are relevant at the time of the conclusion of the credit
agreement.
For the purposes of point (c), a clause in the credit protection contract providing that
faulty due diligence or fraud by the lending institution cancels or diminishes the
extent of the credit protection offered by the guarantor, shall not disqualify that credit
protection from being eligible. Any credit protection contract which can, in the event
of fraud of the obligor, be cancelled or of which the extent of credit protection can be
diminished, shall be considered to not meet those requirements.
For the purposes of point (c), the protection provider may make one lump sum
payment of all monies due under the claim, or may assume the future payment
obligations of the obligor covered by the credit protection contract.’;
(106) Article 215 is amended as follows:
(a) paragraph 1 is amended as follows:
EN 122 EN
(i) point (a) is replaced by the following:
‘(a) on the qualifying default of or non-payment by the obligor, the
lending institution has the right to pursue, in a timely manner, the
guarantor for any monies due under the claim in respect of which the
protection is provided.’;
(ii) the following subparagraphs are added:
‘The payment by the guarantor shall not be subject to the lending
institution first having to pursue the obligor.
In the case of unfunded credit protection covering residential mortgage
loans, the requirements in Article 213(1), point (c)(iii), and in the first
subparagraph of this point, shall only have to be satisfied within 24
months.’;
(b) paragraph 2 is replaced by the following:
‘2. In the case of guarantees provided in the context of mutual guarantee
schemes or provided by or counter-guaranteed by entities as listed in Article
214(2), the requirements in paragraph 1, point (a), of this Article and in Article
213(1), point (c)(iii) shall be considered to be satisfied where either of the
following conditions is met:
(a) pursuant to the default of the obligor or to the event that the original
obligor fails to make any payments due, the lending institution has the
right to obtain in a timely manner a provisional payment by the guarantor
that meets both the following conditions:
(i) the provisional payment represents a robust estimate of the amount
of the loss that the lending institution is likely to incur, including
losses resulting from the non-payment of interest and other types of
payment which the borrower is obliged to make;
(ii) the provisional payment is proportional to the coverage of the
guarantee;
(b) the lending institution can demonstrate to the satisfaction of the
competent authorities that the effects of the guarantee, which shall also
cover losses resulting from the non-payment of interest and other types of
payments which the borrower is obliged to make, justify such
treatment.’;
(107) in Article 216, the following paragraph 3 is added:
‘3. By way of derogation from paragraph 1, for a corporate exposure covered by a
credit derivative, the credit event referred to in point (a)(iii) of that paragraph shall
not need to be specified in the derivative contract provided that all of the following
conditions are met:
(a) a 100 % vote is needed to amend the maturity, principal, coupon, currency or
seniority status of the underlying corporate exposure;
(b) the legal domicile in which the corporate exposure is governed has a well-
established bankruptcy code that allows for a company to reorganise and
restructure, and provides for an orderly settlement of creditor claims.
EN 123 EN
Where the conditions laid down in point (a) and (b) are not met, the credit protection
may nonetheless be eligible subject to a reduction in the value as specified in Article
233(2).’;
(108) Article 217 is deleted;
(109) Article 219 is replaced by the following:
‘Article 219
On-balance sheet netting
Loans to and deposits with the lending institution subject to on-balance sheet netting
shall be treated by that institution as cash collateral for the purposes of calculating
the effect of funded credit protection for those loans and deposits of the lending
institution subject to on-balance sheet netting.’;
(110) Article 220 is amended as follows:
(a) the title is replaced by the following:
‘Using the Supervisory Volatility Adjustments Approach for master netting
agreements’;
(b) paragraph 1 is replaced by the following:
‘1. Institutions that calculate the ‘fully adjusted exposure value’ (E*) for the
exposures subject to an eligible master netting agreement covering securities
financing transactions or other capital market-driven transactions shall
calculate the volatility adjustments that they need to apply by using the
Supervisory Volatility Adjustments Approach set out in Articles 223 to 227 for
the Financial Collateral Comprehensive Method.’;
(c) in paragraph 2, point (c) is replaced by the following:
‘(c) apply the value of the volatility adjustment, or, where relevant, the
absolute value volatility adjustment appropriate for a given group of securities
or for a given type of commodities, to the absolute value of the positive or
negative net position in the securities in that group of securities, or to the
commodities from that type of commodities;’;
(d) paragraph 3 is replaced by the following:
‘3. Institutions shall calculate E* in accordance with the following formula:
𝐸∗
= max (0; ∑ 𝐸𝑖
𝑖
− ∑ 𝐶𝑗
𝑗
+ 0,4 ⋅ 𝐸net + 0,6 ⋅
𝐸gross
√𝑁
+ ∑|𝐸𝑘
fx
| ⋅ 𝐻𝑘
fx
𝑘
)
where:
i = the index that denotes all separate securities, commodities or cash
positions under the agreement, that are either lent, sold with an agreement to
repurchase, or posted by the institution to the counterparty;
j = the index that denotes all separate securities, commodities or cash
positions under the agreement that are either borrowed, purchased with an
agreement to resell, or held by the institution;
EN 124 EN
k = the index that denotes all separate currencies in which any securities,
commodities or cash positions under the agreement are denominated;
𝐸𝑖 = the exposure value of a given security commodity or cash position i,
that is either lent, sold with an agreement to repurchase, or posted to the
counterparty under the agreement that would apply in the absence of credit
protection, where institutions calculate the risk weighted exposure amounts in
accordance with Chapter 2 or Chapter 3, as applicable;
𝐶𝑗 = the value of a given security, commodity or cash position j that is
either borrowed, purchased with an agreement to resell, or held by the
institution under the agreement;
𝐸𝑘
fx
= the net position (positive or negative) in a given currency k other than
the settlement currency of the agreement as calculated in accordance with
paragraph 2, point (b);
𝐻𝑘
fx
= the foreign exchange volatility adjustment for currency k;
𝐸𝑛et = the net exposure of the agreement, calculated as follows:
𝐸𝑛et = |∑|𝐸𝑙
sec
| ⋅ 𝐻𝑙
sec
𝑁
𝑙=1
|
where:
l = the index that denotes all distinct groups of the same securities and
all distinct types of the same commodities under the agreement;
𝐸𝑙
sec
= the net position (positive or negative) in a given group of securities l, or
a given type of commodities l, under the agreement, calculated in accordance
with paragraph 2, point (a);
𝐻𝑙
sec
= the volatility adjustment appropriate to a given group of securities l, or a
given type of commodities l, determined in accordance with paragraph 2, point
(c). The sign of 𝐻𝑙
sec
shall be determined as follows:
(a) it shall have a positive sign where the group of securities l is lent, sold
with an agreement to repurchase, or transacted in a manner similar to
either securities lending or a repurchase agreement;
(b) it shall have a negative sign where group of securities l is borrowed,
purchased with an agreement to resell, or transacted in a manner similar
to either a securities borrowing or reverse repurchase agreement;
N = the total number of distinct groups of the same securities and distinct
types of the same commodities under the agreement; for the purposes of this
calculation, those groups and types 𝐸𝑙
sec
for which |𝐸𝑙
sec
| is less than
1
10
max
𝑙
(|𝐸𝑙
sec
|) shall not be counted;
𝐸𝑔𝑟𝑜𝑠𝑠 = the gross exposure of the agreement, calculated as follows:
𝐸gross = ∑ |𝐸𝑙
sec
| ⋅ |𝐻𝑙
sec
|
𝑁
𝑙=1 .’;
(111) Article 221 is amended as follows:
(a) paragraphs 1, 2 and 3 are replaced by the following:
EN 125 EN
‘1. For the purposes of calculating risk-weighted exposure amounts and
expected loss amounts for securities financing transactions or other capital
market-driven transactions other than derivative transactions covered by an
eligible master netting agreement that meets the requirements set out in
Chapter 6, Section 7, an institution may calculate the fully adjusted exposure
value (E*) of the agreement using the internal models approach, provided that
the institution meets the conditions set out in paragraph 2.’;
2. An institution may use the internal models approach where all of the
following conditions are met:
(a) the institution uses that approach only for exposures for which the risk
weighted exposures amounts are calculated under the IRB Approach set
out in Chapter 3;
(b) the institution is granted the permission to use that approach by its
competent authorities’;
3. An institution that uses an internal models approach shall do so for all
counterparties and securities, with the exception of immaterial portfolios for
which it may use the Supervisory Volatility Adjustments Approach laid down
in Article 220’;
(b) paragraph 8 is deleted.
(112) Article 223 is amended as follows
(a) in paragraph 4, point (b) is replaced by the following:
‘(b) for off-balance sheet items other than derivatives treated under the IRB
Approach, institutions shall calculate their exposure values using CCFs of 100
% instead of the SA-CCFs or IRB-CCFs provided for in Article 166,
paragraphs 8, 8a and 8b.’;
(b) paragraph 6 is replaced by the following:
‘6. Institutions shall calculate volatility adjustments by using the Supervisory
Volatility Adjustments Approach referred to in Articles 224 to 227.’;
(113) In Article 224, paragraph 1, Tables 1 to 4 are replaced by the following:
‘Table 1
Table
1Cre
dit
qualit
y step
with
whic
h the
credit
asses
smen
t of
the
debt
Resi
dual
Mat
urity
(m),
expr
esse
d in
year
s
Volatility
adjustments for debt
securities issued by
entities as referred to
in Article 197(1),
point (b)
Volatility
adjustments for debt
securities issued by
entities as referred to
inArticle 197(1),
points (c) and (d)
Volatility
adjustments for
securitisation
positions and
meeting the criteria
laid down in Article
197(1), point (h)
EN 126 EN
secur
ity is
assoc
iated
20-
day
liqui
datio
n
perio
d (%)
10-
day
liqui
datio
n
perio
d (%)
5-day
liqui
datio
n
perio
d (%)
20-
day
liqui
datio
n
perio
d (%)
10-
day
liqui
datio
n
perio
d (%)
5-day
liqui
datio
n
perio
d (%)
20-
day
liqui
datio
n
perio
d (%)
10-
day
liqui
datio
n
perio
d (%)
5-day
liqui
datio
n
perio
d (%)
1 m ≤
1
0,707 0,5 0,354 1,414 1 0,707 2,828 2 1,414
1 <
m ≤
3
2,828 2 1,414 4,243 3 2,121 11,31
4
8 5,657
3 <
m ≤
5
2,828 2 1,414 5,657 4 2,828 11,31
4
8 5,657
5 <
m ≤
10
5,657 4 2,828 8,485 6 4,243 22,62
7
16 11,31
4
m >
10
5,657 4 2,828 16,97
1
12 8,485 22,62
7
16 11,31
4
2-3 m ≤
1
1,414 1 0,707 2,828 2 1,414 5,657 4 2,828
1 <
m ≤
3
4,243 3 2,121 5,657 4 2,828 16,97
1
12 8,485
3 <
m ≤
5
4,243 3 2,121 8,485 6 4,243 16,97
1
12 8,485
5 <
m ≤
10
8,485 6 4,243 16,97
1
12 8,485 33,94
1
24 16,97
1
m >
10
8,485 6 4,243 28,28
4
20 14,14
2
33,94
1
24 16,97
1
4 all 21,21
3
15 10,60
7
N/A N/A N/A N/A N/A N/A
EN 127 EN
Table 2
Credi
t
qualit
y step
with
whic
h the
credit
asses
smen
t of a
short
term
debt
secur
ity is
assoc
iated
Resi
dual
Mat
urity
(m),
expr
esse
d in
year
s
Volatility
adjustments for debt
securities issued by
entities as referred to
inArticle 197(1),
point (b) with short-
term credit
assessments
Volatility
adjustments for debt
securities issued by
entities as referred to
inArticle 197(1),
points (c) and (d)
with short-term credit
assessments
Volatility
adjustments for
securitisation
positions and
meeting the criteria
laid down in Article
197(1), point (h) with
short-term credit
assessments
20-
day
liqui
datio
n
perio
d (%)
10-
day
liqui
datio
n
perio
d (%)
5-day
liqui
datio
n
perio
d (%)
20-
day
liqui
datio
n
perio
d (%)
10-
day
liqui
datio
n
perio
d (%)
5-day
liqui
datio
n
perio
d (%)
20-
day
liqui
datio
n
perio
d (%)
10-
day
liqui
datio
n
perio
d (%)
5-day
liqui
datio
n
perio
d (%)
1 0,707 0,5 0,354 1,414 1 0,707 2,828 2 1,414
2-3 1,414 1 0,707 2,828 2 1,414 5,657 4 2,828
Table 3
Other collateral or exposure types
20-day liquidation period
(%)
10-day liquidation
period (%)
5-day
liquidation
period (%)
Main Index Equities, Main
Index Convertible Bonds
28,284 20 14,142
Other Equities or
Convertible Bonds listed on
a recognised exchange
42,426 30 21,213
Cash 0 0 0
Gold bullion 28,284 20 14,142
EN 128 EN
Table 4
Volatility adjustment for currency mismatch (Hfx)
20-day liquidation
period (%)
10-day liquidation
period (%)
5-day liquidation
period (%)
11,314 8 5,657
’;
(114) Article 225 is deleted;
(115) Article 226 is replaced by the following:
‘Article 226
Scaling up of volatility adjustment under the Financial Collateral Comprehensive
Method
The volatility adjustments set out in Article 224 are the volatility adjustments an
institution shall apply where there is daily revaluation. Where the frequency of
revaluation is less than daily, institutions shall apply larger volatility adjustments.
Institutions shall calculate them by scaling up the daily revaluation volatility
adjustments, using the following square-root-of-time formula:
𝐻 = 𝐻𝑀 ⋅ √
𝑁𝑅 + (𝑇𝑀 − 1)
𝑇𝑀
where:
H = the volatility adjustment to be applied;
𝐻𝑀 = the volatility adjustment where there is daily revaluation;
𝑁𝑅 = the actual number of business days between revaluations;
𝑇𝑀 = the liquidation period for the type of transaction in question.’;
(116) in Article 227, paragraph 1 is replaced by the following:
‘1. Institutions that use the Supervisory Volatility Adjustments Approach referred to
in Article 224, may, for repurchase transactions and securities lending or borrowing
transactions, apply a 0 % volatility adjustment instead of the volatility adjustments
calculated under Articles 224 to 226, provided that the conditions set out in
paragraph 2, points (a) to (h) are satisfied. Institutions that use the internal models
approach set out in Article 221 shall not use the treatment set out in this Article.’;
(117) Article 228 is amended as follows:
(a) the title is replaced by the following:
‘Calculating risk-weighted exposure amounts under the Financial Collateral
Comprehensive method for exposures in the Standardised Approach’;
(b) paragraph 2 is deleted;
(118) Article 229 is amended as follows:
(a) the title is replaced by the following:
EN 129 EN
‘Valuation principles for eligible collateral other than financial collateral’;
(b) paragraph 1 is replaced by the following:
‘1. The valuation of immovable property shall meet all of the following
requirements:
(a) the value shall be appraised independently from an institution’s mortgage
acquisition, loan processing and loan decision process by an independent
valuer who possesses the necessary qualifications, ability and experience
to execute a valuation;
(b) the value is appraised using prudently conservative valuation criteria
which meet all of the following requirements:
(i) the value excludes expectations on price increases;
(ii) the value is adjusted to take into account the potential for the
current market price to be significantly above the value that would
be sustainable over the life of the loan;
(c) the value is not higher than a market value for the immovable property
where such market value can be determined.
The value of the collateral shall reflect the results of the monitoring required
under Article 208(3) and take account of any prior claims on the immovable
property.’;
(119) Article 230 is replaced by the following:
‘Article 230
Calculating risk-weighted exposure amounts and expected loss amounts for an exposure
with an eligible FCP under the IRB Approach
1. Under the IRB Approach, except for those exposures that fall under the scope of
Article 220, institutions shall use the effective LGD (LGD*) as the LGD for the
purposes of Chapter 3 to recognise funded credit protection eligible pursuant to this
Chapter. Institutions shall calculate LGD* as follows:
𝐿𝐺𝐷∗
= 𝐿𝐺𝐷𝑈 ⋅
𝐸𝑈
𝐸 ⋅ (1 + 𝐻𝐸)
+ 𝐿𝐺𝐷𝑆 ⋅
𝐸𝑆
𝐸 ⋅ (1 + 𝐻𝐸)
where:
E = the exposure value before taking into account the effect of the funded credit
protection. For an exposure secured with financial collateral eligible in accordance
with this Chapter, that amount shall be calculated in accordance with Article 223(3).
In the case of securities lent or posted, that amount shall be equal to the cash lent or
securities lent or posted. For securities that are lent or posted the exposure value shall
be increased by applying the volatility adjustment (HE) in accordance with Articles
223 to 227;
ES = the current value of the funded credit protection received after the
application of the volatility adjustment applicable to that type of funded credit
protection (HC) and the application of the volatility adjustment for currency
mismatches (Hfx) between the exposure and the funded credit protection, in
accordance with paragraphs 2 and 2a. ES shall be capped at the following value:
E·(1+HE);
EN 130 EN
EU = E·(1+HE) - ES;
LGDU = the applicable LGD for an unsecured exposure as set out in Article 161(1);
LGDS = the applicable LGD to exposures secured by the type of eligible FCP used in
the transaction, as specified in paragraph 2, Table 2aaa.
2. Table 2aaa specifies the values of LGDS and Hc applicable in the formula set out in
paragraph 1.
Table 2aaa
Type of
FCP
LGDS Volatility adjustment (Hc)
financial
collateral
0 %
Volatility adjustment Hc as set out
in Articles 224 to 227.
receivables 20 % 40 %
residential
and
commercial
immovable
property
20 % 40 %
Other
physical
collateral
25 % 40 %
Ineligible
FCP
Not
applicable
100 %
2a. Where an eligible funded credit protection is denominated in a different currency
than that of the exposure, the volatility adjustment for currency mismatch (Hfx) shall
be the same as the one that applies pursuant to Articles 224 to 227.
3. As an alternative to the treatment set out in paragraphs 1 and 2, and subject to
Article 124(7), institutions may assign a 50 % risk weight to the part of the exposure
that is, within the limits set out in Article 125(1), point (a) and Article 126(1), point
(a) respectively, fully collateralised by residential property or commercial
immovable property situated within the territory of a Member State where all of the
conditions laid down in Article 199, paragraph 3 or 4 are met.
4. To calculate risk-weighted exposure amounts and expected loss amounts for IRB
exposures that fall within the scope of Article 220, institutions shall use E* in
accordance with Article 220(4) and shall use LGD for unsecured exposures, as set
out in Article 161(1), points (a), (aa) and (b).’;
(120) Article 231 is replaced by the following:
EN 131 EN
‘Article 231
Calculating risk-weighted exposure amounts and expected loss amounts in the case of
pools of eligible funded credit protections for an exposure under the IRB Approach
Institutions that have obtained multiple types of funded credit protections may, for
exposures treated under the IRB Approach, apply the formula set out in Article 230,
sequentially for each individual type of collateral. For that purpose, those institutions
shall, after each step of recognising one individual type of FCP, reduce the remaining
value of the unsecured exposure (EU) by the adjusted value of the collateral (ES)
recognised in that step. In accordance with Article 230(1), the total of ES across all
funded credit protection types shall be capped at the value of E·(1+HE), resulting in
the following formula:
𝐿𝐺𝐷∗
= 𝐿𝐺𝐷𝑈 ⋅
𝐸𝑈
𝐸 ⋅ (1 + 𝐻𝐸)
+ ∑ 𝐿𝐺𝐷𝑆,𝑖 ⋅
𝐸𝑆,𝑖
𝐸 ⋅ (1 + 𝐻𝐸)
𝑖
where:
LGDS,i = the LGD applicable to FCP i, as specified in Article 230(2);
ES,i = the current value of FCP i received after the application of the volatility
adjustment applicable for the type of FCP (Hc) pursuant to Article 230(2).’;
(121) in Article 232, paragraph 1 is replaced by the following:
‘1. Where the conditions set out in Article 212(1) are met, cash on deposit with, or
cash assimilated instruments held by, a third party institution in a non-custodial
arrangement and pledged to the lending institution, may be treated as a guarantee
provided by the third party institution.’;
(122) in Article 233, paragraph 4 is replaced by the following:
‘4. Institutions shall base the volatility adjustments for any currency mismatch on a
10 business day liquidation period, assuming daily revaluation, and shall calculate
those adjustments based on the Supervisory Volatility Adjustments as set out in
Articles 224. Institutions shall scale up the volatility adjustments in accordance with
Article 226.’;
(123) Article 235 is amended as follows:
(a) the title is amended as follows:
‘Calculating risk-weighted exposure amounts under the substitution approach
when the guaranteed exposure is under the Standardised Approach’;
(b) paragraph 1 is replaced by the following:
‘1. For the purposes of Article 113(3), institutions shall calculate the risk-
weighted exposure amounts for exposures with unfunded credit protection to
which those institutions apply the Standardised Approach, irrespective of the
treatment of comparable direct exposure to the protection provider, in
accordance with the following formula:
max{0, E - GA} · r + GA · g
where:
E = the exposure value calculated in accordance with Article 111. For
that purpose, the exposure value of an off-balance sheet item listed in Annex I
EN 132 EN
shall be 100 % of its value rather than the exposure value indicated in Article
111(1);
GA = the amount of credit risk protection as calculated under Article 233(3)
(G*) further adjusted for any maturity mismatch as laid down in Section 5;
r = the risk weight of exposures to the obligor as specified in Chapter 2;
g = the risk weight of exposures to the protection provider as specified in
Chapter 2.’
(c) paragraph 3 is replaced by the following:
‘3. Institutions may extend the preferential treatment set out in Article 114,
paragraphs 4 and 7, to exposures or parts of exposures guaranteed by the
central government or the central bank as if those exposures were direct
exposures to the central government or the central bank, provided that the
conditions in Article 114, paragraphs 4 or 7, as applicable, are met for such
direct exposures.’;
(124) the following Article 235a is inserted:
‘Article 235a
Calculating risk-weighted exposure and expected loss amounts under the substitution
approach when the guaranteed exposure is treated under the IRB Approach and
comparable direct exposures to the protection provider are treated under the
Standardised Approach
1. For exposures with unfunded credit protection to which an institution applies the
IRB Approach referred to in Chapter 3 and where comparable direct exposures to the
protection provider are treated under the Standardised Approach, institutions shall
calculate the risk-weighted exposure amounts in accordance with the following
formula:
max{0, E - GA} · r + GA · g
where:
E = the exposure value determined in accordance with Chapter 3, Section 5. For
that purpose, institutions shall calculate the exposure value for off-balance sheet
items other than derivatives treated under the IRB Approach using CCFs of 100 %
instead of the SA-CCFs or IRB-CCFs provided for in Article 166, paragraphs 8, 8a
and 8b;
GA = the amount of credit risk protection as calculated in accordance with Article
233(3) (G*) further adjusted for any maturity mismatch as laid down in Chapter 3,
Section 5;
r = the risk weight of exposures to the obligor as specified in Chapter 3;
g = the risk weight of exposures to the protection provider as specified in
Chapter 2.
2. Where the protected amount (GA) is less than the exposure (E), institutions may
apply the formula specified in paragraph 1 only where the protected and unprotected
parts of the exposure are of equal seniority.
3. Institutions may extend the preferential treatment set out in Article 114,
paragraphs 4 and 7, to exposures or parts of exposures guaranteed by the central
EN 133 EN
government or the central bank as if those exposures were direct exposures to the
central government or the central bank, provided that the conditions in Article 114,
paragraphs 4 or 7, as applicable, are met for such direct exposures.
4. The expected loss amount for the covered portion of the exposure value shall be
zero.
5. For any uncovered portion of the exposure value (E) the institution shall use the
risk weight and the expected loss corresponding to the underlying exposure. For the
calculation laid down in Article 159, institutions shall assign any general or specific
credit risk adjustments or additional value adjustments in accordance with Articles
34 related to the non-trading book business of the institution or other own funds
reductions related to the exposure, to the uncovered portion of the exposure value.’;
(125) Article 236 is amended as follows:
(a) the title is replaced by the following:
‘Calculating risk-weighted exposure amounts and expected loss amounts under the
substitution approach when the guaranteed exposure is treated under the IRB
Approach and a comparable direct exposure to the protection provider is treated under
the IRB Approach’;
(b) paragraph 1 is replaced by the following:
‘1. For an exposure with unfunded credit protection to which an institution
applies the IRB Approach referred to in Chapter 3, but without using its own
estimates of loss given default (LGD), and where comparable direct exposures
to the protection provider are treated under the IRB Approach set out in
Chapter 3, institutions shall determine the covered portion of the exposure as
the lower of the exposure value E and the adjusted value of the unfunded credit
protection GA;’
(c) the following paragraphs 1a to 1d are inserted:
‘1a. An institution that applies to comparable direct exposures to the protection
provider the IRB Approach using own estimates of PD shall calculate the risk-
weighted exposure amount and the expected loss amount for the covered
portion of the exposure value by using the PD of the protection provider and
the LGD applicable for a comparable direct exposure to the protection provider
as referred to in Article 161(1), in accordance with paragraph 1b. For
subordinated exposures and non-subordinated unfunded credit protection, the
LGD to be applied by institutions to the covered portion of the exposure value
is the LGD associated with senior claims and that may account for any
collateralisation of the underlying exposure in accordance with this Chapter.
1b. Institutions shall calculate the risk weight and expected loss applicable to
the covered portion of the underlying exposure using the PD, the LGD
specified in paragraph 1a, and the same risk weight function as the ones used
for a comparable direct exposure to the protection provider, and shall, where
applicable, use the maturity M related to the underlying exposure, calculated in
accordance with Article 162.
1c. Institutions that apply to comparable direct exposures to the protection
provider the IRB Approach using the method provided for in Article 153(5),
shall use the risk weight and expected loss applicable to the covered portion of
EN 134 EN
the exposure that correspond to the ones provided for in Articles 153(5) and
158(6).
1d. Notwithstanding paragraph 1c, institutions that apply to guaranteed
exposures the IRB Approach using the method provided for in Article 153(5)
shall calculate the risk weight and expected loss applicable to the covered
portion of the exposure using the PD, the LGD applicable for a comparable
direct exposure to the protection provider as referred to in Article 161(1), in
accordance with paragraph 1b, and the same risk weight function as the ones
used for a comparable direct exposure to the protection provider, and shall,
where applicable, use the maturity M related to the underlying exposure,
calculated in accordance with Article 162. For subordinated exposures and
non-subordinated unfunded credit protection, the LGD to be applied by
institutions to the covered portion of the exposure value is the LGD associated
with senior claims and that may account for any collateralisation of the
underlying exposure in accordance with this Chapter.’;
(d) paragraph 2 is replaced by the following:
‘2. For any uncovered portion of the exposure value (E), institutions shall use
the risk weight and the expected loss corresponding to the underlying exposure.
For the calculation laid down in Article 159, institutions shall assign any
general and specific credit risk adjustments, additional value adjustments
related to the non-trading book business of the institution as referred to in
Article 34 and other own funds reductions related to the exposure other than
the deductions made in accordance with Article 36(1), point (m), to the
uncovered portion of the exposure value.’;
(126) the following Article 236a is inserted:
‘Article 236a
Calculating risk-weighted exposure amounts and expected loss amounts under the
substitution approach when the guaranteed exposure is treated under the IRB
Approach using own estimates of loss given default (LGD) and a comparable direct
exposure to the protection provider is treated under the IRB Approach
1. For an exposure with unfunded credit protection to which an institution applies the
IRB Approach referred to in Chapter 3 using its own estimates of loss given default
(LGD) and where comparable direct exposures to the protection provider are treated
under the IRB Approach referred to in Chapter 3, institutions shall determine the
covered portion of the exposure as the lower of the exposure value E and the adjusted
value of the unfunded credit protection GA. The risk-weighted exposure amount and
the expected loss amount for the covered portion of the exposure value shall be
calculated by using the PD, the LGD and the same risk weight function as the ones
used for a comparable direct exposure to the protection provider, and shall, where
applicable, use the maturity M related to the underlying exposure, calculated in
accordance with Article 162.
2. Institution that apply the IRB Approach referred to in Chapter 3 but without using
their own estimates of loss given default (LGD) to comparable direct exposures to
the protection provider, shall determine the LGD in accordance with Article 161. For
subordinated exposures and non-subordinated unfunded credit protection, the LGD
to be applied by institutions to the covered portion of the exposure value is the LGD
EN 135 EN
associated with senior claims and that may account for any collateralisation of the
underlying exposure in accordance with this Chapter.
3. Institutions that apply the IRB Approach referred to in Chapter 3 using their own
estimates of LGD to comparable direct exposures to the protection provider, shall
calculate the risk weight and the expected loss applicable to the covered portion of
the underlying exposure using the PD, the LGD and the same risk weight function as
the ones used for such a comparable direct exposure to the protection provider, and
shall use the maturity M related to the underlying exposure, calculated, where
applicable, in accordance with Article 162.
4. Institution that apply to comparable direct exposures to the protection provider the
IRB Approach using the method provided for in Article 153(5), shall apply the risk
weight and expected loss applicable to the covered portion of the exposure that
correspond to the ones provided in Articles 153(5) and 158(6).
5. For any uncovered portion of the exposure value (E), institutions shall use the risk
weight and the expected loss corresponding to the underlying exposure. For the
calculation laid down in Article 159, institutions shall assign any general and specific
credit risk adjustments, additional value adjustments related to the non-trading book
business of the institution as referred to in Article 34 and other own funds reductions
related to the exposure other than the deductions made in accordance with Article
36(1), point (m), to the uncovered portion of the exposure value.’;
(127) in Part three, Title II, Chapter 4, Section 6 is deleted;
(128) in Article 273(3), point (b) is replaced by the following:
‘(b) in accordance with Article 183, where permission has been granted in
accordance with Article 143.’
(129) Article 273b is amended as follows:
(a) the title is replaced by the following:
‘Article 273b
Non-compliance with the conditions for using simplified methods for calculating the exposure
value of derivatives and the simplified approach for calculating the own funds requirement
for CVA risk’;
(b) in paragraph 2, the introductory wording is replaced by the following:
‘Institutions shall cease to calculate the exposure values of its derivative positions in
accordance with Section 4 or 5 and to calculate the own funds requirement for CVA
risk in accordance with Article 385, as applicable, within three months of one of the
following occurring:’;
(c) paragraph 3 is replaced by the following:
‘3. Institutions that have ceased to calculate the exposure values of its derivative
positions in accordance with Section 4 or 5 and to calculate the own funds
requirement for CVA risk in accordance with Article 385, as applicable, shall only be
permitted to resume calculating the exposure value of their derivative positions as set
out in Section 4 or 5 and the own funds requirement for CVA risk in accordance with
Article 385 where they demonstrate to the competent authority that all the conditions
set out in Article 273a, paragraphs 1 or 2, have been met for an uninterrupted period
of one year.’;
EN 136 EN
(130) Article 274 is amended as follows:
(a) paragraph 4 is replaced by the following:
‘4. Where multiple margin agreements apply to the same netting set, or the
same netting set includes both transactions subject to a margin agreement and
transactions not subject to a margin agreement, an institution shall calculate its
exposure value as follows:
(a) the institution shall establish the hypothetical sub-netting sets concerned,
composed of transactions included in the netting set, as follows:
(i) all transactions subject to a margin agreement and to the same
margin period of risk as determined in accordance with Article 285,
paragraphs 2 to 5, shall be allocated to the same sub-netting set;
(ii) all transactions not subject to a margin agreement shall be allocated
to the same sub-netting set, distinct from the sub-netting sets
established in accordance with point (i).
(b) the institution shall calculate the replacement cost of the netting set
referred to in the introductory sentence of this paragraph in accordance
with Article 275(2) by taking into account all the transactions within the
netting set, subject to a margin agreement or not, and apply all of the
following:
(i) CMV shall be calculated for all the transactions within a netting set
gross of any collateral held or posted where positive and negative
market values are netted in computing the CMV;
(ii) NICA, VM, TH, and MTA, where applicable, shall be calculated
separately as the sum across the same inputs applicable to each
individual margin agreement of the netting set.
(c) the institution shall calculate the potential future exposure of the netting
set referred to in Article 278 by applying all of the following:
(i) the multiplier referred to in Article 278(1) shall be based on the
inputs CMV, NICA and VM, as applicable, in accordance with
point (b) of this paragraph;
(ii) ∑ 𝐴𝑑𝑑𝑂𝑛(𝑎)
𝑎 shall be calculated in accordance with Article 278,
separately for each hypothetical sub-netting set referred to in point
(a)’;
(b) in paragraph 6, the following subparagraph is added:
‘By way of derogation from the first sub-paragraph, institutions shall replace a
vanilla digital option whose strike equals to K with the relevant collar
combination of two sold and bought vanilla call or put options that meet with
the following requirements:
(a) the two options of the collar combination shall have:
(i) the same expiry date and same spot or forward price of the
underlying instrument as the vanilla digital option;
(ii) strikes equal to 0.95∙K and 1.05∙K respectively;
EN 137 EN
(b) the collar combination exactly replicates the vanilla digital option payoff
outside the range between the two strikes referred to in point (a);
The risk position of the two options of the collar combination shall be
calculated separately in accordance with Article 279.’;
(131) in Part Three, Title III is replaced by the following:
‘TITLE III
OWN FUNDS REQUIREMENTS FOR OPERATIONAL
RISK
Article 311a
Definitions
For the purposes of this Title, the following definitions shall apply:
(a) ‘operational risk event’ means any event linked to an operational risk which
generates a loss or multiple losses, within one or multiple financial years;
(b) ‘aggregated gross loss’ means the sum of all gross losses linked to the same
operational risk event over one or multiple financial years;
(c) ‘aggregated net loss’ means the sum of all net losses linked to the same
operational risk event over one or multiple financial years.
CHAPTER 1
Calculation of own funds requirements for operational risk
Article 312
Own funds requirement
The own funds requirement for operational risk shall be the business indicator
component calculated in accordance with Article 313.
Article 313
Business indicator component
Institutions shall calculate their business indicator component in accordance with the
following formula:
𝐵𝐼𝐶 = {
0.12 ∙ BI, where BI ≤ 1
0.12 + 0.15 ∙ (BI − 1), where 1 < BI ≤ 30
4.47 + 0.18 ∙ (BI − 30), where BI > 30
where:
BIC = the business indicator component;
BI = the business indicator, expressed in billions of euro, calculated in
accordance with Article 314.
EN 138 EN
Article 314
Business indicator
1. Institutions shall calculate their business indicator in accordance with the
following formula:
𝐵𝐼 = 𝐼𝐿𝐷𝐶 + 𝑆𝐶 + 𝐹𝐶
where:
BI = the business indicator, expressed in billions of euro;
ILDC= the interest, leases and dividend component, expressed in billions of
euros and calculated in accordance with paragraph 2;
SC = the services component, expressed in billions of euros and calculated in
accordance with paragraph 3;
FC = the financial component, expressed in billions of euros and calculated
in accordance with paragraph 4.
2. For the purposes of paragraph 1, the interest, leases and dividend component shall
be calculated in accordance with the following formula:
𝐼𝐿𝐷𝐶 = min(𝐼𝐶, 0.0225 ∗ 𝐴𝐶) + 𝐷𝐶
where:
ILDC= the interest, leases and dividend component;
IC = the interest component, which is the institution’s interest income from
all financial assets and other interest income, including finance income from
financial and income from operating leases and profits from leased assets, minus the
institution’s interest expenses from all financial liabilities and other interest
expenses, including interest expense from financial and operating leases,
depreciation and impairment of, and losses from, operating leased assets, calculated
as the annual average of the absolute values of the difference over the previous three
financial years;
AC = the asset component, which is the sum of the institution’s total gross
outstanding loans, advances, interest bearing securities, including government bonds,
and lease assets, calculated as the annual average over the previous three financial
years on the basis of the amounts at the end of each of the respective financial years;
DC = the dividend component, which is the institution’s dividend income
from investments in stocks and funds not consolidated in the financial statements of
the institution, including dividend income from non-consolidated subsidiaries,
associates and joint ventures, calculated as the annual average over the previous three
financial years.
3. For the purposes of paragraph 1, the services component shall be calculated in
accordance with the following formula:
𝑆𝐶 = max(𝑂𝐼, 𝑂𝐸) + max(𝐹𝐼, 𝐹𝐸)
where:
SC = the services component;
EN 139 EN
OI = the other operating income, which is the annual average over the
previous three financial years of the institution’s income from ordinary banking
operations not included in other items of the business indicator but of similar nature;
OE = the other operation expenses, which is the annual average over the
previous three financial years of the institution’s expenses and losses from ordinary
banking operations not included in other items of the business indicator but of similar
nature, and from operational risk events;
FI = the fee and commission income component, which is the annual
average over the previous three financial years of the institution’s income received
from providing advice and services, including income received by the institution as
an outsourcer of financial services;
FE = the fee and commission expenses component, which is the annual
average over the previous three financial years of the institution’s expenses paid for
receiving advice and services, including outsourcing fees paid by the institution for
the supply of financial services, but excluding outsourcing fees paid for the supply of
non-financial services.
4. For the purposes of paragraph 1, the financial component shall be calculated in
accordance with the following formula:
𝐹𝐶 = 𝑇𝐶 + 𝐵𝐶
where:
FC = the financial component;
TC = the trading book component, which is the annual average of the
absolute values over the previous three financial years of the net profit or loss, as
applicable, on the institution’s trading book, including on trading assets and trading
liabilities, from hedge accounting, and from exchange differences;
BC = the banking book component, which is the annual average of the
absolute values over the previous three financial years of the net profit or loss, as
applicable, on the institution’s banking book, including on financial assets and
liabilities measured at fair value through profit and loss, from hedge accounting,
from exchange differences, and realised gains and losses on financial assets and
liabilities not measured at fair value through profit and loss.
5. Institutions shall not use any of the following elements in the calculation of their
business indicator:
(a) income and expenses from insurance or reinsurance businesses;
(b) premiums paid and payments received from insurance or reinsurance policies
purchased;
(c) administrative expenses, including staff expenses, outsourcing fees paid for the
supply of non-financial services, and other administrative expenses;
(d) recovery of administrative expenses including recovery of payments on behalf
of customers;
(e) expenses of premises and fixed assets, except where those expenses result from
operational loss events;
EN 140 EN
(f) depreciation of tangible assets and amortisation of intangible assets, except the
depreciation related to operating lease assets, which shall be included in
financial and operating lease expenses;
(g) provisions and reversal of provisions, except where those provisions relate to
operational loss events;
(h) expenses due to share capital repayable on demand;
(i) impairment and reversal of impairment;
(j) changes in goodwill recognised in profit or loss;
(k) corporate income tax.
6. EBA shall develop draft regulatory technical standards to specify the following:
(a) the components of the business indicator by developing a list of typical sub-
items, taking into account international regulatory standards;
(b) the elements listed in paragraph 5.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 18 months after entry into force of this Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.
7. EBA shall develop draft implementing technical standards to specify the items of
the business indicator by mapping those items with the reporting cells concerned set
out in Commission Implementing Regulation (EU) 2021/451*5
.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 24 months after entry into force of this Regulation].
Power is delegated to the Commission to adopt the implementing technical standards
referred to in the first subparagraph in accordance with Article 15 of Regulation (EU)
No 1093/2010.
Article 315
Adjustments to the business indicator
1. Institutions shall include business indicator items of merged or acquired entities or
activities in their business indicator calculation from the time of the merger or
acquisition, as applicable, and shall cover the previous three financial years.
2. Institutions may request permission from the competent authority to exclude
business indicator items related to disposed entities or activities from the calculation
of their business indicator.
3. EBA shall develop draft regulatory technical standards to specify the following:
(a) how institutions shall determine the adjustments to the business indicator
referred to in paragraph 1 and 2;
(b) the conditions according to which competent authorities may grant the
permission referred to in paragraph 2;
(c) the timing of the adjustments referred to in paragraph 2.
EN 141 EN
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 18 months after entry into force of this Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.
CHAPTER 2
Data collection and governance
Article 316
Calculation of the annual operational risk loss
1. Institutions with a business indicator equal to or exceeding EUR 750 million shall
calculate annual operational risk losses as the sum of all net losses over a given
financial year, calculated in accordance with Article 318(1), that are equal to or
exceed the loss data thresholds set out in Article 319, paragraphs 1 or 2, respectively.
By way of derogation from the first subparagraph, competent authorities may grant a
waiver from the requirement to calculate an annual operational risk loss to
institutions with a business indictor that does not exceed EUR 1 billion, provided that
the institution has demonstrated to the satisfaction of the competent authority that it
would be unduly burdensome for the institution to apply the first subparagraph.
2. For the purposes of paragraph 1, the relevant business indicator shall be the
highest value of the business indicator the institution has reported at the last eight
reporting reference dates. An institution that has not yet reported its business
indicator shall use its most recent business indicator.
3. EBA shall develop draft regulatory technical standards to specify the condition of
‘unduly burdensome’ for the purposes of the first paragraph.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 18 months after entry into force of this Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.
Article 317
Loss data set
1. Institutions that calculate annual operational risk losses in accordance with
Article 316(1) shall have in place arrangements, processes and mechanisms to inform
and maintain updated on an ongoing basis a loss data set compiling for each recorded
operational risk event the gross loss amounts, non-insurance recoveries, insurance
recoveries, reference date and grouped losses, including those from misconduct
events.
2. The institution’s loss data set shall capture all operational risk events stemming
from all the entities that are part of the scope of consolidations pursuant to Part One,
Title II, Chapter 2.
3. For the purpose of paragraph 1, institutions shall:
EN 142 EN
(a) include in the loss data set each operational risk event recorded during one or
multiple financial years;
(b) use a date no later than the date of accounting for including losses related to
operational risk events in the loss data set;
(c) allocate losses and related recoveries posted to the accounts over several years
to the corresponding financial years of the loss data set, in line with their
accounting treatment.
4. Institutions shall also collect:
(a) information about the reference dates of operational risk events, including:
(i) the date when the operational risk event happened or first began (‘date of
occurrence’), where available;
(ii) the date on which the institution became aware of the operational risk
event (‘date of discovery’);
(iii) the date or dates on which an operational risk event results in a loss, or
the reserve or provision against a loss, recognised in the institution’s
profit and loss accounts (‘date of accounting’);
(b) information on any recoveries of gross loss amounts as well as descriptive
information about the drivers or causes of the loss events.
The level of detail of any descriptive information shall be commensurate with the
size of the gross loss amount.
5. An institution shall not include in the loss data set operational risk events related
to credit risk that are accounted for in the risk weighted exposure amount for credit
risk. Operational risk events that relate to credit risk but are not accounted for in the
risk weighted exposure amount for credit risk shall be included in the loss data set.
6. Operational risk events related to market risk shall be treated as operational risk
and be included in the loss data set.
7. An institution shall upon request from the competent authority be able to map its
historical internal loss data to the type of events.
8. For the purposes of this Article, institutions shall ensure the soundness, robustness
and performance of the IT infrastructure necessary to maintain and update the loss
data set by confirming all of the following:
(a) that the IT systems and infrastructure of the institution for the purposes of this
Article are sound and resilient and that that soundness and resilience can be
maintained on a continuous basis;
(b) that the institution’s IT infrastructure implemented for the purpose of this
Article is subject to configuration management, change management and
release management processes;
(c) where the institution outsources parts of the maintenance of the IT
infrastructure implemented for the purpose of this Article, that the soundness,
robustness and performance of the IT infrastructure is ensured by confirming at
least the following:
EN 143 EN
(i) that the IT systems and infrastructure of the institution for the purpose of
this Article are sound and resilient and that those features can be
maintained on a continuous basis;
(ii) that the process for planning, creating, testing, and deploying the IT
infrastructure for the purpose of this Article is sound and proper with
reference to project management, risk management, and governance,
engineering, quality assurance and test planning, systems’ modelling and
development, quality assurance in all activities, including code reviews
and where appropriate, code verification, and testing, including user
acceptance;
(iii) that the institution’s IT infrastructure for the purpose of this Article is
subject to configuration management, change management and release
management processes;
(iv) that the process for planning, creating, testing, and deploying the IT
infrastructure and contingency plans for the purpose of this Article is
approved by the institution’s management body or senior management
and that the management body and senior management are periodically
informed about the IT infrastructure performance for the purposes of this
Article.
9. For the purposes of paragraph 6 of this Article, EBA is mandated to develop draft
regulatory technical standards establishing a risk taxonomy on operational risk and a
methodology to classify, based on that risk taxonomy on operational risk, the loss
events included in the loss data set.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 18 months after entry into force of this Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.
10. For the purposes of paragraph 7, EBA shall develop guidelines explaining the
technical elements necessary to ensure the soundness, robustness and performance of
governance arrangements to maintain the loss data set, with a particular focus on IT
systems and infrastructures.
Those guidelines shall be issued in accordance with Article 16 of Regulation (EU)
No 1093/2010.
Article 318
Calculation of net loss and gross loss
1. For the purposes of Article 316(1), institutions shall calculate for each operational
risk event a net loss as follows:
Net loss = gross loss – recovery
where:
gross loss = a loss linked to an operational risk event before recoveries of any type;
recovery = one or multiple independent occurrences, related to the original
operational risk event, separated in time, in which funds or inflows of economic
benefits are received from a third party.
EN 144 EN
Institutions shall maintain on an ongoing basis an updated calculation of the net loss
for each specific operational risk event. To that end, institutions shall update the net
loss calculation based on the observed or estimated variations of the gross loss and
the recovery for each of the last ten financial years. Where losses, linked to the same
operational risk event, are observed during multiple financial years within that ten-
year time window, the institution shall calculate and maintain updated:
(a) the net loss, gross loss and recovery for each of the financial years of the ten-
year time window where that net loss, gross loss and recovery were recorded;
(b) the aggregated net loss, aggregated gross loss and aggregated recovery of all
the relevant financial years of the ten-year time window.
2. For the purposes of paragraph 1, the following items shall be included in the gross
loss computation:
(a) direct charges, including impairments, settlements, amounts paid to make good
the damage, penalties, interest in arrears and legal fees to the institution’s profit
and loss accounts and write-downs due to the operational risk event, including:
(i) where the operational risk event relates to market risk, the costs to
unwind market positions in the recovered loss amount of the operational
risk items;
(ii) where payments relate to failures or inadequate processes of the
institution, penalties, interest charges, late-payment charges, and legal
fees, and, with the exclusion of the tax amount originally due, tax;
(b) costs incurred as a consequence of the operational risk event, including
external expenses with a direct link to the operational risk event and costs of
repair or replacement, incurred to restore the position that was prevailing
before the operational risk event occurred;
(c) provisions or reserves accounted for in the profit and loss accounts against the
potential operational loss impact, including those from misconduct events;
(d) losses stemming from operational risk events with a definitive financial impact
which are temporarily booked in transitory or suspense accounts and are not
yet reflected in the profit and loss accounts (‘pending losses’);
(e) negative economic impacts booked in a financial year and which are due to
operational risk events impacting the cash flows or financial statements of
previous financial years (‘timing losses’).
For the purposes of point (d), material pending losses shall be included in the loss
data set within a time period commensurate with the size and age of the pending
item.
For the purposes of point (e), the institution shall include in the loss data set material
timing losses where those losses are due to operational risk events that span more
than one financial year and give rise to legal risk. Institutions shall include in the
recorded loss amount of the operational risk item of a financial year losses that are
due to the correction of booking errors that occurred in a previous financial year,
even where those losses do not directly affect third parties. Where there are material
timing losses and the operational risk event affects directly third parties, including
customers, providers and employees of the institution, the institution shall also
include the official restatement of previously issued financial reports.
EN 145 EN
3. For the purposes of paragraph 1, the following items shall be excluded from the
gross loss computation:
(a) costs of general maintenance of contracts on property, plant or equipment;
(b) internal or external expenditures to enhance the business after the operational
risk losses, including upgrades, improvements, risk assessment initiatives and
enhancements;
(c) insurance premiums.
4. For the purposes of paragraph 1, recoveries shall be used to reduce gross losses
only where the institution has received payment. Receivables shall not be considered
as recoveries.
Upon request from the competent authority, the institution shall provide all the
documentation needed to perform verification of payments received and factored in
the calculation of the net loss of an operational risk event.
Article 319
Loss data thresholds
1. To calculate an annual operational risk loss as required by Article 316(1),
institutions shall take into account from the loss data set operational risk events with
a net loss, calculated in accordance with Article 318, that are equal to or above EUR
20 000.
2. Without prejudice to paragraph 1, and for the purposes of Article 446, institutions
shall also calculate the annual operational risk loss referred to in Article 316(1),
taking into account from the loss data set operational risk events with a net loss,
calculated in accordance with Article 318, that are equal to or above EUR 100 000.
3. In case of an operational risk event that leads to losses during more than one
financial year, as referred to in Article 318(1), second subparagraph, the net loss to
be taken into account for the thresholds referred to in paragraph 1 and 2 shall be the
aggregated net loss.
Article 320
Exclusion of losses
1. Competent authorities may permit an institution to exclude from the calculation of
the institution’s annual operational risk losses exceptional operational risk events that
are no longer relevant to the institution’s risk profile, where all of the following
conditions are fulfilled:
(a) the institution can demonstrate to the satisfaction of the competent authority
that the operational risk event at the origin of those operational risk losses will
not occur again;
(b) the operational risk loss is either of the following:
(i) equal to or above 15 % of the institution’s average annual operational
risk loss, calculated based on the threshold referred to in Article 319(1),
where the operational risk loss event refers to activities that are still part
of the business indicator;
EN 146 EN
(ii) above 0 % of the institution’s average annual operational risk loss,
calculated based on the threshold referred to in Article 319(1), where the
operational risk loss event refers to activities divested from the business
indicator in accordance with Article 315(2);
(c) the operational risk loss was in the loss database for a minimum period of 1
year, unless the operational risk loss is related to activities divested from the
business indicator in accordance with Article 315(2).
For the purposes of point (c), the minimum period of 1 year shall start from the date
on which the operational risk event, included in the loss data set, first became greater
than the materiality threshold referred to in Article 319(1).
2. An institution requesting the permission referred to in paragraph 1 shall provide
the competent authority with documented justifications for the exclusion of an
exceptional loss, including:
(a) a description of the operational risk event that is submitted for exclusion;
(b) proof that the loss from the operational risk event is above the materiality
threshold for loss exclusion referred to in paragraph 1, point (b), including the
date on which that operational risk event became greater than the materiality
threshold;
(c) the date on which the operational risk event concerned would be excluded,
considering the minimum retention period set out paragraph 1, point (c);
(d) the reason why the operational risk event is no longer deemed relevant to the
institution’s risk profile;
(e) the demonstration that there are no similar or residual legal exposures and that
the operational risk event to be excluded has no relevance to other activities or
products;
(f) reports of the institution’s independent review or validation, confirming that
the operational risk event is no longer relevant and that there are no similar or
residual legal exposures;
(g) proof that competent bodies of the institution, through the institution’s
approval processes, have approved the request for exclusion of the operational
risk event and the date of such approval;
(h) the impact of the exclusion of the operational risk event on the annual
operational risk loss.
3. EBA shall develop draft regulatory technical standards to specify the conditions
that the competent authority has to assess pursuant to paragraph 1, including how the
average annual operational risk loss should be computed and the specifications on
the information to be collected pursuant to paragraph 2 or any further information
deemed necessary to perform the assessment.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 18 months after entry into force of this Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.
EN 147 EN
Article 321
Inclusion of losses from merged or acquired entities or activities
1. Losses stemming from merged or acquired entities or activities shall be included
in the loss data set as soon as the business indicator items related to those entities or
activities are included in the institution’s business indicator calculation in accordance
with Article 315(1). To that end, institutions shall include losses observed during a
ten-year period prior to the acquisition or merger.
2. EBA shall develop draft regulatory technical standards to specify how institutions
shall determine the adjustments to their loss data set following the inclusion of losses
from merged or acquired entities or activities as referred to in paragraph 1.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 18 months after entry into force of this Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.
Article 322
Review of the comprehensiveness, accuracy and quality of the loss data
1. Institutions shall have in place the organisation and processes to review the
comprehensiveness, accuracy and quality of the loss data independently.
2. Competent authorities shall periodically review the quality of the loss data of an
institution that calculates annual operational risk losses in accordance with
Article 316(1). Competent authorities shall carry out such review at least every three
years for an institution with a business indicator above EUR 1 billion.
Article 323
Operational risk management framework
1. Institutions shall have in place:
(a) a well-documented assessment and management system for operational risk
which is closely integrated into the day-to-day risk management processes,
forms an integral part of the process of monitoring and controlling the
institution’s operational risk profile, and for which clear responsibilities have
been assigned. The assessment and management system for operational risk
shall identify the institution’s exposures to operational risk and track relevant
operational risk data, including material loss data;
(b) an operational risk management function that is independent from the
institution’s business and operational units;
(c) a system of reporting to senior management that provides operational risk
reports to relevant functions within the institution;
(d) a system of regular monitoring and reporting of operational risk exposures and
loss experience, and procedures for taking appropriate corrective actions;
(e) routines for ensuring compliance, and policies for the treatment of non-
compliance;
EN 148 EN
(f) regular reviews of the institution’s operational risk assessment and
management processes and systems, performed by internal or external auditors
that possess the knowledge necessary to carry out such reviews;
(g) internal validation processes that operate in a sound and effective manner;
(h) transparent and accessible data flows and processes associated with the
operational risk assessment system.
2. EBA shall develop draft regulatory technical standards to specify the obligations
under paragraph 1, points (a) to (h), taking into consideration institutions’ size and
complexity.
EBA shall submit those draft regulatory technical standards to the Commission by
[OP please insert the date = 18 months after entry into force of this Regulation].
Power is delegated to the Commission to adopt the regulatory technical standards
referred to in the first subparagraph in accordance with Articles 10 to 14 of
Regulation (EU) No 1093/2010.
_________________________________________________
*5
Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down
implementing technical standards for the application of Regulation (EU) No 575/2013 of the
European Parliament and of the Council with regard to supervisory reporting of institutions and
repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).’;
(132) Article 325 is amended as follows:
(a) paragraphs 1 to 5 are replaced by the following:
‘1. An institution shall calculate the own funds requirements for market risk for
all its trading book positions and all its non-trading book positions that are
subject to foreign exchange risk or commodity risk in accordance with the
following approaches:
(a) the alternative standardised approach set out in Chapter 1a;
(b) the alternative internal model approach set out in Chapter 1b for those
positions assigned to trading desks for which the institution has been
granted permission by competent authorities to use that alternative
approach as set out in Article 325az(1);
(c) the simplified standardised approach referred to in in paragraph 2 of this
Article, provided that the institution meets the conditions set out in
Article 325a(1).
By way of derogation from the first subparagraph, an institution shall not
calculate an own funds requirements for foreign exchange risk for trading book
positions and non-trading book positions that are subject to foreign exchange
risk where those positions are deducted from the institution’s own funds.
2. The own funds requirements for market risk calculated in accordance with
the simplified standardised approach shall be the sum of the following own
funds requirements, as applicable:
(a) the own funds requirements for position risk referred to in Chapter 2,
multiplied by:
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(i) 1,3, for the general and specific risks of positions in debt
instruments, excluding securitisation instruments as referred to in
Article 337;
(ii) 3,5, for the general and specific risks of positions in equity
instruments.
(b) the own funds requirements for foreign exchange risk referred to in
Chapter 3, multiplied by 1,2;
(c) the own funds requirements for commodity risk referred to in Chapter 4,
multiplied by 1,9;
(d) the own funds requirements for securitisation instruments as referred to
in Article 337.
3. An institution using the alternative internal model approach referred to in
paragraph 1, point (b), to calculate the own funds requirements for market risk
of trading book positions and non-trading book positions that are subject to
foreign exchange risk or commodity risk shall report to the competent
authorities the monthly calculation of the own funds requirements for market
risk using the alternative standardised approach referred to in paragraph 1,
point (a), for each trading desk to which those positions have been assigned to
in accordance with Article 104b.
4. An institution may use a combination of the alternative standardised
approaches referred to in paragraph 1, point (a), and the alternative internal
model approach referred to in paragraph 1, point (b), on a permanent basis
within a group. The institution shall not use either of those approaches in
combination with the simplified standardised approach referred to in paragraph
1, point (c).
5. An institution shall not use the alternative internal model approach set out in
paragraph 1, point (b), for instruments in their trading book that are
securitisation positions or positions included in the alternative correlation
trading portfolio (ACTP) set out in paragraphs 6, 7 and 8.’;
(b) paragraph 9 is replaced by the following:
‘9. EBA shall develop draft regulatory technical standards to specify how
institutions are to calculate the own funds requirements for market risk for non-
trading book positions that are subject to foreign exchange risk or commodity
risk in accordance with the approaches set out in paragraph 1, points (a) and (b)
of this Article, taking into account the requirements set out in Article 104b,
paragraphs 5 and 6, where applicable.
EBA shall submit those draft regulatory technical standards to the Commission
by [OP please insert the date = 9 months after entry into force of this
Regulation].
Power is delegated to the Commission to supplement this Regulation by
adopting the regulatory technical standards referred to in the first subparagraph
in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;
(133) Article 325a is amended as follows:
(a) the title is replaced by the following:
EN 150 EN
‘Conditions for using the Simplified Standardised Approach’;
(b) in paragraph 1, the first subparagraph is replaced by the following:
‘1. An institution may calculate the own funds requirements for market risk by
using the simplified standardised approach referred to in Article 325(1), point
(c), provided that the size of the institution's on- and off-balance-sheet business
subject to market risk is equal to or less than each of the following thresholds,
on the basis of an assessment carried out on a monthly basis using data as of
the last day of the month:’;
(c) in paragraph 2, point (b) is replaced by the following:
‘(b) all non-trading book positions that are subject to foreign exchange risk or
commodity risk shall be included, except those positions that are excluded
from the calculation of own funds requirements for foreign exchange risk in
accordance with Article 104c or that are deducted from the institution’s own
funds’;
(d) in paragraph 5, the first subparagraph is replaced by the following:
‘5. Institutions shall cease to calculate the own funds requirements for market
risk in accordance with the approach set out in Article 325(1), point (c), within
three months of either of the following cases:’;
(e) paragraph 6 is replaced by the following:
‘6. An institution that has ceased to calculate the own funds requirements for
market risk using the approach set out in Article 325(1), point (c), shall only be
permitted to start calculating the own funds requirements for market risk using
that approach where it demonstrates to the competent authority that all the
conditions set out in paragraph 1 have been met for an uninterrupted full-year
period.’;
(134) in Article 325b, the following paragraph 4 is added:
‘4. Where a competent authority has not granted an institution the permission
referred to in paragraph 2 for at least one institution or undertaking of the group, the
following requirements shall apply for the calculation of the own funds requirements
for market risk on a consolidated basis in accordance with this Title:
(a) the institution shall calculate net positions and own funds requirements in
accordance with this Title for all positions in institutions or undertakings of the
group for which the institution has been granted the permission referred to in
paragraph 2, using the treatment set out in paragraph 1;
(b) the institution shall calculate net positions and own funds requirements in
accordance with this Title individually for all the positions in each institution
or undertaking of the group for which the institution has not been granted the
permission referred to in paragraph 2;
(c) the institution shall calculate the total own funds requirements in accordance
with this Title on a consolidated basis by adding the amounts calculated in
points (a) and (b) of this paragraph.
For the purposes of the calculation referred to in points (a) and (b), institutions and
undertakings referred to in points (a) and (b) shall use the same reporting currency as
EN 151 EN
the reporting currency used to calculate the own funds requirements for market risk
in accordance with this Title on a consolidated basis for the group.’;
(135) Article 325c is amended as follows:
(a) the title is replaced by the following:
‘Scope, structure of and qualitative requirements of the alternative standardised
approach’
(b) paragraph 1 is replaced by the following:
‘1. Institutions shall have in place, and make available to the competent
authorities, a documented set of internal policies, procedures and controls for
monitoring and ensuring compliance with the requirements of this Chapter.
Any changes to these policies, procedures and controls shall be notified to the
competent authorities in due course.’;
(c) the following paragraphs 3 to 6 are added:
‘3. Institutions shall have a risk control unit that is independent from business
trading units and that reports directly to senior management. That risk control
unit shall be responsible for designing and implementing the alternative
standardised approach. It shall produce and analyse monthly reports on the
output of the alternative standardised approach, as well as the appropriateness
of the institution’s trading limits.
4. Institutions shall independently review the alternative standardised approach
they use for the purposes of this Chapter to the satisfaction of the competent
authorities, either as part of their regular internal auditing process, or by
mandating a third-party undertaking to conduct that review.
For the purposes of the first subparagraph, a third-party undertaking means an
undertaking that provides auditing or consulting services to institutions and that
has staff that has sufficient skills in the area of market risk.
5. The review of the alternative standardised approach referred to in paragraph
4 shall cover both the activities of the business trading units and of the
independent risk control unit and shall assess all of the following:
(a) the internal policies, procedures and controls for monitoring and ensuring
compliance with the requirements referred to in paragraph 1;
(b) the adequacy of the documentation of the risk management system and
processes and the organisation of the risk control unit referred to in
paragraph 2;
(c) the accuracy of sensitivity computations and of the process used to derive
these computations from the institution's pricing models that serve as a
basis for reporting profit and loss to senior management, as referred to in
Article 325t;
(d) the verification process that the institution employs to evaluate the
consistency, timeliness and reliability of the data sources used in the
calculation of the own funds requirements for market risk using the
alternative standardised approach, including the independence of those
data sources.
EN 152 EN
An institution shall conduct the review referred to in the first subparagraph at
least once a year, or on a less frequent basis upon the approval of the
competent authorities.’;
(136) Article 325j is amended as follows:
(a) paragraph 1 is replaced by the following:
‘1. An institution shall calculate the own funds requirements for market risk of
a position in a CIU using one of the following approaches:
(a) an institution that meets the condition set out in Article 104(7), point (a),
shall calculate the own funds requirements for market risk of that
position by looking through the underlying positions of the CIU, on a
monthly basis, as if those positions were directly held by the institution;
(b) an institution that meets the condition set out in Article 104(7), point (b),
shall calculate the own funds requirements for market risk of that
position by using either of the following approaches:
(i) it shall calculate the own funds requirement for market risk of the
CIU by considering the position in the CIU as a single equity
position allocated to the bucket ’Other sector‘ in Article 325ap(1),
Table 8;
(ii) it shall calculate the own funds requirement for market risk of the
CIU in accordance with the limits set in the CIU’s mandate and in
the relevant law.
For the purposes of the calculation referred to in point (i), the institution shall
consider the position in the CIU as a single unrated equity position allocated to
the bucket “Unrated” in Article 325y(1), Table 2.
For the purposes of the calculation referred to in point (ii), the institution may
calculate the own funds requirements for counterparty credit risk and own
funds requirements for credit valuation adjustment risk of derivative positions
of the CIU using the simplified approach set out in Article 132a(3).’;
(b) the following paragraph 1a is inserted:
‘1a. For the purposes of the approaches referred to in paragraph 1, point (b)(i)
and (b)(ii), the institution shall:
(a) apply the own funds requirements for the default risk set out in Section 5
and the residual risk add-on set out in Section 4 to a position in a CIU,
where the mandate of that CIU allows it to invest in exposures that shall
be subject to those own funds requirements;
(b) for all positions in the same CIU, use the same approach among the
approaches set out in paragraph 1, point (b), to calculate the own funds
requirements on a stand-alone basis as a separate portfolio.’;
(c) paragraph 4 is replaced by the following:
‘4. For the purposes of paragraph 1, point (b)(ii), an institution shall determine
the calculation of the own funds requirements for market risk by determining
the hypothetical portfolio that would attract the highest own funds
requirements in accordance with Article 325c(2), point (a), based on the CIU’s
EN 153 EN
mandate or relevant law, taking into account the leverage to the maximum
extent, where applicable.
The institution shall use the same hypothetical portfolio as the one referred to
in the first subparagraph to calculate, where applicable, the own funds
requirements for the default risk set out in Section 5 and the residual risk add-
on set out in Section 4 to a position in a CIU.
The methodology developed by the institution to determine the hypothetical
portfolios of all positions in CIUs for which the calculations referred to in the
first subparagraph are used shall be approved by its competent authority.’;
(d) the following paragraphs 6 and 7 are added:
‘6. Institutions that do not have adequate data or information to calculate the
own funds requirements for market risk of a CIU position in accordance with
the approach set out in paragraph 1, point (a), may rely on a third party to
perform such calculation, provided that all the following conditions are met:
(a) the third party is one of the following:
(i) the depository institution or the depository financial institution of
the CIU, provided that the CIU exclusively invests in securities and
deposits all securities at that depository institution or depository
financial institution;
(ii) for CIUs not covered by point (i), the CIU management company,
provided that the CIU management company meets the criteria set
out in Article 132(3), point (a);
(b) the third party provides the institution with the adequate data or
information missing to calculate the own fund requirement for market
risk of the CIU position in accordance with the approach referred to in in
paragraph 1, point (a);
(c) an external auditor of the institution has confirmed the adequacy of the
third party's data or information referred to in point (b) and the
institution’s competent authority has unrestricted access to these data and
information upon request.
7. EBA shall develop draft regulatory technical standards to specify further the
technical elements of the methodology to determine hypothetical portfolios for
the purposes of the approach set out in paragraph 4, including the manner in
which institutions shall take into account in the methodology, where
applicable, leverage to the maximum extent.
EBA shall submit those draft regulatory technical standards to the Commission
by [OP please insert the date = 12 months after the date of entry into force of
this Regulation].
Power is delegated to the Commission to supplement this Regulation by
adopting the regulatory technical standards referred to in the first subparagraph
in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;
(137) in Article 325q, paragraph 2 is replaced by the following:
‘2. The foreign exchange vega risk factors to be applied by institutions to options
with underlyings that are sensitive to foreign exchange shall be the implied
EN 154 EN
volatilities of exchange rates between currency pairs. Those implied volatilities shall
be mapped to the following maturities in accordance with the maturities of the
corresponding options subject to own funds requirements: 0,5 years, 1 year, 3 years,
5 years and 10 years.’;
(138) in Article 325s(1), the formula for 𝑠𝑘 is replaced by the following:
‘ 𝑠𝑘 =
𝑉𝑖(0,01+𝑣𝑜𝑙𝑘,𝑥,𝑦)−𝑉𝑖(𝑣𝑜𝑙𝑘,𝑥,𝑦)
0,01
∙ 𝑣𝑜𝑙𝑘 ’;
(139) Article 325t is amended as follows:
(a) in paragraph 1, the second subparagraph is replaced by the following:
‘By way of derogation from the first subparagraph, competent authorities may
require an institution that has been granted permission to use the alternative
internal model approach set out in Chapter 1b to use the pricing functions of
the risk-measurement system of their internal model approach in the
calculation of sensitivities under this Chapter for the purposes of the
calculation and reporting requirements set out in Article 325(3).’;
(b) in paragraph 5, point (a) is replaced by the following:
‘(a) those alternative definitions are used for internal risk management
purposes or for the reporting of profits and losses to senior management by an
independent risk control unit within the institution;’;
(c) in paragraph 6, point (a) is replaced by the following:
‘(a) those alternative definitions are used for internal risk management
purposes or for the reporting of profits and losses to senior management by an
independent risk control unit within the institution;’;
(140) in Article 325v, the following paragraph 3 is added:
‘3. For traded non-securitisation credit and equity derivatives, JTD amounts by
individual constituents shall be determined by applying a look-through approach.’;
(141) in Article 325y, the following paragraph 6 is added:
‘6. For the purposes of this Article, an exposure shall be assigned the credit quality
category corresponding to the credit quality category that it would be assigned under
the Standardised Approach for credit risk set out in Title II, Chapter 2.’;
(142) in Article 325ab, paragraph 2 is deleted.
(143) in Article 325ae, paragraph 3 is replaced by the following:
‘3. The risk weights of risk factors based on the currencies included in the most
liquid currency sub-category as referred to in Article 325bd(7), point (b), and the
domestic currency of the institution shall be the following:
(a) for risk-free rate risk factors, the risk weights referred to in paragraph 1, Table
3 divided by √2;
(b) for inflation risk factor and cross currency basis risk factors, the risk weights
referred to in paragraph 2 divided by √2.’;
(144) Article 325ah is amended as follows:
(a) paragraph 1 is amended as follows:
EN 155 EN
(i) in Table 4, the sector of bucket 13 is replaced by the following:
‘Financial sector entities including credit institutions incorporated or
established by a central government, a regional government or a local
authority, promotional lenders and covered bonds.’;
(ii) the following subparagraph is added:
‘For the purposes of this Article, an exposure shall be assigned the credit
quality category corresponding to the credit quality category that it would
be assigned under the Standardised Approach for credit risk set out in
Title II, Chapter 2.’;
(b) the following paragraph 3 is added:
‘3. By way of derogation from paragraph 2, institutions may assign a risk
exposure of an unrated covered bond to bucket 4 where the institution that
issued the covered bond has a credit quality step 1 to 3.’;
(145) in Article 325ai(1), the definition of the term ρkl (name) is replaced by the following:
‘ρkl (name) shall be equal to 1 where the two names of sensitivities k and l are
identical; it shall be equal to 35 % where the two names of sensitivities k and l are in
buckets 1 to 18 in Article 325ah(1), Table 4, otherwise it shall be equal to 80 %’;
(146) in Article 325aj, the definition of γbc (rating) is replaced by the following:
‘γbc (rating) shall be equal to:
(a) 1, where buckets b and c are buckets 1 to 17 and both buckets have the same
credit quality category (either ‘credit quality step 1 to 3’ or ‘credit quality step
4 to 6’); otherwise it shall be equal to 50 %; for the purposes of that
calculation, bucket 1 shall be considered as belonging to the same credit
quality category as buckets that have credit quality step 1 to 3
(b) 1, where either bucket b or c is bucket 18;
(c) 1, where bucket b or c is bucket 19 and the other bucket has credit quality step
1 to 3; otherwise it shall be equal to 50 %;
(d) 1, where bucket b or c is bucket 20 and the other bucket has credit quality step
4 to 6; otherwise it shall be equal to 50 %;’;
(147) Article 325ak is amended as follows:
in the first paragraph, (a) in Table 6, the sector of bucket 13 is replaced by the
following:
‘Financial sector entities including credit institutions incorporated or
established by a central government, a regional government or a local
authority, promotional lenders and covered bonds’;
(b) the following paragraphs are added:
‘For the purposes of this Article, an exposure shall be assigned the credit
quality category corresponding to the credit quality category that it would be
assigned under the Standardised Approach for credit risk set out in Title II,
Chapter 2.
EN 156 EN
By way of derogation from the second paragraph, institutions may assign a risk
exposure of an unrated covered bond to bucket 4 where the institution that
issues the covered bond has a credit quality step 1 to 3.’;
(148) in Article 325am(1), the following paragraph 3 is added:
‘3. For the purposes of this Article, an exposure shall be assigned the credit quality
category corresponding to the credit quality category that it would be assigned under
the Standardised Approach for credit risk set out in Title II, Chapter 2.’;
(149) in Article 325as, Table 9 is amended as follows:
(a) the bucket name of bucket 3 is replaced by the following:
‘Energy - electricity’;
(b) the following field is inserted:
3a Energy – carbon trading 40 %
’;
(150) Article 325ax is amended as follows:
(a) paragraphs 1 and 2 are replaced by the following:
‘1. Buckets for vega risk factors shall be similar to the buckets established for
delta risk factors in accordance with, this Chapter, Section 3, Subsection 1.
2. Risk weights for sensitivities to vega risk factors shall be assigned in
accordance with the risk class of the risk factors, as follows:
Table 11
Risk class
Risk
weights
GIRR 100%
CSR non-
securitisations
100%
CSR
securitisations
(ACTP)
100%
CSR
securitisations
(non-ACTP)
100%
Equity (large
cap and
indices)
77,78%
Equity (small
cap and other
sector)
100%
EN 157 EN
Commodity 100%
Foreign
exchange
100%
(b) paragraph 3 is deleted.’;
(151) Article 325az is amended as follows:
(a) paragraph 1 is replaced by the following:
‘1. The alternative internal model approach may be used by an institution to
calculate its own funds requirements for market risk provided that the
institution meets all the requirements set out in this Chapter.’;
(c) paragraph 2, first subparagraph, is amended as follows:
(i) points (c) and (d) are replaced by the following:
‘(c) the trading desks have met the back-testing requirements referred to
in Article 325bf(3);
(d) the trading desks have met the profit and loss attribution (‘P&L
attribution’) requirements referred to in Article 325bg;’;
(ii) the following point (g) is added:
‘(g) no positions in CIUs that meet the condition set out in Article
104(7), point (b), have been assigned to the trading desks.’;
(c) paragraph 3 is replaced by the following:
‘3. Institutions that have received the permission to use the alternative internal
model approach shall also meet the reporting requirement set out in Article
325(3).’;
(d) paragraph 9, first subparagraph, is amended as follows:
(i) point (b) is replaced by the following:
‘(b) to limit the calculation of the add-on to that resulting from
overshootings under the back-testing of hypothetical changes as referred
to in Article 325bf(6);’;
(ii) the following point (c) is added:
‘(c) to exclude the overshootings evidenced by the back-testing of
hypothetical or actual changes from the calculation of the add-on as
referred to in Article 325bf(6);’;
(152) in Article 325ba, the following paragraph 3 is added:
‘3. An institution using an alternative internal model shall calculate the total own
funds requirements for market risk for all trading book positions and all non-trading
book positions generating foreign exchange or commodity risks in accordance with
the following formula:
𝐴𝐼𝑀𝐴𝑡𝑜𝑡𝑎𝑙 = min( 𝐴𝐼𝑀𝐴 + 𝑃𝐿𝐴𝑎𝑑𝑑𝑜𝑛 + 𝐴𝑆𝐴𝑛𝑜𝑛−𝑎𝑖𝑚𝑎 ; 𝐴𝑆𝐴𝑎𝑙𝑙 𝑝𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜)
+ max( 𝐴𝐼𝑀𝐴 − 𝐴𝑆𝐴𝑎𝑖𝑚𝑎 ; 0)
where:
EN 158 EN
AIMA = the sum of the own funds requirements referred in to paragraphs 1
and 2;
PLAaddon = the additional own funds requirement referred in to Article
325bg(2);
ASAall portfolio = the own funds requirements for market risk as calculated under the
alternative standardised approach referred to in Article 325(1), point (a), for the
portfolio of all trading book positions and all non-trading book positions generating
foreign exchange or commodity risks;
ASAnon−aima = the own funds requirements for market risk as calculated under the
alternative standardised approach referred to in Article 325(1), point (a), for the
portfolio of trading book positions and non-trading book positions generating foreign
exchange or commodity risks for which the institution used the same approach to
calculate the own funds requirements for market risk;
AS = the own funds requirements for market risk as calculated under the
alternative standardised approach referred to in Article 325(1), point (a), for the
portfolio of trading book positions and non-trading book positions generating foreign
exchange or commodity risks for which the institution used the approach referred to
in Article 325(1), point (b) to calculate the own funds requirements for market risk;
(153) in Article 325bc, the following paragraph 6 is added:
‘6. EBA shall develop draft regulatory technical standards to specify the criteria for
the use of data inputs in the risk-measurement model referred to in this Article,
including criteria on data accuracy and criteria on the calibration of the data inputs
where market data is insufficient.
EBA shall submit those draft regulatory technical standards to the Commission by [9
months after the entry in force of this Regulation].
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the first subparagraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.’
(154) Article 325be is amended as follows:
(a) in paragraph 1, the following subparagraph is added:
‘For the purposes of the assessment referred to in paragraph 1, competent
authorities may allow institutions to use market data provided by third-party
vendors.’;
(b) the following paragraph 1a is inserted:
‘1a. Competent authorities may require an institution to consider not
modellable a risk factor that has been assessed as modellable by the institution
in accordance with paragraph 1, where the data inputs used to determine the
scenarios of future shocks applied to the risk factor do not meet, to the
satisfaction of the competent authorities, the requirements referred to in Article
325bc(6).’;
(c) the following paragraph 2a is inserted:
‘2a. In extraordinary circumstances, occurring during periods of significant
reduction in certain trading activities across financial markets, competent
authorities may allow all institutions using the approach set out in this Chapter
EN 159 EN
to consider as modellable some risk factors that have been assessed as not
modellable by these institutions in accordance with paragraph 1, provided that
the following conditions are fulfilled:
(a) the risk factors subject to the treatment correspond to the trading
activities which are significantly reduced across financial markets;
(b) the treatment is applied temporarily, and not for more than six months
within one financial year;
(c) the treatment referred to in the first subparagraph does not significantly
reduce the total own funds requirements for market risk of the institutions
applying it;
(d) competent authorities immediately notify EBA of any decision to allow
institutions to apply the approach set out in this Chapter to consider as
modellable some risk factors that have been assessed as non-modellable,
as well as of the trading activities concerned, and substantiate that
decision.’;
(d) paragraph 3 is replaced by the following:
‘3. EBA shall develop draft regulatory technical standards to specify the
criteria to assess the modellability of risk factors in accordance with paragraph
1, including where market data referred to in paragraph 2b are used, and the
frequency of that assessment.
EBA shall submit those draft regulatory technical standards to the Commission
by [OP please insert date = 9 months after the date of entry into force of this
Regulation].
Power is delegated to the Commission to supplement this Regulation by
adopting the regulatory technical standards referred to in the first subparagraph
in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;
(155) Article 325bf is amended as follows:
(a) paragraph 6 is amended as follows:
(i) in the first subparagraph, the introductory sentence is replaced by the
following:
‘The multiplication factor (mc) shall be equal to at least the sum of 1,5
and an add-on determined in accordance with Table 3. For the portfolio
referred to in paragraph 5, the add-on shall be calculated on the basis of
the number of overshootings that occurred over the most recent 250
business days as evidenced by the institution's back-testing of the value-
at-risk number calculated in accordance with point (a) of this
subparagraph. The calculation of the add-on shall be subject to the
following requirements:’;
(ii) the last subparagraph is replaced by the following:
‘In extraordinary circumstances, competent authorities may permit an
institution to:
(a) limit the calculation of the add-on to that resulting from
overshootings under the back-testing of hypothetical changes
where the number of overshootings under the back-testing of actual
EN 160 EN
changes does not result from deficiencies in the institution’s
alternative internal model;
(b) exclude the overshootings evidenced by the back-testing of
hypothetical or actual changes from the calculation of the add-on
where those overshootings do not result from deficiencies in the
institution’s alternative internal model.’;
(iii) the following subparagraph is added:
‘For the purposes of the first subparagraph, competent authorities may
increase the value of mc above the sum referred to in that subparagraph,
where an institution’s alternative internal model shows deficiencies to
appropriately measure the own funds requirements for market risk.’;
(b) paragraph 8 is replaced by the following:
‘8. By way of derogation from paragraphs 2 and 6 of this Article, competent
authorities may permit an institution not to count an overshooting where a one-
day change in the value of its portfolio that exceeds the related value-at-risk
number calculated by that institution's internal model is attributable to a non-
modellable risk factor.’
(c) the following paragraph 10 is added:
’10. EBA shall develop draft regulatory technical standards to specify the
conditions and the criteria according to which an institution may be allowed
not to count an overshooting where the one-day change in the value of its
portfolio that exceeds the related value-at-risk number calculated by that
institution's internal model is attributable to a non-modellable risk factor.
EBA shall submit those draft regulatory technical standards to the Commission
by [OP please insert date = 18 months after the date of entry into force of this
Regulation].
Power is delegated to the Commission to supplement this Regulation by
adopting the regulatory technical standards referred to in the first subparagraph
in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.
(156) Article 325bg is amended as follows:
(a) paragraphs 1 to 3 are replaced by the following:
‘1. An institution's trading desk meets the P&L attribution requirements where
the theoretical changes in the value of that trading desk's portfolio, based on the
institution's risk-measurement model, are either close or sufficiently close to
the hypothetical changes in the value of that trading desk's portfolio, based on
the institution's pricing model.
2. Notwithstanding paragraph 1, where the theoretical changes in the value of a
trading desk's portfolio, based on the institution's risk-measurement model are
sufficiently close to the hypothetical changes in the value of that trading desk's
portfolio, based on the institution's pricing model, the institution shall
calculate, for all the positions assigned to that trading desk, an additional own
funds requirement to the own funds requirements referred to in Article 325ba,
paragraphs 1 and 2.
EN 161 EN
3. For each position of a given trading desk, an institution's compliance with
the P&L attribution requirement as referred in to paragraph 1 shall lead to the
identification of a precise list of risk factors that are deemed appropriate for
verifying the institution's compliance with the back-testing requirement set out
in Article 325bf.’;
(b) paragraph 4 is amended as follows:
(i) points (a) and (b) are replaced by the following:
‘(a) the criteria specifying whether the theoretical changes in the value of
a trading desk's portfolio are either close or sufficiently close to the
hypothetical changes in the value of a trading desk's portfolio for the
purposes of paragraph 1, taking into account international regulatory
developments;
(b) the additional own funds requirement referred to in paragraph 2;’;
(ii) point (e) is deleted;
(iii) the last two subparagraphs are replaced by the following:
EBA shall submit those draft regulatory technical standards to the
Commission by [9 months after the entry in force of this Regulation].
Power is delegated to the Commission to supplement this Regulation by
adopting the regulatory technical standards referred to in the first
subparagraph in accordance with Articles 10 to 14 of Regulation (EU)
No 1093/2010.’;
(157) Article 325bh is amended as follows:
(a) in paragraph 1, the following point (i) is added:
‘(i) for positions in CIUs, institutions shall look through the underlying
positions of the CIUs at least on a weekly basis to calculate their own funds
requirements in accordance with this Chapter; institutions that do not have
adequate data inputs or information to calculate the own fund requirement for
market risk of a CIU position in accordance with the look-through approach
may rely on a third party to obtain those data inputs or information, provided
that all the following conditions are met:
(i) the third party is one of the following:
– the depository institution or the depository financial institution of
the CIU, provided that the CIU exclusively invests in securities and
deposits all the securities at that depository institution or depository
financial institution;
– for CIUs not covered by the first indent of this point(i), the CIU
management company, provided that the CIU management
company meets the criteria set out in Article 132(3), point (a).
(ii) the third party provides the institution with the adequate data inputs or
information to calculate the own funds requirement for market risk of the
CIU position in accordance with the approach referred to in the first
subparagraph;
(iii) an external auditor of the institution has confirmed the adequacy of
the third party's data or information referred to in point (ii) and the
EN 162 EN
institution’s competent authority has unrestricted access to these
data and information upon request.’;
(b) paragraph 2 is replaced by the following:
‘2. An institution may use empirical correlations within broad categories of risk
factors and, for the purpose of calculating the unconstrained expected shortfall
measure UESt as referred to in Article 325bb(1) across broad categories of risk
factors only where the institution's approach for measuring those correlations is
sound, consistent with either the applicable liquidity horizons or, upon the
satisfaction of the institution’s competent authority, with the base time horizon
of 10 days set out in Article 325bc(1) and implemented with integrity.’;
(c) paragraph 3 is deleted;
(158) in Article 325bi(1), point (b) is amended as follows:
‘(b) an institution shall have a risk control unit that is independent from business
trading units and that reports directly to senior management. That unit shall:
(i) be responsible for designing and implementing any internal risk-measurement
model used in the alternative internal model approach for the purposes of this
Chapter;
(ii) be responsible for the overall risk management system;
(iii) produce and analyse daily reports on the output of any internal model used to
calculate capital requirements for market risks, and on the appropriateness of
measures to be taken in terms of trading limits.
A separate validation unit from the risk control unit shall conduct the initial and
ongoing validation of any internal risk-measurement model used in the alternative
internal model approach for the purposes of this Chapter.’;
(159) Article 325bp is amended as follows:
(a) paragraph 5 is amended as follows:
(i) points (d) and (e) are replaced by the following:
‘(d) an institution that has been granted permission to estimate default
probabilities in accordance with Title II, Chapter 3, Section 1 for the
exposure class and the rating system corresponding to a given issuer shall
use the methodology set out therein to calculate the default probabilities
of that issuer, provided that data for such estimation are available;
(e) an institution that has not been granted permission to estimate default
probabilities referred to in point (d) shall develop an internal
methodology or use external sources to estimate these default
probabilities consistently with the requirements applying to estimates of
default probability under this Article.’;
(ii) the following subparagraph is added:
‘For the purposes of point (d), the data to perform the estimation of the
default probabilities of a given issuer of a trading book position are
available where, at the calculation date, the institution has a non-trading
book position on the same obligor for which it estimates default
probabilities in accordance with Title II, Chapter 3, Section 1 to calculate
its own funds requirements set out in that Chapter.’;
EN 163 EN
(b) paragraph 6 is amended as follows:
(i) points (c) and (d) are replaced by the following:
‘(c) an institution that has been granted permission to estimate loss given
default in accordance with Title II, Chapter 3, Section 1 for the exposure
class and the rating system corresponding to a given exposure shall use
the methodology set out therein to calculate loss given default estimates
of that issuer, provided that data for such estimation are available;
(d) an institution that has not been granted permission to estimate loss
given default referred to in point (c) shall develop an internal
methodology or use external sources to estimate loss given default
consistently with the requirements applying to estimates of loss given
default under this Article.’;
(ii) the following subparagraph is added:
‘For the purposes of point (c), the data to perform the estimation of the
loss given default a given issuer of a trading book position are available
where, at the calculation date, the institution has a non-trading book
position on the same exposure for which it estimates loss given default in
accordance with Title II, Chapter 3, Section 1 to calculate its own funds
requirements set out in that Chapter.’;
(160) in Article 337, paragraph 2 is replaced by the following:
‘2. When determining risk weights for the purposes of paragraph 1, institutions shall
use exclusively the approach set out in Title II, Chapter 5, Section 3.’;
(161) in Article 338, paragraphs 1 and 2 are replaced by the following:
‘1. For the purposes of this Article, an institution shall determine its correlation
trading portfolio in accordance with the provisions set out in Article 325, paragraphs
6, 7 and 8.
2. An institution shall determine the larger of the following amounts as the specific
risk own funds requirement for the correlation trading portfolio:
(a) the total specific risk own funds requirement that would apply just to the net
long positions of the correlation trading portfolio;
(b) the total specific risk own funds requirement that would apply just to the net
short positions of the correlation trading portfolio.’;
(162) in Article 352, paragraph 2 is deleted;
(163) in Article 361, point (c) and the last paragraph are deleted;
(164) in Part Three, Title IV, Chapter 5 is deleted;
(165) in Article 381 , the following paragraph is added:
‘For the purposes of this Title, ‘CVA risk’ means the risk of losses arising from
changes in the value of CVA, calculated for the portfolio of transactions with a
counterparty as set out in the first paragraph, due to movements in a counterparty’s
credit spreads risk factors and in other risk factors embedded in the portfolio of
transactions.’;
(166) Article 382 is amended as follows:
EN 164 EN
(a) paragraph 2 is replaced by the following:
‘2. An institution shall include in the calculation of own funds required by
paragraph 1 securities financing transactions that are fair-valued under the
accounting framework applicable to the institution where the institution's CVA
risk exposures arising from those transactions are material.’;
(b) the following paragraphs 4a and 4b are inserted:
‘4a. By way of derogation from paragraph 4, an institution may choose to
calculate an own funds requirements for CVA risk, using any of the applicable
approaches referred to in Article 382a, for those transactions that are excluded
in accordance with paragraph 4, where the institution uses eligible hedges
determined in accordance with Article 386 to mitigate the CVA risk of those
transactions. Institutions shall establish policies to specify where they choose
to satisfy their own funds requirements for CVA risk for such transactions.
4b. Institutions shall report to their competent authorities the results of the
calculations of the own funds requirements for CVA risk for all the
transactions referred to in paragraph 4. For the purposes of that reporting
requirement, institutions shall calculate the own funds requirements for CVA
risk using the relevant approaches set out in Article 382a(1), that they would
have used to satisfy an own funds requirement for CVA risk if those
transactions were not excluded from the scope in accordance with paragraph
4.’
(c) the following paragraph 6 is added:
‘6. EBA shall develop draft regulatory technical standards to specify the
conditions and the criteria that the competent authorities shall use to assess
whether the CVA risk exposures arising from fair-valued securities financing
transactions are material, as well as the frequency of that assessment.
EBA shall submit those draft regulatory technical standards to the Commission
by [OP please insert the date = 2 years after the entry into force of this
Regulation].
Power is delegated to the Commission to adopt the regulatory technical
standards referred to in the second subparagraph in accordance with Articles 10
to 14 of Regulation (EU) No 1093/ 2010.’;
(167) the following Article 382a is inserted:
‘Article 382a
Approaches for calculating the own funds requirements for CVA risk
1. An institution shall calculate the own funds requirements for CVA risk for all the
transactions referred to in Article 382 in accordance with the following approaches:
(a) the standardised approach set out in Article 383, where the institution has been
granted permission to use that approach by the competent authorities;
(b) the basic approach set out in Article 384;
(c) the simplified approach set out in Article 385, provided that the institution
meets the conditions set out in paragraph 1 of that Article.
EN 165 EN
2. An institution shall not use the approach referred to in paragraph 1, point (c), in
combination with the approaches referred to in paragraph 1, points (a) or (b).
3. An institution may use a combination of the approaches referred to in paragraph 1,
points (a) and (b), to calculate the own funds requirements for CVA risk on a
permanent basis in the following situations:
(a) for different counterparties;
(b) for different eligible netting sets with the same counterparty;
(c) for different transactions of the same eligible netting set, provided that the
following conditions are met:
(i) the institution shall split the netting set into two hypothetical netting sets,
and allocate all the transactions subject to the approach referred to in
paragraph 1, point (a), to the same hypothetical netting set and all the
transactions subject to the approach referred to in paragraph 1, point (b)
to the other hypothetical netting set to calculate to the own funds
requirements for CVA risk;
(ii) the split referred to in point (a) shall be consistent with the manner in
which the institution determines the legal netting of the CVA calculated
for accounting purposes;
(iii) the permission granted by competent authorities to use the approach
referred to in paragraph 1, point (a), shall be limited to the hypothetical
netting set for which the institution uses the approach referred to in
paragraph 1, point (a), to calculate to the own funds requirements for
CVA risk.
Institutions shall establish policies to explain how they use a combination of the
approaches referred to in paragraph 1, points (a) and (b), and as set out in this
paragraph, to calculate the own funds requirements for CVA risk on a permanent
basis.’;
(168) Article 383 is replaced by the following:
‘Article 383
Standardised approach
1. Competent authorities shall grant an institution permission to calculate its own
funds requirements for CVA risk for a portfolio of transactions with one or more
counterparties by using the standardised approach in accordance with paragraph 3,
after having assessed whether the institution complies with the following
requirements:
(a) the institution has established a distinct unit which is responsible for the
institution’s overall risk management and hedging of CVA risk;
(b) for each counterparty concerned, the institution has developed a regulatory
CVA model to calculate the CVA of that counterparty in accordance with
Article 383a;
(c) for each counterparty concerned, the institution is able to calculate, at least on a
monthly basis, the sensitivities of its CVA to the risk factors concerned as
determined in accordance with Article 383b;
EN 166 EN
(d) for all positions in eligible hedges recognised in accordance with Article 386
for the purposes of calculating the institution’s own funds requirements for
CVA risk using the standardised approach, the institution is able to calculate,
and at least on a monthly basis, thee sensitivities of those positions to the
relevant risk factors determined in accordance with Article 383b.
For the purposes of point (c), the sensitivity of a counterparty’s CVA to a risk factor
means the relative change in the value of that CVA, as a result of a change in the
value of one of the relevant risk factors of that CVA, calculated using the institution's
regulatory CVA model in accordance with Articles 383i to 383j.
For the purposes of point (d), the sensitivity of a positions in an eligible hedge to a
risk factor means the relative change in the value of that position, as a result of a
change in the value of one of the relevant risk factors of that position, calculated
using the institution's pricing model in accordance with Articles 383i to 383j.
2. For the purposes of calculating the own funds requirements for CVA risk, the
following definitions shall apply:
(a) ‘risk class’ means any of the following categories:
(i) interest rate risk;
(ii) counterparty credit spread risk;
(iii) reference credit spread risk;
(iv) equity risk;
(v) commodity risk;
(vi) foreign exchange risk;
(b) ‘CVA portfolio’ means the portfolio composed of the aggregate CVA and all
the eligible hedges referred to in paragraph 1, point (d);
(c) ‘aggregate CVA’ means the sum of the CVAs calculated using the regulatory
CVA model for all counterparties referred to in paragraph 1, first
subparagraph.
3. Institutions shall determine the own funds requirements for CVA risk using the
standardised approach as the sum of the following two own funds requirements
calculated in accordance with Article 383b:
(a) the own funds requirements for delta risk which capture the risk of changes in
the institution’s CVA portfolio due to movements in the relevant non-volatility
related risk factors;
(b) the own funds requirements for vega risk which capture the risk of changes in
the institution’s CVA portfolio due to movements in the relevant volatility
related risk factors.’;
(169) the following Articles 383a to 383w are inserted:
‘Article 383a
Regulatory CVA model
1. A regulatory CVA model used for the calculation of the own funds requirements
for CVA risk in accordance with Article 384 shall be conceptually sound, shall be
implemented with integrity, and shall comply with all of the following requirements:
EN 167 EN
(a) the regulatory CVA model shall be capable of modelling the CVA of a given
counterparty, recognising netting and margin agreement at netting set level,
where relevant, in accordance with this Article;
(b) the institution estimates the counterparty’s probabilities of default referred to in
point (a) from the counterparty’s credit spreads and market-convention loss-
given-default for that counterparty.
(c) the expected loss-given-default referred to in point (a) shall be the same as the
market-convention loss-given-default referred to in point (b), unless the
institution can justify that the seniority of the portfolio of transactions with that
counterparty differs from the seniority of senior unsecured bonds issued by that
counterparty;
(d) at each future time point, the simulated discounted future exposure of the
portfolio of transactions with a counterparty is calculated with an exposure
model by repricing all the transactions in that portfolio, based on the simulated
joint changes of the market risk factors that are material to those transactions
using an appropriate number of scenarios, and discounting the prices to the
date of calculation using risk-free interest rates;
(d) the regulatory CVA model is capable of modelling significant dependency
between the simulated discounted future exposure of the portfolio of
transactions with the counterparty's credit spreads;
(e) where the transactions of the portfolio are included in a netting set subject to a
margin agreement and daily mark-to-market valuation, the collateral posted
and received as part of that agreement is recognised as a risk mitigant in the
simulated discounted future exposure, where all of the following conditions are
met:
(i) the institution determines the relevant margin period of risk relevant for
that netting set in accordance with the requirements set out in Article
285, paragraphs 2 and 5, and reflects that margin period in the calculation
of the simulated discounted future exposure;
(ii) all the applicable features of the margin agreement, including the
frequency of margin calls, the type of contractually eligible collateral, the
threshold amounts, the minimum transfer amounts, the independent
amounts and the initial margins for both the institution and the
counterparty are appropriately reflected in the calculation of the
simulated discounted future exposure;
(iii) the institution has established a collateral management unit that complies
with the Article 287 for all the collateral recognised for the calculation of
the own funds requirements for CVA risk using the standardised
approach.
For the purposes of point (a), CVA shall have a positive sign and shall be
calculated as a function of the counterparty’s expected loss-given-default, an
appropriate set of the counterparty’s probabilities of default at future time
points and an appropriate set of simulated discounted future exposures of the
portfolio of transactions with that counterparty at future time points until the
maturity of the longest transaction in that portfolio.
EN 168 EN
For the purposes of point (b), where the credit default swap spreads of the
counterparty are observable in the market, an institution shall use those
spreads. Where such credit default swap spreads are not available, an
institution shall use one of the following approaches:
(i) credit spreads from other instruments issued by the counterparty
reflecting current market conditions;
(ii) proxy spreads that are appropriate considering to the rating, industry and
region of the counterparty.
For the purposes of the justification referred to point (d), collateral received
from the counterparty shall not change the seniority of the exposure.
For the purposes of point (f)(iii), where the institution has already established
such unit for using the internal model method referred to in Article 283, the
institution shall not be required to establish an additional collateral
management unit where that institution demonstrates to its competent
authorities that such unit complies with the requirements set out in Article 287
for all the collateral recognised for calculating the own funds requirements for
CVA risks using the standardised approach.
2. An institution using a regulatory CVA model shall comply with all the following
qualitative requirements:
(a) the exposure model referred to in paragraph 1, point (d), is part of the
institution’s internal CVA risk management system that includes the
identification, measurement, management, approval and internal reporting of
CVA and CVA risk for accounting purposes;
(b) the institution shall have a process in place for ensuring compliance with a
documented set of internal policies, controls, assessment of model performance
and procedures concerning the exposure model referred to in paragraph 1, point
(d);
(c) the institution shall have an independent control unit that is responsible for the
effective initial and ongoing validation of the exposure model referred to in
paragraph 1, point (d). This unit shall be independent from business credit and
from trading units, including the unit referred to in Article 383(1), point (a),
and shall report directly to senior management; it shall have a sufficient
number of staff with a level of skills that is appropriate to fulfil this purpose;
(d) the institution’s senior management shall be actively involved in the risk
control process and shall regard CVA risk control as an essential aspect of the
business, to which appropriate resources need to be devoted;
(e) the institution shall document the process for initial and ongoing validation of
its exposure model referred to in paragraph 1, point (d), to a level of detail that
would enable a third party to understand how the models operate, their
limitations, and their key assumptions, and recreate the analysis. This
documentation shall set out the minimum frequency with which ongoing
validation will be conducted, as well as other circumstances (such as a sudden
change in market behaviour) under which additional validation shall be
conducted; it shall describe how the validation is conducted with respect to
data flows and portfolios, what analyses are used and how representative
counterparty portfolios are constructed;
EN 169 EN
(f) the pricing models used in the exposure model referred to in paragraph 1, point
(a), for a given scenario of simulated market risk factors shall be tested against
appropriate independent benchmarks for a wide range of market states as part
of the initial and ongoing model validation process. Pricing models for options
shall account for the non-linearity of option value with respect to market risk
factors;
(g) an independent review of the institution’s internal CVA risk management
system referred to in point (a) of this paragraph shall be carried out by the
institution’s internal auditing process on a regular basis. This review should
include both the activities of the unit referred to in Article 383(1), point (a),
and of the independent risk control unit referred to in point (c) of this
paragraph;
(h) the model used by the institution for calculating the simulated discounted
future exposure referred to in paragraph 1, point (a), shall reflect transaction
terms and specifications and margin arrangements in a timely, complete, and
conservative fashion. The terms and specifications shall reside in a secure
database subject to formal and periodic audit. The transmission of transaction
terms and specifications data and margin arrangements to the exposure model
shall also be subject to internal audit, and formal reconciliation processes shall
be in place between the internal model and source data systems to verify on an
ongoing basis that transaction terms, specifications and margin arrangements
are being reflected in the exposure system correctly or, at least, conservatively;
(i) the current and historical market data inputs used in the model used by the
institution for calculating the simulated discounted future exposure referred to
in paragraph 1, point (a), shall be acquired independently of the lines of
business. They shall be fed into the model used by the institution for
calculating the simulated discounted future exposure referred to in paragraph 1,
point (a), in a timely and complete fashion, and maintained in a secure database
subject to formal and periodic audit. An institution shall have a well-developed
data integrity process to handle inappropriate data observations. In the case
where the model relies on proxy market data, an institution shall design
internal policies to identify suitable proxies and shall demonstrate empirically
on an ongoing basis that the proxies provide a conservative representation of
the underlying risk;
(j) the exposure model shall capture the transaction specific and contractual
information necessary to be able to aggregate exposures at the level of the
netting set. An institution shall verify that transactions are assigned to the
appropriate netting set within the model.
For the purposes of the calculation of the own funds requirement for CVA risks
referred to in point (a), the exposure model may have different specifications and
assumptions in order to meet all the requirements set out in Article 383a, except that
its market input data and netting recognition shall remain the same as the ones used
for accounting purposes.
3. EBA shall develop draft regulatory technical standards to specify how proxy
spreads referred to in paragraph 1, point (b)(ii), are to be determined by the
institution for the purposes of calculating default probabilities.
4. EBA shall develop draft regulatory technical standards to specify:
EN 170 EN
(a) further technical elements that institution shall take into account when
calculating the counterparty’s expected loss-given-default, the counterparty’s
probabilities of default and the simulated discounted future exposure of the
portfolio of transactions with that counterparty and CVA, as referred to in
paragraph 1, point (a);
(b) which other instruments referred to in paragraph 1, point (b)(i), are appropriate
to estimate the counterparty’s probabilities of default and how institutions shall
perform this estimation.
EBA shall submit those draft regulatory technical standards referred to in paragraphs
3 and 4 to the Commission by [OP please insert date = 24 months after the date of
entry into force of that Regulation].
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the first subparagraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.
4. EBA shall develop draft regulatory technical standards to specify:
(a) the conditions for assessing the materiality of extensions and changes to the use
of the standardised approach as referred to in Article 383(3);
(b) the assessment methodology under which competent authorities shall verify an
institution's compliance with the requirements set out in Articles 383 and 383a.
EBA shall submit those draft regulatory technical standards to the Commission 36
months [after the entry into force of that Regulation].
Power is delegated to the Commission to supplement this Regulation by adopting the
regulatory technical standards referred to in the first subparagraph in accordance with
Articles 10 to 14 of Regulation (EU) No 1093/2010.
Article 383b
Own funds requirements for delta and vega risks
1. Institutions shall apply the delta and vega risk factors described in Articles 383c to
383h, and the process set out in paragraphs 2 to 8, to calculate the own funds
requirements for delta and vega risks.
2. For each risk class referred to in Article 383(2), the sensitivity of the aggregate
CVAs and the sensitivity of all the positions in eligible hedges falling within the
scope of the own funds requirements for delta or vega risks to each of the applicable
delta or vega risk factors included in that risk class shall be calculated by using the
corresponding formulas laid down in Articles 383i and 383j. Where the value of an
instrument depends on several risk factors, the sensitivity shall be determined
separately for each risk factor.
For the calculation of the vega risk sensitivities of the aggregate CVAs, sensitivities
both to volatilities used in the exposure model to simulate risk factors and to
volatilities used to reprice option transactions in the portfolio with the counterparty
shall be included.
By way of derogation from paragraph 1, subject to the permission of the competent
authorities, an institution may use alternative definitions of delta and vega risk
sensitivities in the calculation of the own funds requirements of a trading book
EN 171 EN
position under this Chapter, provided that the institution meets all the following
conditions:
(a) those alternative definitions are used for internal risk management purposes
and for the reporting of profits and losses to senior management by an
independent risk control unit within the institution;
(b) the institution demonstrates that those alternative definitions are more
appropriate for capturing the sensitivities of the position than the formulas set
out in Articles 383i and 383j, and that the resulting sensitivities do not
materially differ from those formulas.
3. Where an eligible hedge is an index instrument, institutions shall calculate the
sensitivities of that eligible hedge to all the relevant risk factors by applying the shift
of one of the relevant risk factor to each of the index constituents.
4. An institution may introduce additional risk classes to the ones referred to in
Article 383(2) that correspond to qualified index instruments. For the purposes of
delta risks, an index instrument shall be considered to be qualified where it meets the
conditions set out in Article 325i(3). For vega risks, all index instruments shall be
considered qualified.
An institution shall calculate delta and vega sensitivities to a qualified index risk
factor as a single sensitivity to the underlying qualified index. Where 75% of the
constituents of a qualified index are mapped to the same sector as set out in Articles
383o, 383r and 383t, the institution shall map the qualified index to that same sector.
Otherwise, the institution shall map the sensitivity to the applicable qualified index
bucket.
5. The weighted sensitivities of the aggregate CVA and of the market value of all
eligible hedges to each risk factor shall be calculated by multiplying the respective
net sensitivities by the corresponding risk weight, in accordance with the following
formulae:
𝑊𝑆𝑘
𝐶𝑉𝐴
= 𝑅𝑊𝑘 ∙ 𝑆𝑘
𝐶𝑉𝐴
𝑊𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
= 𝑅𝑊𝑘 ∙ 𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
where:
𝑘 = the index that denotes the risk factor k;
𝑅𝑊𝑘 = the risk weight applicable to the risk factor k;
𝑊𝑆𝑘
𝐶𝑉𝐴
= the weighted sensitivity of the aggregate CVA to risk factor k;
𝑆𝑘
𝐶𝑉𝐴
= the net sensitivity of the aggregate CVA to risk factor k;
𝑊𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
= the weighted sensitivity of the market value of all the eligible hedges
in the CVA portfolio to risk factor k;
𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
= the net sensitivity of the market value of all the eligible hedges in the
CVA portfolio to risk factor k.
6. Institutions shall calculated the net weighted sensitivity 𝑊𝑆𝑘 of the CVA portfolio
to risk factor k in accordance with the following formula:
𝑊𝑆𝑘 = 𝑊𝑆𝑘
𝐶𝑉𝐴
− 𝑊𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
EN 172 EN
7. The net weighted sensitivities within the same bucket shall be aggregated in
accordance with the following formula, using the corresponding correlations 𝜌𝑘𝑙 for
weighted sensitivities within the same bucket set out in Articles 383l, 383s and 383p
giving rise to the bucket-specific sensitivity 𝐾𝑏:
𝐾𝑏 = √∑ 𝑊𝑆𝑘
2
+ ∑ ∑ 𝜌𝑘𝑙𝑊𝑆𝑘𝑊𝑆𝑙 + 𝑅 ∙ ∑ ((𝑊𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
)
2
)
𝑘𝜖𝑏
𝑙𝜖𝑏,𝑘≠𝑙
𝑘𝜖𝑏
𝑘
where:
𝐾𝑏 = the bucket-specific sensitivity of bucket b;
𝜌𝑘𝑙 = the corresponding intra-bucket correlation parameters;
𝑅 = the hedging disallowance parameter equal to 0.01;
𝑊𝑆𝑘 = the net weighted sensitivities.
8. The bucket-specific sensitivity shall be calculated in accordance with paragraphs
5, 6 and 7 for each bucket within a risk class. Once the bucket-specific sensitivity has
been calculated for all buckets, weighted sensitivities to all risk factors across
buckets shall be aggregated in accordance with the following formula, using the
corresponding correlations 𝛾𝑏𝑐 for weighted sensitivities in different buckets set out
in Articles 383l, 383 and 383q, giving rise to the risk-class specific own funds
requirements for delta or vega risk:
𝑅𝑖𝑠𝑘 − 𝑐𝑙𝑎𝑠𝑠 𝑠𝑝𝑒𝑐𝑖𝑓𝑖𝑐 𝑜𝑤𝑛 𝑓𝑢𝑛𝑑𝑠 𝑟𝑒𝑞𝑢𝑖𝑟𝑒𝑚𝑒𝑛𝑡 𝑓𝑜𝑟 𝑑𝑒𝑙𝑡𝑎 𝑜𝑟 𝑣𝑒𝑔𝑎 𝑟𝑖𝑠𝑘
= 𝑚𝐶𝑉𝐴√∑ 𝐾𝑏
2
+ ∑ ∑ 𝛾𝑏𝑐𝑆𝑏𝑆𝑐
𝑏≠𝑐
𝑏
𝑏
where:
𝑚𝐶𝑉𝐴 = a multiplier factor which is equal to 1; competent authorities may increase
the value of 𝑚𝐶𝑉𝐴 where the institution’s regulatory CVA model shows deficiencies
to appropriately measure the own funds requirements for CVA risk;
𝐾𝑏 = the bucket-specific sensitivity of bucket b;
𝛾𝑏𝑐 = the correlation parameter between buckets b and c;
𝑆𝑏 = 𝑚𝑎𝑥{−𝐾𝑏; 𝑚𝑖𝑛(∑ 𝑊𝑆𝑘
𝑘∈𝑏 ; 𝐾𝑏)} for all risk factors in bucket b;
𝑆𝑐 = 𝑚𝑎𝑥{−𝐾𝑐; 𝑚𝑖𝑛(∑ 𝑊𝑆𝑘
𝑘∈𝑏 ; 𝐾𝑐)} for all risk factors in bucket c.
Article 383c
Interest rate risk factors
1. For the interest rate delta risk factors, including inflation rate risk, there shall be
one bucket per currency, with each bucket containing different types of risk factors.
The interest rate delta risk factors that are applicable to interest-rate sensitive
instruments in the CVA portfolio shall be the risk-free rates per currency concerned
and per each of the following maturities: 1 year, 2 years, 5 years, 10 years and 30
years.
EN 173 EN
The interest rate delta risk factors applicable to inflation-rate sensitive instruments in
the CVA portfolio shall be the inflation rates per currency concerned and per each of
the following maturities: 1 year, 2 years, 5 years, 10 years and 30 years.
2. The currencies for which an institution shall apply the interest rate delta risk
factors in accordance with paragraph 1 shall be USD, EUR, GBP, AUD, CAD, SEK,
JPY and the institution’s reporting currency.
3. For currencies not specified in paragraph 2, the interest rate delta risk factors shall
be the absolute change of the inflation rate and the parallel shift of the entire risk-free
curve for a given currency.
4. Institutions shall obtain the risk-free rates per currency from money market
instruments held in their trading book that have the lowest credit risk, including
overnight index swaps.
5. Where institutions cannot apply the approach referred to in paragraph 4, the risk-
free rates shall be based on one or more market-implied swap curves used by the
institutions to mark positions to market, such as the interbank offered rate swap
curves.
Where the data on market-implied swap curves described in the first subparagraph of
this paragraph are insufficient, the risk-free rates may be derived from the most
appropriate sovereign bond curve for a given currency.
Article 383d
Foreign exchange risk factors
1. The foreign exchange delta risk factors to be applied by institutions to instruments
in the CVA portfolio sensitive to foreign exchange spot rates shall be the spot foreign
exchange rates between the currency in which an instrument is denominated and the
institution's reporting currency. There shall be one bucket per currency pair,
containing a single risk factor and a single net sensitivity.
2. The foreign exchange vega risk factors to be applied by institutions to instruments
in the CVA portfolio sensitive to foreign exchange volatility shall be the implied
volatilities of foreign exchange rates between the currency pairs referred to in
paragraph 1. There shall be one bucket for all currencies and maturities, containing
all foreign exchange vega risk factors and a single net sensitivity.
3. Institutions shall not be required to distinguish between onshore and offshore
variants of a currency for foreign exchange delta and vega risk factors.
Article 383e
Counterparty credit spread risk factors
1. The counterparty credit spread delta risk factor applicable to counterparty credit
spread sensitive instruments in the CVA portfolio shall be the credit spreads of
individual counterparties and reference names and qualified indices for the following
maturities: 0,5 years, 1 year, 3 years, 5 years and 10 years.
2. The interest rate delta risk factor applicable to inflation-rate sensitive instruments
in the CVA portfolio shall be the relevant inflation rates per currency and per each of
the following maturities: 1 year, 2 years, 5 years, 10 years and 30 years.
EN 174 EN
Article 383f
Reference credit spread risk factors
1. The reference credit spread delta risk factor applicable to reference credit spread
sensitive instruments in the CVA portfolio shall be the credit spreads of all maturities
for all reference names within a bucket. There shall be one net sensitivity computed
for each bucket.
2. The reference credit spread vega risk factor applicable to instruments in the CVA
portolio sensitive to reference credit spread volatility shall be the volatilities of the
credit spreads of all tenors for all reference names within a bucket. There shall be
one net sensitivity computed for each bucket.
Article 383g
Equity risk factors
1. The buckets for all equity risk factors shall be the buckets referred to in Article
383s.
2. The equity delta risk factors to be applied by institutions to instruments in the
CVA portfolio sensitive to equity spot prices shall be the spot prices of all equities
mapped to the same bucket referred to in paragraph 1. There shall be one net
sensitivity computed for each bucket.
3. The equity vega risk factors to be applied by institutions to instruments in the
CVA portfolio sensitive to equity volatility shall be the implied volatilities of all the
equities mapped to the same bucket referred to in paragraph 1. There shall be one net
sensitivity computed for each bucket.
Article 383h
Commodity risk factors
1. The buckets for all commodity risk factors shall be the sectorial buckets referred to
in Article 383v.
2. The commodity delta risk factors to be applied by institutions to instruments in the
CVA portfolio sensitive to commodity spot prices shall be the spot prices of all
commodities mapped to the same sectorial bucket referred to in paragraph 1. There
shall be one net sensitivity computed for each sectorial bucket.
3. The commodity vega risk factors to be applied by institutions to instruments in the
CVA portfolio sensitive to commodity price volatility shall be the implied volatilities
of all the commodities mapped to the same sectorial bucket referred to in paragraph
1. There shall be one net sensitivity computed for each sectorial bucket.
Article 383i
Delta risk sensitivities
1. Institutions shall calculate delta sensitivities consisting of interest rate risk factors
as follows:
(a) the delta sensitivities of the aggregate CVA to risk factors consisting of risk-
free rates, as well as of an eligible hedge to those risk factors, shall be
calculated as follows:
EN 175 EN
𝑆𝑟𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑟𝑘𝑡 + 0.0001, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑟𝑘𝑡, 𝑥, 𝑦 … )
0.0001
𝑆𝑟𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑟𝑘𝑡 + 0.0001, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑟𝑘𝑡, 𝑤, 𝑧 … )
0.0001
where:
𝑆𝑟𝑘𝑡
𝐶𝑉𝐴
= the sensitivities of the aggregate CVA to a risk-free rate risk factor;
𝑟𝑘𝑡 = the value of the risk-free rate risk factor k with maturity t;
𝑉𝐶𝑉𝐴 = the aggregate CVA calculated by the regulatory CVA model;
𝑥, 𝑦 = risk factors other than 𝑟𝑘𝑡 in 𝑉𝐶𝑉𝐴;
𝑆𝑟𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
= the sensitivities of the eligible hedge i to a risk-free rate risk factor;
𝑉𝑖 = the pricing function of the eligible hedge i;
𝑤, 𝑧 = risk factors other than 𝑟𝑘𝑡 in the pricing function 𝑉𝑖.
(b) the delta sensitivities to risk factors consisting of inflation rates as well as of an
eligible hedge to those risk factor, shall be calculated as follows:
𝑆𝑖𝑛𝑓𝑙𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑖𝑛𝑓𝑙𝑘𝑡 + 0.0001, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑖𝑛𝑓𝑙𝑘𝑡, 𝑥, 𝑦 … )
0.0001
𝑆𝑖𝑛𝑓𝑙𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑖𝑛𝑓𝑙𝑘𝑡 + 0.0001, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑖𝑛𝑓𝑙𝑘𝑡, 𝑤, 𝑧 … )
0.0001
where:
𝑆𝑖𝑛𝑓𝑙𝑘𝑡
𝐶𝑉𝐴
= the sensitivities of the aggregate CVA to an inflation rate risk factor;
𝑖𝑛𝑓𝑙𝑘𝑡 = the value of an inflation rate risk factor k with maturity t;
𝑉𝐶𝑉𝐴 = the aggregate CVA calculated by the regulatory CVA model;
𝑥, 𝑦 = risk factors other than 𝑖𝑛𝑓𝑙𝑘𝑡in 𝑉𝐶𝑉𝐴;
𝑆𝑖𝑛𝑓𝑙𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
= the sensitivities of the eligible hedge i to an inflation rate risk factor;
𝑉𝑖 = the pricing function of the eligible hedge i;
𝑤, 𝑧 = risk factors other than 𝑖𝑛𝑓𝑙𝑘𝑡in the pricing function 𝑉𝑖.
2. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk
factors consisting of foreign exchange spot rates, as well as of an eligible hedge
instrument to those risk factors, as follows:
𝑆𝐹𝑋𝑘
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝐹𝑋𝑘 + 0.01, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝐹𝑋𝑘, 𝑥, 𝑦 … )
0.01
𝑆𝐹𝑋𝑘
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝐹𝑋𝑘 + 0.01, 𝑤, 𝑧 … ) − 𝑉𝑖(𝐹𝑋𝑘, 𝑤, 𝑧 … )
0.01
where:
𝑆𝐹𝑋𝑘
𝐶𝑉𝐴
= the sensitivities of the aggregate CVA to a foreign exchange spot rate risk
factor;
𝐹𝑋𝑘 = the value of the foreign exchange spot rate risk factor k;
EN 176 EN
𝑉𝐶𝑉𝐴 = the aggregate CVA calculated by the regulatory CVA model;
𝑥, 𝑦 = risk factors other than 𝐹𝑋𝑘in 𝑉𝐶𝑉𝐴;
𝑆𝐹𝑋𝑘
ℎ𝑒𝑑𝑔𝑒𝑖
= the sensitivities of the eligible hedge i to a foreign exchange spot rate risk
factor;
𝑉𝑖 = the pricing function of the eligible hedge i;
𝑤, 𝑧 = risk factors other than 𝐹𝑋𝑘 in the pricing function 𝑉𝑖.
3. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk
factors consisting of counterparty credit spread rates, as well as of an eligible hedge
instrument to those risk factors, as follows:
𝑆𝑐𝑐𝑠𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑐𝑐𝑠𝑘𝑡 + 0.0001, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑐𝑐𝑠𝑘𝑡, 𝑥, 𝑦 … )
0.0001
𝑆𝑐𝑐𝑠𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑐𝑐𝑠𝑘𝑡 + 0.0001, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑐𝑐𝑠𝑘𝑡, 𝑤, 𝑧 … )
0.01
where:
𝑆𝑐𝑐𝑠𝑘𝑡
𝐶𝑉𝐴
= the sensitivities of the aggregate CVA to a counterparty credit spread
rate risk factor;
𝑐𝑐𝑠𝑘𝑡 = the value of the counterparty credit spread rate risk factor k at maturity t;
𝑉𝐶𝑉𝐴 = the aggregate CVA calculated by the regulatory CVA model;
𝑥, 𝑦 = risk factors other than 𝑐𝑐𝑠𝑘𝑡 in 𝑉𝐶𝑉𝐴;
𝑆𝑐𝑐𝑠𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
= the sensitivities of the eligible hedge i to a counterparty credit spread
rate risk factor;
𝑉𝑖 = the pricing function of the eligible hedge i
𝑤, 𝑧 = risk factors other than 𝑐𝑐𝑠𝑘𝑡 in the pricing function 𝑉𝑖.
4. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk
factors consisting of reference credit spread rates, as well as of an eligible hedge
instrument to those risk factors, as follows:
𝑆𝑟𝑐𝑠𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑐𝑐𝑠𝑘𝑡 + 0.0001, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑟𝑐𝑠𝑘𝑡, 𝑥, 𝑦 … )
0.0001
𝑆𝑟𝑐𝑠𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑟𝑐𝑠𝑘𝑡 + 0.0001, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑟𝑐𝑠𝑘𝑡, 𝑤, 𝑧 … )
0.0001
where:
𝑆𝑟𝑐𝑠𝑘𝑡
𝐶𝑉𝐴
= the sensitivities of the aggregate CVA to a reference credit spread rate
risk factor;
𝑟𝑐𝑠𝑘𝑡 = the value of the reference credit spread rate risk factor k at maturity t;
𝑉𝐶𝑉𝐴 = the aggregate CVA calculated by the regulatory CVA model;
𝑥, 𝑦 = risk factors other than 𝑐𝑐𝑠𝑘𝑡 in 𝑉𝐶𝑉𝐴;
𝑆𝑟𝑐𝑠𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
= the sensitivities of the eligible hedge i to a reference credit spread rate
risk factor;
EN 177 EN
𝑉𝑖 = the pricing function of the eligible hedge i
𝑤, 𝑧 = risk factors other than 𝑐𝑐𝑠𝑘𝑡 in the pricing function 𝑉𝑖.
5. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk
factors consisting of equity spot prices, as well as of an eligible hedge instrument to
those risk factors, as follows:
𝑆𝐸𝑄
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝐸𝑄 + 0.01, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝐸𝑄, 𝑥, 𝑦 … )
0.01
𝑆𝐸𝑄
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝐸𝑄 + 0.01, 𝑤, 𝑧 … ) − 𝑉𝑖(𝐸𝑄, 𝑤, 𝑧 … )
0.01
where:
𝑆𝐸𝑄
𝐶𝑉𝐴
= the sensitivities of the aggregate CVA to an equity spot price risk factor;
𝐸𝑄 = the value of the equity spot price;
𝑉𝐶𝑉𝐴 = the aggregate CVA calculated by the regulatory CVA model;
𝑥, 𝑦 = risk factors other than 𝐸𝑄 in 𝑉𝐶𝑉𝐴;
𝑆𝐸𝑄
ℎ𝑒𝑑𝑔𝑒𝑖
= the sensitivities of the eligible hedge i to an equity spot price risk factor;
𝑉𝑖 = the pricing function of the eligible hedge i;
𝑤, 𝑧 = risk factors other than 𝐸𝑄 in the pricing function 𝑉𝑖.
6. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk
factors consisting of commodity spot prices, as well as of an eligible hedge
instrument to those risk factors, as follows:
𝑆𝐶𝑇𝑌
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(1.01𝐶𝑇𝑌, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝐶𝑇𝑌, 𝑥, 𝑦 … )
0.01
𝑆𝐶𝑇𝑌
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(1.01𝐶𝑇𝑌, 𝑤, 𝑧 … ) − 𝑉𝑖(𝐶𝑇𝑌, 𝑤, 𝑧 … )
0.01
where:
𝑆𝐶𝑇𝑌
𝐶𝑉𝐴
= the sensitivities of the aggregate CVA to a commodity spot price risk
factor;
𝐶𝑇𝑌 = the value of the commodity spot price;
𝑉𝐶𝑉𝐴 = the aggregate CVA calculated by the regulatory CVA model;
𝑥, 𝑦 = risk factors other than 𝐶𝑇𝑌 in 𝑉𝐶𝑉𝐴;
𝑆𝐶𝑇𝑌
ℎ𝑒𝑑𝑔𝑒𝑖
= the sensitivities of the eligible hedge i to a commodity spot price risk
factor;
𝑉𝑖 = the pricing function of the eligible hedge i;
𝑤, 𝑧 = risk factors other than 𝐶𝑇𝑌 in the pricing function 𝑉𝑖.
EN 178 EN
Article 383j
Vega risk sensitivities
Institutions shall calculate the vega risk sensitivities of the aggregate CVA to risk
factors consisting of implied volatility, as well as of an eligible hedge instrument to
those risk factors, as follows:
𝑆𝑣𝑜𝑙𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑣𝑜𝑙𝑘 + 0.01, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑣𝑜𝑙𝑘, 𝑥, 𝑦 … )
0.01
𝑆𝑣𝑜𝑙𝑘
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑣𝑜𝑙𝑘 + 0.01, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑣𝑜𝑙𝑘, 𝑤, 𝑧 … )
0.01
where:
𝑆𝑣𝑜𝑙𝑘
𝐶𝑉𝐴
= the sensitivities of the aggregate CVA to an implied volatility risk factor;
𝑣𝑜𝑙𝑘 = the value of the implied volatility risk factor, expressed as a percentage;
𝑉𝐶𝑉𝐴 = the aggregate CVA calculated by the regulatory CVA model;
𝑥, 𝑦 = risk factors other than 𝑣𝑜𝑙𝑘 in the pricing function 𝑉𝐶𝑉𝐴;
𝑆𝑣𝑜𝑙𝑘
ℎ𝑒𝑑𝑔𝑒𝑖
= the sensitivities of the eligible hedge instrument i to an implied volatility
risk factor;
𝑉𝑖 = the pricing function of the eligible hedge i;
𝑤, 𝑧 = risk factors other than 𝑣𝑜𝑙𝑘 in the pricing function 𝑉𝑖.
Article 383k
Risk weights for interest rate risk
1. For currencies referred to in Article 383c(2), the risk weights of risk-free rate delta
sensitivities for each bucket in Table 1 shall be the following:
Table 1
Bucket Maturity Risk Weight
1 1 year 1.11%
2 2 years 0.93%
3 5 years 0.74%
4 10 years 0.74%
5 30 years 0.74%
2. For currencies other than the currencies referred to in Article 383c(2), the risk
weight of risk-free rate delta sensitivities shall be 1.58%.
3. For inflation rate risk denominated in one of the currencies referred to in Article
383c(2), the risk weight of the sensitivity to the inflation rate risk shall be 1.11%.
4. For inflation rate risk denominated in a currency other than the currencies referred
to in Article 383c(2), the risk weight of the sensitivity to the inflation rate risk shall
be 1.58%.
EN 179 EN
5. The risk weights to be applied to sensitivities to interest rate vega risk factors and
to inflation rate risk factors for all currencies shall be 100%.
Article 383l
Intra-bucket correlations for interest rate risk
1. For the currencies referred to in Article 383c(2), the correlation parameters that
institutions shall apply for the aggregation of the risk-free rate delta sensitivities
between the different buckets set out in Table 2 shall be the following:
Table 2
Bucket 1 2 3 4 5
1 100% 91% 72% 55% 31%
2 100% 87% 72% 45%
3 100% 91% 68%
4 100% 83%
5 100%
2. The correlation parameter that institutions shall apply for the aggregation of
inflation rate delta risk sensitivity and risk-free rate delta sensitivity denominated in
the same currency shall be 40%.
3. The correlation parameter that institutions shall apply for the aggregation of
inflation rate vega risk factor sensitivity and interest rate vega risk factor sensitivity
denominated in the same currency shall be 40%.
Article 383m
Risk weights for foreign exchange risk
1. The risk weights for all delta sensitivities to foreign exchange risk factor between
an institution’s reporting currency and another currency shall be 11%.
2. The risk weights for all vega sensitivities to foreign exchange risk factor shall be
100%.
Article 383n
Correlations for foreign exchange risk
A uniform correlation parameter equal to 60% shall apply to the aggregation of
sensitivities to delta and vega foreign exchange risk factors.
Article 383o
Risk weights for counterparty credit spread risk
1. The risk weights for the delta sensitivities to credit spread risk factors shall be the
same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each
bucket in Table 3 and shall be the following:
EN 180 EN
Table 3
Bucket
number
Credit
quality
Sector Risk weight
(percentage
points)
1 All Central government, including central
banks, of a Member State
0,5%
2 Credit
quality
step 1 to
3
Central government, including central
banks, of a third country, multilateral
development banks and international
organisations referred to in Articles
117(2) and 118
0,5%
3 Regional or local authority and public
sector entities
1,0%
4 Financial sector entities including credit
institutions incorporated or established by
a central government, a regional
government or a local authority and
promotional lenders
5,0%
5 Basic materials, energy, industrials,
agriculture, manufacturing, mining and
quarrying
3,0%
6 Consumer goods and services,
transportation and storage, administrative
and support service activities
30%
7 Technology, telecommunications 2,0%
8 Health care, utilities, professional and
technical activities
1,5%
9 Other sector 5,0%
10 Qualified indices 1,5%
11 Credit
quality
step 4 to
6 and
unrated
Central government, including central
banks, of a third country, multilateral
development banks and international
organisations referred to in Articles
117(2) and 118
2,0%
12 Regional or local authority and public
sector entities
4,0%
13 Financial sector entities including credit
institutions incorporated or established by
12,0%
EN 181 EN
a central government, a regional
government or a local authority and
promotional lenders
14 Basic materials, energy, industrials,
agriculture, manufacturing, mining and
quarrying
7,0%
15 Consumer goods and services,
transportation and storage, administrative
and support service activities
8,5%
16 Technology, telecommunications 5,5%
17 Health care, utilities, professional and
technical activities
5,0%
18 Other sector 12,0%
19 Qualified indices 5,0%
2. To assign a risk exposure to a sector, institutions shall rely on a classification that
is commonly used in the market for grouping issuers by sector. Institutions shall
assign each issuer to only one of the sector buckets laid down in Table 3. Risk
exposures from any issuer that an institution cannot assign to a sector in such a
manner shall be assigned to either bucket 9 or bucket 18 in Table 3, depending on the
credit quality of the issuer.
3. Institutions shall assign to buckets 10 and 19 in Table 3 only exposures that
reference qualified indices as referred to in Article 383b(4).
4. Institutions shall use a look-through approach to determine the sensitivities of an
exposure referencing a non-qualified index.
Article 383p
Intra-bucket correlations for counterparty credit spread risk
1. Between two sensitivities 𝑊𝑆𝑘 and 𝑊𝑆𝑙, resulting from risk exposures assigned to
sector buckets 1 to 9 and 11 to 18, as laid down in Article 383o(1), Table 3, the
correlation parameter 𝜌𝑘𝑙 shall be set as follows:
𝜌𝑘𝑙 = 𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
∙ 𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
∙ 𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
where:
𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
shall be equal to 1 where the two vertices of the sensitivities k and l are
identical, otherwise it shall be equal to 90%;
𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
shall be equal to 1 where the two names of sensitivities k and l are identical,
otherwise it shall be equal to 50%;
𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
shall be equal to 1 where the two names are both in buckets 1 to 9 or are
both in buckets 11 to 18, otherwise it shall be equal to 80%.
EN 182 EN
2. Between two sensitivities 𝑊𝑆𝑘 and 𝑊𝑆𝑙, resulting from risk exposures assigned to
sector buckets 10 and 19, the correlation parameter 𝜌𝑘𝑙 shall be set as follows:
𝜌𝑘𝑙 = 𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
∙ 𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
∙ 𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
where:
𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
shall be equal to 1 where the two vertices of the sensitivities k and l are
identical, otherwise it shall be equal to 90%;
𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
shall be equal to 1 where the two names of sensitivities k and l are identical
and the two indices are of the same series, otherwise it shall be equal to 80%;
𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
shall be equal to 1 where the two names are both in buckets 10 or both in
bucket 19, otherwise it shall be equal to 80%.
Article 383q
Correlations across buckets for counterparty credit spread risk
The cross-bucket correlations for credit spread delta risk shall be the following:
Table 4
Bucket 1, 2, 3,
11 and
12
4 and
13
5 and
14
6 and
15
7 and
16
8 and
17
9 and
18
10 and
19
1, 2, 3, 11 and 12 100% 10% 20% 25% 20% 15% 0% 45%
4 and 13 100% 5% 15% 20% 5% 0% 45%
5 and 14 100% 25% 25% 5% 0% 45%
6 and 15 100% 83% 5% 0% 45%
7 and 16 100% 5% 0% 45%
8 and 17 100% 0% 45%
9 and 18 100% 0%
10 and 19 100%
Article 383r
Risk weights for reference credit spread risk
1. The risk weights for the delta sensitivities to reference credit spread risk factors
shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) and
all reference credit spread exposures within each bucket in Table 5 and shall be the
following:
Table 5
EN 183 EN
Bucket
number
Credit
quality
Sector Risk weight
(percentage
points)
1 All Central government, including central banks, of a
Member State
0,5%
2 Credit
quality
step 1 to 3
Central government, including central banks, of a
third country, multilateral development banks and
international organisations referred to in Articles
117(2) and 118
0,5%
3 Regional or local authority and public sector
entities
1,0%
4 Financial sector entities including credit
institutions incorporated or established by a central
government, a regional government or a local
authority and promotional lenders
5,0%
5 Basic materials, energy, industrials, agriculture,
manufacturing, mining and quarrying
3,0%
6 Consumer goods and services, transportation and
storage, administrative and support service
activities
3,0%
7 Technology, telecommunications 2,0%
8 Health care, utilities, professional and technical
activities
1,5%
10 Qualified indices 1,5%
11 Credit
quality
step 4 to 6
and
unrated
Central government, including central banks, of a
third country, multilateral development banks and
international organisations referred to in Articles
117(2) and 118
2,0%
12 Regional or local authority and public sector
entities
4,0%
13 Financial sector entities including credit
institutions incorporated or established by a central
government, a regional government or a local
authority and promotional lenders
12,0%
14 Basic materials, energy, industrials, agriculture,
manufacturing, mining and quarrying
7,0%
15 Consumer goods and services, transportation and 8,5%
EN 184 EN
storage, administrative and support service
activities
16 Technology, telecommunications 5,5%
17 Health care, utilities, professional and technical
activities
5,0%
18 Qualified indices 5,0%
19 Other sector 12,0%
2. To assign a risk exposure to a sector, institutions shall rely on a classification that
is commonly used in the market for grouping issuers by sector. Institutions shall
assign each issuer to only one of the sector buckets in Table 5. Risk exposures from
any issuer that an institution can not assign to a sector in such a manner shall be
assigned to bucket 19 in Table 5, depending on the credit quality of the issuer.
3. Institutions shall assign to buckets 10 and 18 only exposures that reference
qualified indices as referred to in Article 383b(4).
4. Institutions shall use a look-through approach to determine the sensitivities of an
exposure referencing a non-qualified index.
Article 383s
Intra-bucket correlations for reference credit spread risk
1. Between two sensitivities 𝑊𝑆𝑘 and 𝑊𝑆𝑙, resulting from risk exposures assigned to
sector buckets 1 to 9 and 11 to 18 of Article A383r(1), Table 5, the correlation
parameter 𝜌𝑘𝑙 shall be set as follows:
𝜌𝑘𝑙 = 𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
∙ 𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
∙ 𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
where:
𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
shall be equal to 1 where the two vertices of the sensitivities k and l are
identical, otherwise it shall be equal to 90%;
𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
shall be equal to 1 where the two names of sensitivities k and l are identical,
otherwise it shall be equal to 50%;
𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
shall be equal to 1 where the two names are both in buckets 1 to 9 or are
both in buckets 11 to 18, otherwise it shall be equal to 80%.
2. Between two sensitivities 𝑊𝑆𝑘 and 𝑊𝑆𝑙, resulting from risk exposures assigned to
sector buckets 10 and 19, the correlation parameter 𝜌𝑘𝑙 shall be set as follows:
𝜌𝑘𝑙 = 𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
∙ 𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
∙ 𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
where:
𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
shall be equal to 1 where the two vertices of the sensitivities k and l are
identical, otherwise it shall be equal to 90%;
𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
shall be equal to 1 where the two names of sensitivities k and l are identical
and the two indices are of the same series, otherwise it shall be equal to 80%;
EN 185 EN
𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
shall be equal to 1 where the two names are both in buckets 10 or both in
bucket 19, otherwise it shall be equal to 80%.
Article 383t
Risk weights buckets for equity risk
1. The risk weights for the delta sensitivities to equity spot price risk factors shall be
the same for all equity risk exposures within each bucket in Table 6 and shall be the
following:
Table 6
Bucket
number
Market
capitalisation
Economy Sector Risk weight
for equity
spot price
(percentage
points)
1 Large Emerging
market
economy
Consumer goods and services,
transportation and storage,
administrative and support service
activities, healthcare, utilities
55%
2 Telecommunications, industrials 60%
3 Basic materials, energy,
agriculture, manufacturing,
mining and quarrying
45%
4 Financials including government-
backed financials, real estate
activities, technology
55%
5 Advanced
economy
Consumer goods and services,
transportation and storage,
administrative and support service
activities, healthcare, utilities
30%
6 Telecommunications, industrials 35%
7 Basic materials, energy,
agriculture, manufacturing,
mining and quarrying
40%
8 Financials including government-
backed financials, real estate
activities, technology
50%
9 Small Emerging
market
economy
All sectors described under
bucket numbers 1, 2, 3, and 4
70
EN 186 EN
10 Advanced
economy
All sectors described under
bucket numbers 5, 6, 7, and 8
50%
11 Other sector 70%
12 Large Advanced
economy
Qualified indices 15%
13 Other Qualified indices 25%
2. For the purposes of paragraph 1, what constitutes a small and a large capitalisation
shall be specified in the regulatory technical standards referred to in Article
325bd(7).
3. For the purposes of paragraph 1, what constitutes an emerging market and an
advanced economy shall be specified in the regulatory technical standards referred to
in Article 325ap(3).
4. When assigning a risk exposure to a sector, institutions shall rely on a
classification that is commonly used in the market for grouping issuers by industry
sector. Institutions shall assign each issuer to one of the sector buckets in paragraph
1, Table 6, and shall assign all issuers from the same industry to the same sector.
Risk exposures from any issuer that an institution cannot assign to a sector in that
fashion shall be assigned to bucket 11. Multinational or multi-sector equity issuers
shall be allocated to a particular bucket on the basis of the most material region and
sector in which the equity issuer operates.
5. The risk weights for equity vega risk shall be set to 78% for buckets 1 to 8 and
bucket 12, and to 100% for all other buckets.
Article 383u
Correlations across buckets for equity risk
The cross-bucket correlation parameter for equity delta and vega risk shall be set at:
(a) 15%, where the two buckets fall within buckets 1 to 10 of Article 383t(1),
Table 6;
(b) 75%, where the two buckets are buckets 12 and 13 of Article 383t(1), Table 6;
(c) 45%, where one of the buckets is bucket 12 and 13 of Article 383t(1), Table 6,
and the other bucket falls between buckets 1 and 10 of Article 383t(1), Table 6;
(d) 0%, where one of the two buckets is bucket 11 of Article 383t(1), Table 6.
Article 383v
Risk weights buckets for commodity risk
1. The risk weights for the delta sensitivities to commodity spot price risk factors
shall be the same for all commodity risk exposures within each bucket in Table 7 and
shall be the following:
Table 7
Bucket Bucket name Risk weight
for
EN 187 EN
number commodity
spot price
(percentage
points)
1 Energy – Solid combustibles 30%
2 Energy – Liquid combustibles 35%
3 Energy - Electricity 60%
4 Energy – Carbon trading 40%
5 Freight 80%
6 Metals – non-precious 40%
7 Gaseous combustibles 45%
8 Precious metals (including gold) 20%
9 Grains & oilseed 35%
10 Livestock & diary 25%
11 Soft and other agriculturals 35%
12 Other commodity 50%
2. The risk weights for commodity vega risk shall be set to 100%.
Article 383w
Risk weights buckets for commodity risk
1. The cross-bucket correlation parameter for commodity delta risk shall be set at:
(a) 20%, where the two buckets fall within buckets 1 to 11 of Article 383v(1),
Table 7;
(b) 0%, where one of the two buckets is bucket 12 of Article 383v(1), Table 7.
2. The cross-bucket correlation parameter for commodity vega risk shall be set at:
(a) 20%, where the two buckets fall within buckets 1 to 11 of Article 383v(1),
Table 7;
(b) 0%, where one of the two buckets is bucket 12 of Article 383v(1), Table 7.’;
(170) Articles 384, 385 and 386 are replaced by the following:
‘Article 384
Basic approach
1. An institution shall calculate the own funds requirements for CVA risk in
accordance with paragraphs 2 or 3, as applicable, for a portfolio of transactions with
one or more counterparties by using one of the following formulae, as appropriate:
EN 188 EN
(a) the formula set out in paragraph 2, where the institution includes in the
calculation one or more eligible hedges recognised in accordance with Article
386;
(b) the formula set out in paragraph 3, where the institution does not include in the
calculation any eligible hedges recognised in accordance with Article 386.
The approaches set out in points (a) and (b) shall not be used in combination.
2. An institution that meets the condition referred to in paragraph 1, point (a), shall
calculate the own funds requirements for CVA risks as follows:
𝐵𝐴𝐶𝑉𝐴𝑡𝑜𝑡𝑎𝑙
= 𝐷𝑆𝐶𝑉𝐴 ⋅ (𝛽 ⋅ 𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−𝑢𝑛ℎ𝑒𝑑𝑔𝑒𝑑
+ (1 − 𝛽) ⋅ 𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−ℎ𝑒𝑑𝑔𝑒𝑑)
where:
𝐵𝐴𝐶𝑉𝐴𝑡𝑜𝑡𝑎𝑙
= the own funds requirements for CVA risk under the basic approach;
𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−𝑢𝑛ℎ𝑒𝑑𝑔𝑒𝑑
= the own funds requirements for CVA risk under the basic
approach as calculated in accordance with paragraph 3 for an institution that meets
the condition laid down in paragraph 1, point (b);
𝐷𝑆𝐶𝑉𝐴 = 0,65;
𝛽 = 0,25;
𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−ℎ𝑒𝑑𝑔𝑒𝑑
= √(𝜌 ⋅ ∑(𝑆𝐶𝑉𝐴𝑐 − 𝑆𝑁𝐻𝑐)
𝑐
− 𝐼𝐻)
2
+ (1 − 𝜌2) ⋅ ∑(𝑆𝐶𝑉𝐴𝑐 − 𝑆𝑁𝐻𝐶)2
𝑐
+ ∑ 𝐻𝑀𝐴𝑐
𝑐
where:
𝑆𝐶𝑉𝐴𝑐 =
1
𝑎
∙ 𝑅𝑊
𝑐 ∙ ∑ 𝑀𝑁𝑆
𝑐
𝑁𝑆∈𝑐
∙ 𝐸𝐴𝐷𝑁𝑆
𝑐
∙ 𝐷𝐹𝑁𝑆
𝑐
𝑆𝑁𝐻𝑐 = ∑ 𝑟ℎ𝑐 ∙ 𝑅𝑊ℎ
𝑆𝑁
∙ 𝑀ℎ
𝑆𝑁
∙ 𝐵ℎ
𝑆𝑁
∙ 𝐷𝐹ℎ
𝑆𝑁
ℎ∈𝑐
𝐼𝐻 = ∑ 𝑅𝑊𝑖
𝑖𝑛𝑑
𝑖
∙ 𝑀𝑖
𝑖𝑛𝑑
∙ 𝐵𝑖
𝑖𝑛𝑑
∙ 𝐷𝐹𝑖
𝑖𝑛𝑑
𝐻𝑀𝐴𝑐 = ∑(1 − 𝑟ℎ𝑐
2 ) ∙ (𝑅𝑊ℎ∙𝑀ℎ
𝑆𝑁
∙ 𝐵ℎ
𝑆𝑁
∙ 𝐷𝐹ℎ
𝑆𝑁
)2
ℎ
𝑎 =1,4;
𝜌 =0,5;
c =the index that denotes all the counterparties for which the institution calculates
the own funds requirements for CVA risk using the approach laid down in this
Article;
NS = the index that denotes all the netting sets with a given counterparty for
which the institution calculates the own funds requirements for CVA risk using the
approach laid down in this Article;
h = the index that denotes all the single-name instruments recognised as eligible
hedges in accordance with Article 386 for a given counterparty for which the
EN 189 EN
institution calculates the own funds requirements for CVA risk using the approach
laid down in this Article ;
i = the index that denotes all the index instruments recognised as eligible
hedges in accordance with Article 386 for all the counterparties for which the
institution calculates the own funds requirements for CVA risk using the approach
laid down in this Article ;
𝑅𝑊
𝑐 = the risk weight applicable to counterparty ‘c’. Counterparty ‘c’ shall be
mapped to one of the risk weights based on a combination of sector and credit quality
and determined in accordance with Table 1.
𝑀𝑁𝑆
𝑐
= the effective maturity for the netting set NS with counterparty c;
For an institution using the methods set out in Title II, Chapter 6, Section 6,
𝑀𝑁𝑆
𝑐
shall be calculated in accordance with Article 162(2), point(g). However,
for that calculation, 𝑀𝑁𝑆
𝑐
shall not be capped at five years, but at the longest
contractual remaining maturity in the netting set.
For an institution not using the methods set out in Title II, Chapter 6, Section 6,
𝑀𝑁𝑆
𝑐
shall be the average notional weighted maturity as referred to in Article
162(2), point (b). However, for that calculation, 𝑀𝑁𝑆
𝑐
shall not be capped at five
years, but at the longest contractual remaining maturity in the netting set.
𝐸𝐴𝐷𝑁𝑆
𝑐
= the counterparty credit risk exposure value of the netting set NS with
counterparty c, including the effect of collateral in accordance with the methods set
out in Title II, Chapter 6, Sections 3 to 6, as applicable to the calculation of the own
funds requirements for counterparty credit risk referred to in Article 92(4), points (a)
and (f);
𝐷𝐹𝑁𝑆
𝑐
= the supervisory discount factor for the netting set NS with counterparty
c.
For an institution, using the methods set out in Title II, Chapter 6, Section 6,
the supervisory discount factor shall be set to 1. In all other cases, the
supervisory discount factor shall be calculated as follows:
1 − 𝑒−0.05∗𝑀𝑁𝑆
𝑐
0.05 ∙ 𝑀𝑁𝑆
𝑐
𝑟ℎ𝑐 = the supervisory correlation between the credit spread risk of counterparty c
and the credit spread risk of a single-name instrument recognised as an eligible hedge
h for counterparty c, determined in accordance with Table 2;
𝑀ℎ
𝑆𝑁
= the maturity of a single-name instrument recognised as an eligible hedge;
𝐵ℎ
𝑆𝑁
= the notional of a single name instrument recognised as an eligible hedge;
𝐷𝐹ℎ
𝑆𝑁
= the supervisory discount factor for a single name instrument recognised as an
eligible hedge, calculated as follows:
1 − 𝑒−0.05𝑀ℎ
𝑆𝑁
0.05 ∙ 𝑀ℎ
𝑆𝑁
𝑅𝑊ℎ
𝑆𝑁
= the supervisory risk weight of a single-name instrument recognised as
an eligible hedge. Those risk weights shall be based on a combination of sector and
EN 190 EN
credit quality of the reference credit spread of the hedging instrument and determined
in accordance with Table 1;
𝑀𝑖
𝑖𝑛𝑑
= the maturity of one or more positions in the same index instrument
recognised as an eligible hedge. In the case of more than one positions in the same
index instrument, 𝑀𝑖
𝑖𝑛𝑑
shall be the notional-weighted maturity of all those positions;
𝐵𝑖
𝑖𝑛𝑑
= the full notional of one or more positions in the same index instrument
recognised as an eligible hedge. In the case of more than one positions in the same
index instrument, 𝐵𝑖
𝑖𝑛𝑑
shall be the notional-weighted maturity of all those positions;
𝐷𝐹𝑖
𝑖𝑛𝑑
= the supervisory discount factor for one or more positions in the same
index instrument recognised as an eligible hedge, calculated as follows:
1 − 𝑒−0.05𝑀𝑖
𝑖𝑛𝑑
0.05 ∙ 𝑀𝑖
𝑖𝑛𝑑
𝑅𝑊𝑖
𝑖𝑛𝑑
= the supervisory risk weight of an index instrument recognised as an
eligible hedge. 𝑅𝑊𝑖
𝑖𝑛𝑑
shall be based on a combination of sector and credit quality of
all the index constituents, calculated as follows:
(a) where all the index constituents belong to the same sector and have the same
credit quality, as determined in accordance with Table 1, 𝑅𝑊𝑖
𝑖𝑛𝑑
shall be
calculated as the relevant risk weight of Table 1 for that sector and credit
quality multiplied by 0,7;
(b) where all the index constituents do not belong to the same sector or do not have
the same credit quality , 𝑅𝑊𝑖
𝑖𝑛𝑑
shall be calculated as a weighted average of
the risk weights of all the index constituents, as determined in accordance with
Table 1, multiplied by 0,7;
Table 1
Sector of counterparty
Credit quality
Credit quality step 1 to 3 Credit quality
step 4 to 6 and
not rated
Central government,
including central banks, of
a third country, multilateral
development banks and
international organisations
referred to in Articles
117(2) or Article 118
0,5 % 3,0 %
Regional or local authority
and public sector entities
1,0 % 4,0 %
EN 191 EN
Financial sector entities
including credit institutions
incorporated or established
by a central government, a
regional government or a
local authority and
promotional lenders
5,0 % 12,0 %
Basic materials, energy,
industrials, agriculture,
manufacturing, mining and
quarrying
3,0 % 7,0 %
Consumer goods and
services, transportation and
storage, administrative and
support service activities
3,0 % 8,5%
Technology,
telecommunications
2,0 % 5,5 %
Health care, utilities,
professional and technical
activities
1,5% 5,0 %
Other sector 5,0 % 12,0 %
Table 2
Correlations between credit spread of counterparty and single-
name hedge
Single-name hedge h of
counterparty i
Value of rhc
Counterparties referred to in Article
386(3)(a), point (i)
100 %
Counterparties referred to in Article
386(3)(a), point (ii)
80 %
Counterparties referred to in Article
386(3)(a), point (iii)
50 %
2. An institution that meets the condition referred in to paragraph 1, point (b), shall
calculate the own funds requirements for CVA risk as follows:
𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−𝑢𝑛ℎ𝑒𝑑𝑔𝑒𝑑
= √(𝜌 ⋅ ∑ 𝑆𝐶𝑉𝐴𝑐
𝑐
)
2
+ (1 − 𝜌2
) ⋅ ∑ 𝑆𝐶𝑉𝐴𝑐
2
𝑐
where all the terms are the ones set out in paragraph 2.
EN 192 EN
Article 385
Simplified approach
1. An institution that meets all the conditions set out in Article 273a(2) may calculate
the own funds requirements for CVA risk as the risk-weighted exposure amounts for
counterparty risk for non-trading book and trading book positions respectively,
referred to in Article 92(3), points (a) and (f), divided by 12,5.
2. For the purposes of the calculation referred to in paragraph 1, the following
requirements shall apply:
(a) only transactions subject to the own funds requirements for CVA risk laid
down in Article 382 shall be subject to that calculation;
(b) credit derivatives that are recognised as internal hedges against counterparty
risk exposures shall not be included in that calculation.
3. An institution that no longer meets one or more of the conditions set out in Article
273a(2) shall comply with the requirements set out in Article 273b.
Article 386
Eligible Hedges
1. Positions in hedging instruments shall be recognised as ‘eligible hedges’ for the
calculation of own funds requirements for CVA risk in accordance with Articles 383
and 384 where those positions meet all of the following requirements:
(a) those positions are used for the purpose of mitigating CVA risk and are
managed as such;
(b) those positions can be entered into with third parties or with the institution’s
trading book as an internal hedge, in which case they shall comply with the
requirement set out in Article 106(7);
(c) only positions in hedging instruments as referred to in paragraphs 2 and 3 can
be recognised as eligible hedges for the calculation of own funds requirements
for CVA risks in accordance with Articles 383 and 384 respectively;
(d) a given hedging instrument forms a single position in an eligible hedge and
cannot be split into more than one position in more than one eligible hedge.
2. For the calculation of the own funds requirements for CVA risk in accordance
with Article 383, only positions in the following hedging instruments shall be
recognised as eligible hedges:
(a) instruments that hedge variability of the counterparty credit spread, with the
exception of instruments referred in to Article 325(5);
(b) instruments that hedge variability of the exposure component of CVA risk,
with the exception of the instruments referred in to Article 325(5).
3. For the calculation of own funds requirements for CVA risk in accordance with
Article 384, only positions in the following hedging instruments shall be recognised
as eligible hedges:
(a) single-name credit default swaps and single-name contingent-credit default
swaps, referencing:
(i) the counterparty directly;
EN 193 EN
(ii) an entity legally related to the counterparty, where legally related refers
to cases where the reference name and the counterparty are either a
parent and its subsidiary or two subsidiaries of a common parent;
(iii) an entity that belongs to the same sector and region as the counterparty;
(b) index credit default swaps.
4. Positions in hedging instruments entered into with third parties that are recognised
as eligible hedges in accordance with paragraphs 1, 2 and 3 and included in the
calculation of the own funds requirements for CVA risk shall not be subject to the
own funds requirements for market risk set out in Title IV.
5. Positions in hedging instruments that are not recognised as eligible hedges in
accordance with this Article shall subject to the own funds requirements for market
risk set out in Title IV.’;
(171) Article 402 is amended as follows:
(a) paragraph 1 is amended as follows:
(i) the first subparagraph is replaced by the following:
‘For the calculation of exposure values for the purposes of Article 395,
institutions may, except where prohibited by applicable national law,
reduce the value of an exposure or any part of an exposure that is secured
by residential property in accordance with Article 125(1) by the pledged
amount of the property value, but by not more than 55 % of the property
value, provided that all the following conditions are met:’;
(ii) point (a) is replaced by the following:
‘(a) the competent authorities of the Member States have not set a risk
weight higher than 20 % for exposures or parts of exposures secured by
residential property in accordance with Article 124(7);’;
(b) paragraph 2 is amended as follows:
(i) the first subparagraph is replaced by the following:
‘For the calculation of exposure values for the purposes of Article 395,
institutions may, except where prohibited by applicable national law,
reduce the value of an exposure or any part of an exposure that is secured
by commercial property in accordance with Article 126(1) by the pledged
amount of the property value, but by not more than 55 % of the property
value, provided that all the following conditions are met:’;
(ii) point (a) is replaced by the following:
‘(a) the competent authorities of the Member States have not set a risk
weight higher than 60 % for exposures or parts of exposures secured by
residential property in accordance with Article 124(7);’;
(172) in Article 429, paragraph 6 is replaced by the following:
‘6. For the purposes of paragraph 4, point (e), of this Article and Article 429g,
‘regular-way purchase or sale’ means a purchase or a sale of a financial asset under
contracts for which the terms require delivery of the financial asset within the period
established generally by law or convention in the marketplace concerned.’;
(173) Article 429c is amended as follows:
EN 194 EN
(a) in paragraph 3, point (a) is replaced by the following:
‘(a) for trades not cleared through a QCCP, the cash received by the recipient
counterparty is not segregated from the assets of the institution;’;
(b) paragraph 4 is replaced by the following:
‘4. For the purposes of paragraph 1 of this Article, institutions shall not include
collateral received in the calculation of NICA as defined in Article 272, point
(12a).’;
(c) the following paragraph 4a is inserted:
‘4a. By way of derogation from paragraphs 3 and 4, an institution may
recognise any collateral received in accordance with Part Three, Title II,
Chapter 6, Section 3 where all of the following conditions are met:
(a) the collateral is received from a client for a derivative contract cleared by
the institution on behalf of that client;
(b) the contract referred to in point (a) is cleared through a QCCP;
(c) where the collateral has been received in the form of initial margin, that
collateral is segregated from the assets of the institution.’;
(d) in paragraph 6, the first subparagraph is replaced by the following:
‘By way of derogation from paragraph 1 of this Article, institutions may use
the method set out in Part Three, Title II, Chapter 6, Section 4 or 5 to
determine the exposure value of derivative contracts listed in Annex II, points
1 and 2, but only where they also use that method for determining the exposure
value of those contracts for the purposes of meeting the own funds
requirements set out in Article 92(1), points (a), (b) and (c).’;
(174) Article 429f is amended as follows:
(a) paragraph 1 is replaced by the following:
‘1. Institutions shall calculate, in accordance with Article 111(2), the exposure
value of off-balance-sheet items, excluding the derivative contracts listed in
Annex II, credit derivatives, securities financing transactions and the positions
referred to in Article 429d.
Where a commitment refers to the extension of another commitment,
Article 166(9) shall apply.’;
(b) paragraph 3 is deleted;
(175) in Article 429g, paragraph 1 is replaced by the following:
‘1. Institutions shall treat cash related to regular-way purchases and financial assets
related to regular-way sales which remain on the balance sheet until the settlement
date as assets in accordance with Article 429(4), point (a).’;
(176) in Article 430, paragraph 1, the following point (h) is added:
‘(h) their exposures to ESG risks.’;
(177) in Article 430a, paragraph 1 is replaced by the following:
EN 195 EN
‘1. Institutions shall report to their competent authorities on an annual basis the
following aggregate data for each national immovable property market to which they
are exposed:
(a) losses stemming from exposures for which an institution has recognised
residential property as collateral, up to the lower of the pledged amount and
55 % of the property value, unless otherwise decided under Article 124(7);
(b) overall losses stemming from exposures for which an institution has recognised
residential property as collateral, up to the part of the exposure that is secured
by residential property in accordance with Article 124(2), point (a);
(c) the exposure value of all outstanding exposures for which an institution has
recognised residential property as collateral limited to the part that is secured
by residential property in accordance with Article 124(2), point (a);
(d) losses stemming from exposures for which an institution has recognised
immovable commercial property as collateral, up to the lower of the pledged
amount and 55 % of the property value, unless otherwise decided under Article
124(7);
(e) overall losses stemming from exposures for which an institution has recognised
immovable commercial property as collateral, up to the part of the exposure
that is secured by immovable commercial property in accordance with Article
124(2), point (c);
(f) the exposure value of all outstanding exposures for which an institution has
recognised immovable commercial property as collateral limited to the part that
is secured by immovable commercial property in accordance with Article
124(2), point (c).’;
(178) Article 433 is replaced by the following:
‘Article 433
Frequency and scope of disclosures
Institutions shall disclose the information required under Titles II and III in the
manner set out in this Article, Articles 433a, 433b, 433c and 434.
EBA shall publish annual disclosures on its website on the same date as the date on
which institutions publish their financial statements or as soon as possible thereafter.
EBA shall publish semi-annual and quarterly disclosures on its website on the same
date as the date on which the institutions publish their financial reports for the
corresponding period where applicable or as soon as possible thereafter.
Any delay between the date of publication of the disclosures required under this Part
and the relevant financial statements shall be reasonable and, in any event, shall not
exceed the timeframe set by competent authorities pursuant to Article 106 of
Directive 2013/36/EU.’;
(179) in Article 433a(1), point (c), point (i) is replaced by the following:
‘(i) points (d), (da) and (h) of Article 438;’;
(180) in Article 433b(1), point (a) is amended as follows:
(a) point (ii) is replaced by the following:
EN 196 EN
‘(ii) points (c), (d) and (da) of Article 438;’;
(b) the following point (iv) is added:
‘(iv) points (c) and (d) of Article 442;’;
(181) in Article 433c, paragraph 2 is amended as follows:
(a) point (d) is replaced by the following:
‘(d) points (c), (d) and (da) of Article 438:’;
(b) the following point (g) is added:
‘(g) points (c) and (d) of Article 442.’;
(182) Article 434 is replaced by the following:
‘Article 434
Means of disclosures
1. Institutions other than small and non-complex institutions shall submit all the
information required under Titles II and III in electronic format to EBA no later than
the date on which institutions publish their financial statements or financial reports
for the corresponding period, where applicable, or as soon as possible thereafter.
EBA shall also publish the submission date of this information.
EBA shall ensure that the disclosures made on the EBA website contain the
information identical to what institutions submitted to EBA. Institutions shall have
the right to resubmit to EBA the information in accordance with the technical
standards referred to in Article 434a. EBA shall make available on its website the
date when the resubmission took place.
EBA shall prepare and keep up-to-date the tool that specifies the mapping of the
templates and tables for disclosures with those on supervisory reporting. The
mapping tool shall be accessible to the public on the EBA website.
Institutions may continue to publish a standalone document that provides a readily
accessible source of prudential information for users of that information or a
distinctive section included in or appended to the institutions' financial statements or
financial reports containing the required disclosures and being easily identifiable to
those users. Institutions may include in their website a link to the EBA website where
the prudential information is published on a centralised manner.
2. Large institutions and other institutions that are not large institutions or small and
non-complex institutions shall submit to EBA the disclosures referred to in Article
433a and Article 433c respectively, but not later than on the date of the publication
of financial statements or financial reports for the corresponding period or as soon as
possible thereafter. If disclosure is required to be made for a period when an
institution does not prepare any financial report, the institution shall submit to EBA
the information on disclosures as soon as practicable.
3. EBA shall publish on its website the disclosures of small and non-complex
institutions on the basis of the information reported by those institutions to
competent authorities in accordance with Article 430.
4. While ownership of the data and the responsibility for its accuracy remain with the
institutions that produce it, EBA shall make available on its website the information
required to be disclosed in accordance with this Part. That archive shall be kept
EN 197 EN
accessible for a period of time that shall be no less than the storage period set by
national law for information included in the institutions' financial reports.
5. EBA shall monitor the number of visits to its single access point on institutions’
disclosures and include the related statistics in its annual reports.’;
(183) Article 434a is amended as follows:
(a) the first sentence of the first paragraph is replaced by the following:
‘EBA shall develop draft implementing technical standards to specify uniform
disclosure formats, the associated instructions, information on the resubmission
policy and IT solutions for disclosures required under Titles II and III.’;
(b) the fourth sentence of the first paragraph is replaced by the following:
‘EBA shall submit those draft implementing technical standards to the
Commission by [OP please insert the date = one year after the entry into force
of this Regulation]’;
(184) Article 438 is amended as follows:
(a) point (b) is replaced by the following:
‘(b) the amount of the additional own funds requirements based on the
supervisory review process as referred to in Article 104(1), point (a), of
Directive 2013/36/EU to address risks other than the risk of excessive leverage
and its composition;’;
(a) point (d) is replaced by the following:
‘(d) the total risk exposure amounts as calculated in accordance with Article
92(3) and the corresponding own funds requirements as determined in
accordance with Article 92(2), to be broken down by the different risk or
exposure categories and sub-categories, as applicable, set out in Part Three and,
where applicable, an explanation of the effect on the calculation of own funds
and risk-weighted exposure amounts that results from applying capital floors
and not deducting items from own funds;’;
(c) the following point (da) is added:
‘(da) where required to calculate the following amounts, the un-floored total
risk exposure amount as calculated in accordance with Article 92(4), and the
standardised total risk exposure amount as calculated in accordance with
Article 92(5), to be broken down by the different risk categories and sub-
categories, as applicable, set out in Part Three and, where applicable, an
explanation of the effect on the calculation of own funds and risk-weighted
exposure amounts that results from applying capital floors and not deducting
items from own funds;’;
(185) Article 445 is replaced as follows:
‘Article 445
Disclosure of exposures to market risk under the standardised approach
1. Institutions that have not been granted a permission by competent authorities to
use the alternative internal market risk model approach as set out in Article 325az,
and that use the Simplified Standardised Approach in accordance with Article 325a
EN 198 EN
or Part Three, Title IV, Chapter 1a, shall disclose a general overview of their trading
book positions.
2. Institutions calculating their own funds requirements in accordance with Part
Three, Title IV, Chapter 1a, shall disclose their total own funds requirements, their
own funds requirements for the sensitivities-based methods, their default risk charge
and their own funds requirements for residual risks. The disclosure of own funds
requirements for the measures of the sensitivities-based methods and for the default
risk shall be broken down for the following instruments:
(a) financial instruments other than securitisation instruments held in the trading
book, with a breakdown by risk class, and a separate identification of the
default risk own funds requirements;
(b) securitisation instruments not held in the ACTP, with a separate identification
of the own funds requirements for credit spread risk and of the own funds
requirements for default risk;
(c) securitisation instruments held in the ACTP, with a separate identification of
the own funds requirements for credit spread risk and of the own funds
requirements for default risk.’;
(186) The following Article 445a is inserted:
‘Article 445a
Disclosure of CVA risk
1. Institutions subject to the own fund requirements for CVA risk shall disclose the
following information:
(a) a general overview of their processes to identify, measure, hedge and monitor
their CVA risk;
(b) whether institutions meet all the conditions set out in Article 273a(2); where
those conditions are met, whether institutions have chosen to calculate the own
funds requirements for CVA risk using the simplified approach set out in
Article 385; where institutions have chosen to calculate the own funds
requirements for CVA risk using the simplified approach, the own funds
requirements for CVA risk in accordance with that approach;
(c) the total number of counterparties for which the standardised approach is used,
with a breakdown by counterparty types.
2. Institutions using the standardised approach as defined in Article 383 for the
calculation of own funds requirements for CVA risk shall disclose, in addition to the
information referred to in paragraph 1, the following information:
(a) the structure and the organisation of the their internal CVA risk management
function and governance;
(b) their total own funds requirements for CVA risk under the standardised
approach with a breakdown by risk class;
(c) an overview of the eligible hedges used in that calculation, with a breakdown
per types as defined in Article 386(2).
3. Institutions using the basic approach as defined in Article 384 for the calculation
of own funds requirements for CVA risk shall also disclose, in addition to the
information referred to in paragraph 1, the following information:
EN 199 EN
(a) their total own funds requirements for CVA risk under the basic approach, and
the components 𝐵𝐴𝐶𝑉𝐴𝑡𝑜𝑡𝑎𝑙
and 𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−ℎ𝑒𝑑𝑔𝑒𝑑
;
(b) an overview of the eligible hedges used in this calculation, with a breakdown
per types as defined in Article 386(3).’;
(187) Article 446 is replaced by the following:
‘Article 446
Disclosure of operational risk
1. Institutions shall disclose the following information:
(a) the main characteristics and elements of their operational risk management
framework;
(b) their own funds requirement for operational risk;
(c) the business indicator component calculated in accordance with Article 313;
(d) the business indicator, calculated in accordance with Article 314(1), and the
amounts of each of the business indicator sub-items for each of the three years
relevant for the calculation of the business indicator;
(e) the number and amounts of business indicator items that were excluded from
the calculation of the business indicator in accordance with Article 315(2), as
well as the corresponding justifications for the exclusion.
2. Institutions that calculate their annual operational risk losses in accordance with
Article 316(1) shall disclose the following information in addition to the information
listed in paragraph 1:
(a) their annual operational risk losses for each of the last ten years, calculated in
accordance with Article 316(1);
(b) the number and amounts of operational risk losses that were excluded from the
calculation of the annual operational risk loss in accordance with Article
320(1), and the corresponding justifications for that exclusion.’;
(188) Article 447 is amended as follows:
(a) point (a) is replaced by the following:
‘(a) the composition of their own funds and their risk-based capital ratios as
calculated in accordance with Article 92(2);’;
(b) the following point (aa) is added:
‘(aa) where applicable, the risk-based capital ratios as calculated in accordance
with Article 92(2), by using un-floored total risk exposure amounts instead of
total risk exposure amounts;’;
(c) point (b) is replaced by the following:
‘(b) the total risk exposure amounts as calculated in accordance with Article
92(3) and, where applicable, the un-floored total risk exposure amounts as
calculated in accordance with Article 92(4);’;
(d) point (d) is replaced by the following:
‘(d) the combined buffer requirement which the institutions are required to
hold in accordance with Chapter 4 of Title VII of Directive 2013/36/EU;’;
EN 200 EN
(189) Article 449a is replaced by the following:
‘Article 449a
Disclosure of environmental, social and governance risks (ESG risks)
Institutions shall disclose information on ESG risks, including physical risks and
transition risks.
The information referred to in the first paragraph shall be disclosed on an annual
basis by small and non-complex institutions and on a semi-annual basis by other
institutions.
EBA shall develop draft implementing technical standards specifying uniform
disclosure formats for ESG risks, as laid down in Article 434a, ensuring that they are
consistent with and uphold the principle of proportionality.’ For small and non-
complex institutions, the formats shall not require disclosure of information beyond
the information required to be reported to competent authorities in accordance with
Article 430(1), point (h).’;
(190) in Article 451(1), the following point (f) is added:
‘(f) the amount of the additional own funds requirements based on the supervisory
review process as referred to in Article 104(1), point (a), of Directive 2013/36/EU to
address the risk of excessive leverage and its composition.’;
(191) Article 455 is replaced as follows:
‘Article 455
Use of internal models for market risk
1. An institution using the internal models referred to in Article 325az for the
calculation of own funds requirements for market risk shall disclose:
(a) the institution’s objectives in undertaking trading activities and the processes
implemented to identify, measure, monitor and control the institution’s market
risks;
(b) the policies referred to in Article 104(1) for determining which position is to be
included in the trading book;
(c) a general description of the structure of the trading desks covered by the
internal models referred to in Article 325az, including for each desk a broad
description of the desk's business strategy, the instruments permitted therein
and the main risk types in relation to that desk;
(d) a general overview of the trading book positions not covered by the internal
models referred to in Article 325az, including a general description of the desk
structure and of type of instruments included in the desks or in the desks
categories in accordance with Article 104b;
(e) the structure and organisation of the market risk management function and
governance;
(f) the scope, the main characteristics and the key modelling choices of the
different internal models referred to in Article 325az used to calculate the risk
exposure amounts for the main models used at the consolidated level, and a
description to what extent those internal models represent all the models used
at the consolidated level, including where applicable:
EN 201 EN
(i) a broad description of the modelling approach used to calculate the
expected shortfall referred to in Article 325ba(1), point (a), including the
frequency of data update;
(ii) a broad description of the methodology used to calculate the stress
scenario risk measure referred to in Article 325ba(1), point (b), other than
the specifications provided for in Article 325bk(3);
(iii) a broad description of the modelling approach used to calculate the
default risk charge referred to in Article 325ba(2), including the
frequency of data update.
2. Institutions shall disclose on an aggregate basis for all the trading desks covered
by the internal models referred to in Article 325az the following components, where
applicable:
(a) the most recent value as well as the highest, lowest and mean value for the
previous 60 business days of:
(i) the unconstrained expected shortfall measure as defined in Article
325bb(1);
(ii) the unconstrained expected shortfall measure as defined in Article
325bb(1) for each regulatory broad risk factor category;
(b) the most recent value as well as the mean value for the previous 60 business
days of:
(i) the expected shortfall risk measure as defined in Article 325bb(1);
(ii) the stress scenario risk measure as defined in Article 325ba(1), point (b);
(iii) the own funds requirement for default risk as defined in Article 325ba(2);
(iv) the sum of the own funds requirements as defined in Articles 325ba(1)
and 325ba(2), including the applicable multiplier factor;
(c) the number of backtesting overshootings over the last 250 business days at the
99th percentile as referred to in Article 325bf(1), points (a) and (b), separately.
4. Institutions shall disclose on an aggregate basis for all trading desks the own funds
requirements for market risks that would be calculated in accordance with this Title,
Chapter 1a, had the institutions not been granted any permission to use their internal
models for those trading desks.’;
(192) Article 458 is amended as follows:
(a) paragraph 6 is replaced by the following:
‘6. Where Member States recognise the measures set in accordance with this
Article, they shall notify the ESRB. The ESRB shall forward such notifications
without delay to the Council, the Commission, the EBA, the ESRB and the
Member State authorised to apply the measures.’;
(b) paragraph 9 is replaced by the following:
‘9. Before the expiry of the authorisation issued in accordance with paragraphs
and 4, the Member State concerned shall, in consultation with the ESRB, and
the EBA and the Commission, review the situation and may adopt, in
accordance with the procedure referred to in paragraphs 2 and 4, a new
EN 202 EN
decision for the extension of the period of application of national measures for
up to two additional years each time.’;
(193) Article 461a is replaced by the following:
‘Article 461a
Own funds requirement for market risks
‘The Commission shall monitor the implementation of the international standards on
own funds requirements for market risk in third countries. Where significant
differences between the Union implementation and third countries’ implementation
of those international standards are observed, including as regards the impact of the
rules in terms of own funds requirements and as regards their entry into application,
the Commission shall be empowered to adopt a delegated act in accordance with
Article 462 to amend this Regulation by:
(a) applying, where necessary to deliver a level playing field, a multiplier equal to
or greater than 0 and lower than 1 to the institutions’ own funds requirements
for market risk, calculated for specific risk classes and specific risk factors
using one of the approaches referred to in Article 325(1), and laid out in:
(i) Articles 325c to 325ay, specifying the alternative standardised approach;
(ii) Articles 325az to 325bp, specifying the alternative internal model
approach;
(iii) Articles 326 to 361, specifying the simplified standardised approach, to
offset those observed differences between the third countries rules and
Union law;
(b) postponing by two years the date from which institutions shall apply the own
funds requirements for market risk set out in Part Three, Title IV, or any of the
approaches to calculate the own funds requirements for market risk referred to
in Article 325(1).’;
(194) the following Article 461b is inserted:
‘Article 461b
Prudential treatment of crypto assets
By 31 December 2025, the Commission shall review whether a dedicated prudential
treatment should be developed for exposures to crypto assets, and shall, after
consulting EBA and taking into account international
(195) developments, submit a report to the European Parliament and to the Council,
together with a legislative proposal, where appropriate.’Article 462 is amended as
follows:
(a) paragraphs 2 and 3 are replaced by the following:
‘2. The power to adopt delegated acts referred to in Articles 244(6) and 245(6),
in Articles 456 to 460 and in Articles 461a and 461b shall be conferred on the
Commission for an indeterminate period of time from 28 June 2013.
3. The delegation of power referred to in Articles 244(6) and 245(6), in
Articles 456 to 460 and in Article 461a and 461b may be revoked at any time
by the European Parliament or by the Council. A decision to revoke shall put
an end to the delegation of the power specified in that decision. It shall take
EN 203 EN
effect the day following the publication of the decision in the Official Journal
of the European Union or at a later date specified therein. It shall not affect the
validity of the delegated acts already in force.’;
(b) paragraph 6 is replaced by the following:
‘6. A delegated act adopted pursuant to Articles 244(6) and 245(6), Articles
456 to 460 and Articles 461a and 461b shall enter into force only if no
objection has been expressed by the European Parliament or the Council within
a period of three months of notification of that act to the European Parliament
and the Council or if, before the expiry of that period, the European Parliament
and the Council have both informed the Commission that they will not object.
That period shall be extended by three months at the initiative of the European
Parliament or of the Council.’;
(196) Article 465 is replaced by the following:
‘Article 465
Transitional arrangements for the output floor
1. By way of derogation from Article 92, paragraphs 3 and 6, parent institutions,
parent financial holding companies, parent mixed financial holding companies,
stand-alone institutions in the EU or stand-alone subsidiary institutions in Member
States may apply the following factor ‘x’ where calculating TREA:
(a) 50 % during the period from 1 January 2025 to 31 December 2025;
(b) 55 % during the period from 1 January 2026 to 31 December 2026;
(c) 60 % during the period from 1 January 2027 to 31 December 2027;
(d) 65 % during the period from 1 January 2028 to 31 December 2028;
(e) 70 % during the period from 1 January 2029 to 31 December 2029;
2. By way of derogation from Article 92(3), point (a), EU parent institutions, EU
parent financial holding companies or an EU parent mixed financial holding
companies, stand-alone institutions in the EU or stand-alone subsidiary institutions in
Member States may, until 31 December 2029, apply the following formula when
calculating TREA:
TREA = min{max {U-TREA; x ∙ S-TREA}; 125% ∙ U-TREA}
For the purposes of that calculation, EU parent institutions, EU parent financial
holding companies or an EU parent mixed financial holding companies shall take
into account the relevant factors ‘x’ referred to in paragraph 1.
3. By way of derogation from Article 92(5)(a), point (i), parent institutions, parent
financial holding companies or parent mixed financial holding companies, stand-
alone institutions in the EU or stand-alone subsidiary institutions in Member States
may, until 31 December2032, assign a risk weight of 65 % to exposures to corporates
for which no credit assessment by a nominated ECAI is available provided that that
entity estimates the PD of those exposures, calculated in accordance with Part Three,
Title II, Chapter 3, is no higher than 0,5 %.
EBA shall monitor the use of the transitional treatment laid down in the first
subparagraph and the availability of credit assessments by nominated ECAIs for
exposures to corporates. EBA shall report its findings to the Commission by 31
December 2028.
EN 204 EN
On the basis of that report and taking due account of the related internationally
agreed standards developed by the BCBS, the Commission shall, where appropriate,
submit to the European Parliament and to the Council a legislative proposal by 31
December 2031.
4. By way of derogation from Article 92(5)(a), point (iv), parent institutions, parent
financial holding companies or parent mixed financial holding companies, stand-
alone institutions in the EU or stand-alone subsidiary institutions in Member States
shall, until 31 December 2029, replace alpha by 1 in the calculation of the exposure
value for the contracts listed in Annex II in accordance with the approaches set out in
Part Three, Title II, Chapter 6, Sections 3 and 4, where the same exposure values are
calculated in accordance with the approach set out in Part Three, Title II, Chapter 3,
Section 6 for the purposes of the total un-floored risk exposure amount.
The Commission may, having taken into account the EBA report referred to in
Article 514, adopt a delegated act in accordance with Article 462 to permanently
modify the value of alpha, where appropriate.
5. By way of derogation from Article 92(5)(a), point (i), Member States may, allow
parent institutions, parent financial holding companies or parent mixed financial
holding companies, stand-alone institutions in the EU or stand-alone subsidiary
institutions in Member States to assign the following risk weights provided that all
the conditions in the second subparagraph are met.
(a) until 31 December 2032, a risk weight of 10 % to the part of the exposures
secured by mortgages on residential property up to 55 % of the property value
remaining after any senior or pari passu ranking liens not held by the institution
have been deducted,
(b) until 31 December 2029, a risk weight of 45% to any remaining part of the
exposures secured by mortgages on residential property up to 80 % of the
property value remaining after any senior or pari passu ranking liens not held
by the institution have been deducted, provided that the adjustment to own
funds requirements for credit risk referred to in Article 501 is not applied.
For the purposes of assigning the risk weights in accordance with the first
subparagraph, all of the following conditions shall be met:
(a) the qualifying exposures are located in the Member State that has exercised the
discretion;
(b) over the last six years the institution’s losses on the part of such exposures up
to 55 % of the property value do not exceed on average 0,25 % of the total
amount, across all such exposures, of credit obligations outstanding in a given
year;
(c) for the qualifying exposures the institution has both the following claims in the
event of the default or non-payment of the obligor:
(i) a claim on the residential immovable property securing the exposure;
(ii) a claim on the other assets and income of the obligor;
(d) the competent authority has verified that the conditions in points (a), (b) and (c)
are met.
Where the discretion referred to in the first subparagraph has been exercised and all
the associated conditions in the second subparagraph are met, institutions may assign
EN 205 EN
the following risk weights to the remaining part of the exposures referred to in the
second subparagraph, point (b), until 31 December 2032:
(a) 52,5 % during the period from 1 January 2030 to 31 December 2030;
(b) 60 % during the period from 1 January 2031 to 31 December 2031;
(c) 67,5 % during the period from 1 January 2032 to 31 December 2032.
When Member States exercise that discretion, they shall notify EBA and substantiate
their decision. Competent authorities shall notify the details of all the verifications
referred to in the first subparagraph, point (c), to EBA.
EBA shall monitor the use of the transitional treatment in the first subparagraph and
report to the Commission by 31 December 2028 on the appropriateness of the
associated risk weights.
On the basis of that report and taking due account of the related internationally
agreed standards developed by the BCBS, the Commission shall, where appropriate,
submit to the European Parliament and to the Council a legislative proposal by 31
December 2031.’;
(197) the following Article 494d is inserted:
‘Article 494d
Reversal from the IRB Approach to the Standardised Approach
By way of derogation from Article 149, paragraphs 1, 2 and 3, an institution may
from 1 January 2025 until 31 December 2027, revert to the Standardised Approach
for one or more of the exposure classes provided for in Article 147(2), where all the
following conditions are met:
(a) the institution was already on [OP please insert date = one day before the date
of entry into force of this amending Regulation] in existence and authorised by
its competent authority to treat those exposure classes under the IRB
Approach;
(b) the institution requests a reversal to the Standardised Approach only once
during that three year period;
(c) the request to revert to the Standardised Approach is not made with a view to
engage in regulatory arbitrage;
(d) the institution has formally notified the competent authority that it wishes to
revert to the Standardised Approach for those exposure classes at least six
months before it effectively does revert to that approach;
(e) the competent authority has not objected to the institution’s request to such
reversal within three months from the reception of the notification referred to
in point (d).’;
(198) Article 495 is replaced by the following:
‘Article 495
Treatment of equity exposures under the IRB Approach
1. By way of derogation from Article 107(1), second subparagraph, institutions that
have received the permission to apply the Internal Ratings Based Approach to
calculate the risk weighted exposure amount for equity exposures shall, until 31
EN 206 EN
December 2029, calculate the risk weighted exposure amount for each equity
exposure for which they have received the permission to apply the Internal Ratings
Based Approach as the higher of the following:
(a) the risk weighted exposure amount calculated in accordance with Article 495a,
paragraphs 1 and 2;
(b) the risk weighted exposure amount calculated under this Regulation as it stood
prior to [OP please insert the date = date of entry into force of this amending
Regulation]
2. Instead of applying the treatment laid down in paragraph 1, institutions that have
received the permission to apply the Internal Ratings Based Approach to calculate
the risk weighted exposure amount for equity exposures may choose to apply the
treatment set out in Article 133 and the transitional arrangements in Article 495a to
all of their equity exposures at any time until 31 December 2029.
For the purposes of this paragraph, the conditions to revert to the use of less
sophisticated approaches laid down in Article 149 shall not apply.
3. Institutions applying the treatment laid down in paragraph 1 shall calculate EL in
accordance with Article 158, paragraphs 7, 8 or 9, as applicable, as those paragraphs
stood on 1 January 2021.
4. Where institutions request the permission to apply the IRB Approach to calculate
the risk weighted exposure amount for equity exposures, competent authorities shall
not grant such permission after [OP please insert the date = date of application of this
Regulation].’;
(199) the following Articles 495a, 495b and 495d are inserted:
‘Article 495a
Transitional arrangements for equity exposures
1. By way of derogation from the treatment laid down in Article 133(3), equity
exposures shall be assigned the following risk-weights:
(a) 100 % during the period from 1 January 2025 to 31 December 2025;
(b) 130 % during the period from 1 January 2026 to 31 December 2026;
(c) 160 % during the period from 1 January 2027 to 31 December 2027;
(d) 190 % during the period from 1 January 2028 to 31 December 2028;
(e) 220 % during the period from 1 January 2029 to 31 December 2029.
2. By way of derogation from the treatment laid down in Article 133(4), equity
exposures shall be assigned the following risk-weights:
(a) 100 % during the period from 1 January 2025 to 31 December 2025;
(b) 160 % during the period from 1 January 2026 to 31 December 2026;
(c) 220 % during the period from 1 January 2027 to 31 December 2027;
(d) 280 % during the period from 1 January 2028 to 31 December 2028;
(e) 340 % during the period from 1 January 2029 to 31 December 2029.
3. By way of derogation from Article 133, institutions may continue to assign the
same risk weight that was applicable as of [OP please insert the date = one day
EN 207 EN
before the date of entry into force of this amending Regulation] to equity exposures
to entities of which they have been a shareholder at [adoption date] for six
consecutive years and over which they exercise significant influence in the meaning
of Directive 2013/34/EU, or the accounting standards to which an institution is
subject under Regulation (EC) No 1606/2002, or a similar relationship between any
natural or legal person and an undertaking.
Article 495b
Transitional arrangements for specialised lending exposures
1. By way of derogation from Article 161(4), the LGD input floors applicable to
specialised lending exposures treated under the IRB Approach where own estimates
of LGDs are used, shall be the applicable LGD input floors provided for in Article
161(4), multiplied by the following factors:
(a) 50 % during the period from 1 January 2025 to 31 December 2027;
(b) 80 % during the period from 1 January 2028 to 31 December 2028;
(c) 100 % during the period from 1 January 2029 to 31 December 2029.
2. EBA shall prepare a report on the appropriate calibration of risk parameters
applicable to specialised lending exposures under the IRB Approach, and in
particular on own estimates of LGD and LGD input floors. EBA shall in particular
include in its report data on average numbers of defaults and realised losses observed
in the Union for different samples of institutions with different business and risk
profiles.
EBA shall submit the report on its findings to the European Parliament, to the
Council, and to the Commission, by 31 December 2025.
On the basis of that report, the Commission shall be empowered to amend this
Regulation by adopting a delegated act, where appropriate, in accordance with
Article 462, to amend the treatment applicable to specialised lending exposures
under Part Three, Title II.’;
Article 495c
Transitional arrangements for leasing exposures as a CRM technique
1. By way of derogation from Article 230, the applicable value of Hc corresponding
to ‘other physical collateral’ for the exposures referred to in Article 199(7) where the
property leased corresponds to the ‘other physical collateral’ type of funded credit
protection, shall be the value of Hc for ‘other physical collateral’ provided for in
Article 230(2), Table 1, multiplied by the following factors:
(a) 50 % during the period from 1 January 2025 to 31 December 2027;
(b) 80 % during the period from 1 January 2028 to 31 December 2028;
(c) 100 % during the period from 1 January 2029 to 31 December 2029.
2. EBA shall prepare a report on the appropriate calibrations of risk parameters
associated with leasing exposures under the IRB Approach, and in particular on the
LGDs and Hc provided for in Article 230. EBA shall in particular include in its report
data on average numbers of defaults and realised losses observed in the Union for
exposures associated with different types of leased properties and different types of
institutions practicing leasing activities.
EN 208 EN
EBA shall submit the report on its finding to the European Parliament, to the
Council, and to the Commission, by 30 June 2026.
On the basis of that report, the Commission shall be empowered to amend this
Regulation by adopting a delegated act, where appropriate, in accordance with
Article 462, to amend the treatment applicable to exposures arising from leasing
under Part Three, Title II.’;
Article 495d
Transitional arrangements for unconditional cancellable commitments
1. By way of derogation from Article 111(2), institutions shall calculate the exposure
value of an off-balance sheet item in the form of unconditionally cancellable
commitment by multiplying the percentage provided for in that Article by the
following factors:
(a) 0 % during the period from 1 January 2025 to 31 December 2029;
(b) 25 % during the period from 1 January 2030 to 31 December 2030;
(c) 50 % during the period from 1 January 2031 to 31 December 2031;
(d) 75 % during the period from 1 January 2032 to 31 December 2032.
2. EBA shall prepare a report to assess whether the derogation referred to in
paragraph 1, point (a), should be extended beyond 31 December 2032 and, where
necessary, the conditions under which that derogation should be maintained.
EBA shall submit the report on its finding to the European Parliament, to the
Council, and to the Commission, by 31 December 2028.
On the basis of that report and taking due account of the related internationally
agreed standards developed by the BCBS, the Commission shall, where appropriate,
submit to the European Parliament and to the Council a legislative proposal by 31
December 2031.’;
(200) in Article 501(2), point (b) is replaced by the following:
‘(b) an SME shall have the meaning laid down in Article 5, point (8);’;
(201) Article 501a(1) is amended as follows:
(a) point (a) is replaced by the following:
‘(a) the exposure is assigned to the corporate exposure class referred to either
in Article 112, point (g), or in Article 147(2), point (c), with the exclusion of
exposures in default;’;
(b) point (f) is replaced by the following:
‘(f) the refinancing risk of the exposure by the obligor is low or adequately
mitigated, taking into account any subsidies, grants or funding provided by one
or more of the entities listed in paragraph 2, points (b)(i) and (b)(ii);’;
(202) Article 501c,is replaced by the following:
EN 209 EN
‘Article 501c
Prudential treatment of exposures to environmental and/or social factors
EBA, after consulting the ESRB, shall, on the basis of available data and the findings
of the Commission High-Level Expert Group on Sustainable Finance, assess whether
a dedicated prudential treatment of exposures related to assets, including
securitisations, or activities subject to impacts from environmental and/or social
factors would be justified. In particular, EBA shall assess:
(a) methodologies for the assessment of the effective riskiness of exposures related
to assets and activities subject to impacts from environmental and/or social
factors compared to the riskiness of other exposure;
(b) the development of appropriate criteria for the assessment of physical risks and
transition risks, including the risks related to the depreciation of assets due to
regulatory changes;
(c) the potential short, medium and long-term effects of a dedicated prudential
treatment of exposures related to assets and activities subject to impacts from
environmental and/or social factors on financial stability and bank lending in
the Union.
EBA shall submit a report on its findings to the European Parliament, to the Council
and to the Commission by 28 June 2023.’;
(203) Articles 505 and 506 are replaced by the following:
‘Article 505
Review of agricultural financing
By 31 December 2030, EBA shall report to the Commission on the impact of the
requirements of this Regulation on agricultural financing.
Article 506
Credit risk – credit insurance
By 31 December 2026, EBA shall report to the Commission on the eligibility and use
of policy insurance as credit risk mitigation techniques and on the appropriateness of
the associated risk parameters referred to in Part Three, Title II, Chapter 3 and 4.
Based on the report by EBA, the Commission shall be empowered to amend this
Regulation by adopting a delegated act, where appropriate, in accordance with
Article 462, to amend the treatment applicable to credit insurance referred to in Part
Three, Title II.’;
(204) the following Article 506c is inserted:
‘Article 506c
Credit risk – interaction between Common equity Tier 1 reductions and credit risk
parameters
By 31 December 2026, EBA shall report to the Commission on the consistency
between the current measurement of credit risk and the individual credit risk
parameters and on the treatment of any adjustments for the purpose of the
computation of the IRB shortfall or excess as referred to in Article 159, and on its
consistency with the determination of the exposure value in accordance with Article
166 of this Regulation and with the LGD estimation. The report shall consider the
maximum possible economic loss arising from a default event along with its
EN 210 EN
achieved coverage in terms of Common equity Tier 1 capital reductions, taking into
account any accounting-based Common equity Tier 1 capital reductions, including
from expected credit losses or fair value adjustments, and any discounts on received
exposures, and their implications for regulatory deductions.’;
(205) the following Articles 519c and 519d are inserted:
‘Article 519c
Minimum haircut floors framework for SFTs
EBA, in close cooperation with ESMA, shall, by [OP please insert the date = 12
months after entry into force of this Regulation], report to the Commission on the
appropriateness of implementing in Union law the minimum haircut floors
framework applicable to SFTs to address the potential build-up of leverage outside
the banking sector.
The report referred to in the first sub-paragraph shall consider all of the following:
(a) the degree of leverage outside the banking system in the Union and to which
extent the minimum haircut floors framework could reduce that leverage if that
leverage would become excessive;
(b) the materiality of the SFTs held by EU institutions and subject to the minimum
haircut floors framework, including the breakdown of those SFTs which do not
comply with the minimum haircut floors;
(c) the estimated impact of the minimum haircut floors framework for EU
institutions under the two implementation approaches recommended by the
FSB that is a market regulation or a more punitive own funds requirement
under this Regulation, under a scenario under which EU institutions would not
adjust the haircuts of their SFTs to comply with the minimum haircut floors
and an alternative scenario under which they would adjust those haircuts to
comply with the minimum haircut floors;
(d) the main drivers behind those estimated impacts, as well as potential
unintended consequences of introducing the minimum haircut floors
framework on the functioning of the EU SFT markets;
(e) the implementation approach that would be the most effective to meet the
regulatory objectives of the minimum haircut floor framework, in light of the
considerations laid down in points (a) to (d) and taking into account the level
playing field across the financial sector in the Union.
On the basis of that report and taking due account of the FSB recommendation to
implement the minimum haircut floors framework applicable to SFTs, as well as the
related internationally agreed standards developed by the BCBS, the Commission
shall, where appropriate, submit to the European Parliament and to the Council a
legislative proposal by [OP please insert the date = 24 months after entry into force
of this Regulation].
Article 519d
Operational risk
By [OP please insert the date = 60 months after date of application of Part Three,
Title III], the EBA shall report to the Commission on all of the following:
EN 211 EN
(a) the use of insurance in the context of the calculation of the own funds
requirements for operational risk;
(b) whether the recognition of insurance recoveries may allow for regulatory
arbitrage by reducing the annual operational risk loss without a commensurate
reduction in the actual operational loss exposure;
(c) whether the recognition of insurance recoveries has a different impact on the
appropriate coverage of recurring losses and of potential tail losses,
respectively.
On the basis of that report, the Commission shall, where appropriate, submit to the
European Parliament and to the Council a legislative proposal by [OP please insert
the date = 72 months after date of application of Part Three, Title III].’;
(206) Annex I is replaced by the Annex to this Regulation.
Article 2
Entry into force and date of application
1. This Regulation shall enter into force on the twentieth day following that of its
publication in the Official Journal of the European Union.
2. This Regulation shall apply from 1 January 2025, with the following exceptions:
(a) the provisions in points (1)(a), (b) and(c), (e) to (h), (j), (u), (v) and (x)
concerning certain definitions, the provisions in point (6) concerning the scope
of prudential consolidation as well as the provisions in points (8), (10) to (12),
and (14) to (23) concerning own funds and eligible liabilities, which shall
apply from [OP please insert date = 6 months after date of entry into force of
this Regulation];
(b) the provisions in points (1)(d) and (4) concerning amendments in accordance
with Regulation (EU) 2019/2033, and the provisions in point (47) concerning
to the treatment of exposures in default, which shall apply from the date of
entry into force of this Regulation;
(c) the provisions in points (9), (26)(a), (27), (28)(a), (29), (34), (41), (42), (44),
(47), (54), (59)(c) (60)(c), (61)(g) and (h), (64)(c), 66(d), (69), (81), (85)(b),
(90)(c), (91)(c), (92)(c), (131), (132)(b), (136)(d), (153), (154)(d), (155)(c),
(156)(b), (166)(c), (169), (178), (182), (183), (189), (192), (194), (196), (199),
(201) to (205) that require European Supervisory Authorities or the ESRB to
submit to the Commission draft regulatory or implementing technical standards
and reports, the provisions that require the Commission to produce reports, the
provisions that empower the Commission to adopt delegated acts or
implementing acts, the provisions on review and the provisions that require the
European Supervisory Authorities to issue guidelines, which shall apply from
the date of entry into force of this Regulation.
EN 212 EN
This Regulation shall be binding in its entirety and directly applicable in the Member States in
accordance with the Treaties.
Done at Brussels,
For the European Parliament For the Council
The President The President


DA DA
EUROPA-
KOMMISSIONEN
Bruxelles, den 27.10.2021
COM(2021) 664 final
2021/0342 (COD)
Forslag til
EUROPA-PARLAMENTETS OG RÅDETS FORORDNING
om ændring af forordning (EU) nr. 575/2013 for så vidt angår krav vedrørende
kreditrisiko, kreditværdijusteringsrisiko, operationel risiko, markedsrisiko og den nedre
grænse for output
(EØS-relevant tekst)
{SWD(2021) 320} - {SWD(2021) 321} - {SEC(2021) 380}
Offentligt
KOM (2021) 0664 - Forslag til forordning
Europaudvalget 2021
DA 1 DA
BEGRUNDELSE
1. BAGGRUND FOR FORSLAGET
• Forslagets begrundelse og formål
Forslaget til ændring af forordning (EU) nr. 575/2013 (kapitalkravsforordningen eller CRR)
er en del af en lovgivningspakke, der også omfatter ændringer af direktiv 2013/36/EU
(kapitalkravsdirektivet eller CRD)1
.
Som reaktion på den globale finanskrise i 2008-2009 ("finanskrisen") gennemførte Unionen
væsentlige reformer af tilsynsrammen for banker for at øge disses modstandsdygtighed og
derved bidrage til at forhindre, at en lignende krise ville opstå på ny. Disse reformer var i vid
udstrækning baseret på internationale standarder vedtaget af Baselkomitéen for Banktilsyn
(BCBS)2
siden 2010. Standarderne kaldes tilsammen Basel III-standarderne, Basel III-
reformerne eller Basel III-rammen3
.
De globale standarder, som BCBS har udviklet, er blevet stadig vigtigere som følge af
banksektorens stadig mere globale og indbyrdes forbundne karakter. En globaliseret
banksektor fremmer international handel og internationale investeringer, men skaber også
mere komplekse finansielle risici. Uden ensartede globale standarder kunne bankerne vælge at
etablere deres aktiviteter inden for den jurisdiktion, der har de mest lempelige regulerings- og
tilsynsordninger. Dette kunne føre til et kapløb mod bunden om at tiltrække
bankvirksomheder og samtidig øge risikoen for global finansiel ustabilitet. International
koordinering af globale standarder begrænser i vid udstrækning denne form for risikobetonet
konkurrence og er afgørende betydning for at kunne bevare finansiel stabilitet i en globaliseret
verden. Globale standarder forenkler desuden livet for banker med internationale aktiviteter
— herunder et betragteligt antal EU-banker — idet de garanterer, at der anvendes stort set de
samme regler i de vigtigste finansielle knudepunkter i hele verden.
EU har været en central fortaler for internationalt samarbejde på bankreguleringsområdet. Det
første sæt reformer efter krisen, som er en del af Basel III-rammen, er blevet gennemført i to
trin:
 i juni 2013 med vedtagelsen af CRR4
og CRD IV5
 i maj 2019 med vedtagelsen af forordning (EU) 2019/8766
, også kaldet CRR II, og
direktiv (EU) 2019/878, også kaldet CRD V7
.
1
COM(2021) 663 final.
2
Medlemmerne af BCBS består af centralbanker og banktilsynsmyndigheder fra 28 jurisdiktioner i hele
verden. For så vidt angår EU-medlemsstaterne er Belgien, Tyskland, Spanien, Frankrig, Italien,
Luxembourg og Nederlandene samt Den Europæiske Centralbank medlemmer af Baselkomiteen.
Europa-Kommissionen og EBA deltager i BCBS's møder som observatører.
3
Den konsoliderede Basel III-ramme kan tilgås på https://www.bis.org/bcbs/publ/d462.htm.
4
Europa-Parlamentets og Rådets forordning (EU) nr. 575/2013 af 26. juni 2013 om tilsynsmæssige krav
til kreditinstitutter og investeringsselskaber og om ændring af forordning (EU) nr. 648/2012 (EUT L
321 af 27.6.2013, s. 6).
5
Europa-Parlamentets og Rådets direktiv 2013/36/EU af 26. juni 2013 om adgang til at udøve
virksomhed som kreditinstitut og om tilsyn med kreditinstitutter og investeringsselskaber, om ændring
af direktiv 2002/87/EF og om ophævelse af direktiv 2006/48/EF og 2006/49/EF (EUT L 176 af
27.6.2013, s. 338).
6
Europa-Parlamentets og Rådets forordning (EU) 2019/876 af 20. maj 2019 om ændring af forordning
(EU) nr. 575/2013 for så vidt angår gearingsgrad, net stable funding ratio, krav til kapitalgrundlag og
nedskrivningsrelevante passiver, modpartskreditrisiko, markedsrisiko, eksponeringer mod centrale
DA 2 DA
De reformer, der er gennemført indtil nu, har fokuseret på at øge kvaliteten og kvantiteten af
den lovpligtige kapital, som bankerne skal besidde til dækning af potentielle tab. De har
desuden haft til formål at reducere overdreven gearing hos bankerne, øge institutternes8
modstandsdygtighed over for kortsigtede likviditetschok, mindske deres afhængighed af
kortfristet finansiering, mindske deres koncentrationsrisiko og imødegå "too big to fail"-
problemer9
.
De nye regler styrkede dermed kriterierne vedrørende lovpligtig kapital, ligesom
minimumskapitalkravene blev sat op, og der indførtes nye krav vedrørende
kreditværdijusteringsrisiko10
og eksponeringer mod centrale modparter11
. Derudover blev der
indført en række nye tilsynsforanstaltninger: et minimumskrav til gearingsgrad, en kortsigtet
likviditetsgrad (kendt som likviditetsdækningsgraden), en langsigtet stable funding ratio
(kendt som net stable funding ratio), grænser for store eksponeringer12
og makroprudentielle
kapitalbuffere13
.
Takket være dette første sæt EU-reformer14
er EU's banksektor blevet betydeligt mere
modstandsdygtig over for økonomiske chok og kom ind i covid-19-krisen i en betydeligt mere
stabil forfatning, end den var i ved finanskrisens begyndelse.
Desuden traf tilsynsmyndighederne og lovgiverne midlertidige hjælpeforanstaltninger i
starten af covid-19-krisen. I sin fortolkende meddelelse om anvendelsen af de regnskabs- og
tilsynsmæssige rammer til at fremme banklångivningen i EU — støtte til virksomheder og
husholdninger under covid-19 af 28. april 202015
bekræftede Kommissionen den fleksibilitet,
der er indbygget i tilsyns- og regnskabsreglerne, som fremhævet af de europæiske
tilsynsmyndigheder og internationale organer. På dette grundlag vedtog medlovgiverne i juni
2020 midlertidige ændringer af visse specifikke aspekter af tilsynsrammen — den såkaldte
"CRR-quick fix-pakke"16
. Sammen med resolutte penge- og finanspolitiske foranstaltninger17
modparter, eksponeringer mod kollektive investeringsordninger, store eksponeringer og indberetnings-
og oplysningskrav, og forordning (EU) nr. 648/2012.
7
Europa-Parlamentets og Rådets direktiv (EU) 2019/878 af 20. maj 2019 om ændring af direktiv
2013/36/EU, for så vidt angår fritagne enheder, finansielle holdingselskaber, blandede finansielle
holdingselskaber, aflønning, tilsynsforanstaltninger og -beføjelser og kapitalbevaringsforanstaltninger.
8
Oprindeligt fandt CRR anvendelse på både kreditinstitutter (dvs. banker) og investeringsselskaber, der
almindeligvis omtales som "institutter". Da forordning (EU) 2019/2033 trådte i kraft blev det personelle
anvendelsesområde for CRR — og med denne definitionen af "institut" — begrænset til at omfatte
kreditinstitutter og investeringsselskaber, der udøver visse typer af aktiviteter, og som skal have en
banktilladelse.
9
Jf. https://www.bis.org/publ/bcbs189.htm.
10
Kreditværdijustering er en regnskabsmæssig justering af prisen på et derivat med henblik på at tage
højde for modpartskreditrisiko.
11
Dette var de eneste væsentlige ændringer i den del af standarderne, der vedrører risikobaserede
kapitalkrav, som blev indført i forbindelse med første fase af Basel III-reformen.
12
Et minimumskrav vedrørende grænser for store eksponeringer var allerede en del af EU-lovgivningen,
men var et nyt element i Baselstandarderne.
13
Nærmere bestemt kapitalbevaringsbufferen (CCB), den kontracykliske kapitalbuffer (CCyB), den
systemiske buffer (SRB) og kapitalbuffere for globale og andre systemisk vigtige institutter
(henholdsvis G-SII og O-SII).
14
Dette første sæt reformer er også blevet gennemført i de fleste jurisdiktioner verden over, hvilket
fremgår af den 18. statusrapport om vedtagelsen af Baselregelsættet, som blev offentliggjort i juli 2020
(jf. https://www.bis.org/bcbs/publ/d506.htm).
15
Jf. https://ec.europa.eu/info/publications/200428-banking-package-communication_en.
16
Jf. https://eur-lex.europa.eu/legal-content/DA/TXT/PDF/?uri=CELEX:32020R0873&from=DA.
17
ESBR har indsamlet en omfattende liste over sådanne foranstaltninger — se "Policy measures in
response to the COVID-19 pandemic".
DA 3 DA
hjalp dette institutterne til at fortsætte långivningen til husholdninger og virksomheder under
pandemien. Dette bidrog igen til at afbøde det økonomiske chok18
som følge af pandemien.
Mens det overordnede kapitalniveau i EU's banksystem nu gennemsnitligt anses for at være
tilfredsstillende, er nogle af de problemer, der blev identificeret i kølvandet på finanskrisen,
dog endnu ikke blevet løst. Analyser foretaget af Den Europæiske Banktilsynsmyndighed
(EBA) og Den Europæiske Centralbank (ECB) har vist, at de kapitalkrav, der er beregnet af
institutter, som er etableret i Unionen, ved hjælp af interne modeller, var kendetegnet ved
betydelige indbyrdes forskelle, som ikke kunne begrundes i forskelle i de underliggende risici,
og som i sidste ende underminerer deres kapitalprocenters pålidelighed og
sammenlignelighed19
. Dertil kommer, at den manglende risikofølsomhed i kapitalkravene som
beregnet ved hjælp af standardmetoder resulterer i utilstrækkelige eller urimeligt høje
kapitalkrav for visse finansielle produkter eller aktiviteter (og dermed for bestemte
forretningsmodeller, der primært er baseret på dem). I december 2017 nåede man i BCBS til
enighed om et endeligt sæt reformer20
af de internationale standarder med det formål at løse
disse problemer. I marts 2018 hilste G20-finansministrene og centralbankcheferne disse
reformer velkommen og bekræftede gentagne gange deres tilsagn om fuldstændig, rettidig og
konsekvent gennemførelse heraf. I 2019 meddelte Kommissionen, at den havde til hensigt at
fremsætte et lovgivningsforslag med henblik på at gennemføre disse reformer i EU's
tilsynsramme21
.
Det forberedende arbejde med dette forslag er blevet forsinket af covid-19-pandemien.
Forsinkelsen afspejlede BCBS's beslutning af 26. marts 2020 om at forlænge de tidligere
aftalte frister for gennemførelsen af de sidste elementer i Basel III-reformen med et år. 22
På baggrund af ovenstående er der to overordnede målsætninger med dette
lovgivningsinitiativ: at bidrage til den finansielle stabilitet og til en stabil finansiering af
økonomien i forbindelse med genopretningen efter covid-19-krisen. Disse overordnede
målsætninger kan inddeles i fire mere specifikke mål:
1) at styrke de risikobaserede kapitalkravsregler uden betydelige stigninger i
kapitalkravene som helhed
2) at sætte øget fokus på ESG-risici i tilsynsrammen
3) at harmonisere tilsynsbeføjelser og -værktøjer yderligere og
4) at nedbringe institutternes administrative omkostninger i forbindelse med
offentliggørelser af oplysninger og forbedre adgangen til institutternes tilsynsdata.
1) Styrkelse af de risikobaserede kapitalkravsregler
18
ECB påviste i sin covid-19-sårbarhedsanalyse, som blev offentliggjort i juli 2020, at de største banker i
euroområdet ville have tilstrækkelig kapital til at modstå en kortvarig dyb recession, og at antallet af
banker med utilstrækkelige kapitalressourcer i tilfælde af en mere alvorlig recession ville være
begrænset (jf.
https://www.bankingsupervision.europa.eu/press/pr/date/2020/html/ssm.pr200728_annex~d36d893ca2.
en.pdf).
19
BCBS udførte lignende internationale undersøgelser, hvori der blev draget de samme konklusioner for
banker på verdensplan. Yderligere oplysninger kan findes her
https://www.bis.org/bcbs/implementation/rcap_thematic.htm.
20
Jf. https://www.bis.org/bcbs/publ/d424.htm.
21
Jf. https://ec.europa.eu/commission/presscorner/detail/en/SPEECH_19_6269.
22
Nærmere bestemt til den 1. januar 2023 som startdato for anvendelsen og til den 1. januar 2028 for fuld
anvendelse af de endelige elementer i reformen.
DA 4 DA
Den midlertidige økonomiske stresssituation har ikke ændret behovet for at gennemføre denne
strukturreform. Det er nødvendigt at fuldføre reformen for at tage højde for de udestående
spørgsmål og yderligere styrke den finansielle soliditet i institutter, der er etableret i EU,
således at de er bedre rustet til at understøtte økonomisk vækst og modstå potentielle
fremtidige kriser. Gennemførelsen af de udestående elementer i Basel III-reformen er også
nødvendig for at give institutterne den nødvendige reguleringsmæssige sikkerhed og fuldføre
den reform af tilsynsrammen, som har varet i 10 år. Endelig er fuldførelsen af reformen i
overensstemmelse med EU's tilsagn om reguleringssamarbejde på internationalt plan og de
konkrete foranstaltninger, som nogle af EU's partnere har bebudet eller allerede har truffet for
at gennemføre reformen rettidigt og korrekt.
2) Øget fokus på ESG-risici i tilsynsrammen
Et andet, lige så vigtigt reformbehov udspringer af Kommissionens igangværende arbejde
med overgangen til en bæredygtig økonomi. Kommissionens meddelelse om den europæiske
grønne aftale (en europæisk grøn pagt)23
og Kommissionens meddelelse om realisering af
EU's klimamål for 2030 ("Fit for 55")24
beskrev klart Kommissionens tilsagn om at omdanne
EU's økonomi til en bæredygtig økonomi og samtidig håndtere de uundgåelige konsekvenser
af klimaændringerne. Kommissionen bebudede også en strategi for finansiering af
omstillingen til en bæredygtig økonomi25
, som bygger på tidligere initiativer og rapporter,
såsom handlingsplanen for finansiering af bæredygtig vækst26
og rapporterne fra Den
Tekniske ekspertgruppe for Bæredygtig Finansiering27
, men styrker Kommissionens indsats
på dette område for at bringe dem i overensstemmelse med de ambitiøse mål i den europæiske
grønne pagt.
Bankbaseret formidling vil spille en særligt vigtig rolle i finansieringen af omstillingen til en
mere bæredygtig økonomi. Samtidig er det sandsynligt, at omstillingen til en mere bæredygtig
økonomi indebærer risici for bankerne, som de vil skulle håndtere korrekt for at sikre, at
risiciene for den finansielle stabilitet minimeres. Det er her, hvor der er behov for
tilsynsmæssige regulering, og hvor den kan spille en meget vigtig rolle. Strategien for
finansiering af omstillingen til en bæredygtig økonomi anerkender dette og fremhæver
behovet for at sikre en bedre integration af miljømæssige, sociale og ledelsesmæssige risici
(ESG-risici) i EU's tilsynsramme, da det vurderes, at de nuværende retlige krav alene ikke er
tilstrækkelige til at skabe incitamenter til en systematisk og ensartet styring af ESG-risici i
institutterne.
3) Yderligere harmonisering af tilsynsbeføjelser og -værktøjer
Korrekt håndhævelse af tilsynsreglerne udgør et andet fokusområde. Tilsynsmyndighederne
skal råde over de nødvendige værktøjer og beføjelser til dette formål (f.eks. beføjelser til at
meddele tilladelse til institutter og godkende deres aktiviteter, vurdere egnetheden af deres
ledelse eller pålægge dem sanktioner, hvis de overtræder reglerne). Mens EU-lovgivningen
sikrer et minimumsniveau for harmonisering, er der stor forskel på tilsynsværktøjerne og -
procedurerne på tværs af medlemsstaterne. Disse fragmenterede lovgivningsmæssige rammer
for fastlæggelsen af bestemte beføjelser og værktøjer, som tilsynsmyndighederne har adgang
til, og for anvendelsen heraf på tværs af medlemsstaterne underminerer de lige
23
Jf. https://eur-lex.europa.eu/legal-content/DA/TXT/?qid=1588580774040&uri=CELEX:52019DC0640.
24
Jf. https://eur-lex.europa.eu/legal-content/DA/TXT/?uri=COM:2021:550:FIN.
25
Jf. COM(2021) 390 final.
26
Jf. https://eur-lex.europa.eu/legal-content/DA/TXT/?uri=CELEX:52018DC0097.
27
Jf. https://ec.europa.eu/info/publications/sustainable-finance-high-level-expert-group_en.
DA 5 DA
konkurrencevilkår i det indre marked og sår tvivl om, hvorvidt EU's institutter styres på
forsvarlig og forsigtig vis, og om der føres tilsyn med disse. Dette problem er særligt akut i
forbindelse med bankunionen. Forskelle på tværs af 21 forskellige retssystemer forhindrer, at
Den Fælles Tilsynsmekanisme (FTM) kan varetage sine tilsynsfunktioner på en virkningsfuld
og effektiv måde. Derudover skal grænseoverskridende bankkoncerner håndtere en række
forskellige procedurer for det samme tilsynsmæssige spørgsmål, hvilket på ubehørig vis øger
deres administrative omkostninger.
Et andet vigtigt spørgsmål, nemlig manglen på en robust EU-ramme for tredjelandskoncerner,
der leverer banktjenester i EU, har fået en ny dimension efter brexit. Oprettelse af
tredjelandsfilialer (TCB'er) er primært underlagt national lovgivning og er kun i meget
begrænset omfang harmoniseret ved CRD. Det fremgår af en nyere rapport fra EBA28
, at dette
uensartede tilsynsmæssige landskab dels giver TCB'er betydelige muligheder for regel- og
tilsynsarbitrage ved udøvelsen af deres bankvirksomhed, dels resulterer i manglende tilsyn og
øgede risici for den finansielle stabilitet i EU.
Tilsynsmyndighederne mangler ofte de oplysninger og beføjelser, som er nødvendige for at
kunne håndtere disse risici. Manglen på detaljeret indberetning med henblik på tilsyn og den
utilstrækkelige udveksling af oplysninger mellem de myndigheder, der har ansvaret for at føre
tilsyn med en tredjelandskoncerns forskellige enheder/aktiviteter, efterlader blinde vinkler.
Unionen er den eneste større jurisdiktion, hvor den konsoliderende tilsynsmyndighed ikke har
et fuldstændigt billede af aktiviteterne i tredjelandskoncerner, der opererer gennem både
datterselskaber og filialer. Disse mangler har en negativ indvirkning på de lige
konkurrencevilkår blandt tredjelandskoncerner, som er aktive i forskellige medlemsstater,
samt i forhold til institutter med hovedsæde i Unionen.
4) Nedbringelse af institutternes administrative omkostninger i forbindelse med
offentliggørelser af oplysninger og bedre adgang til institutternes tilsynsdata
Dette forslag er også nødvendigt for yderligere at styrke markedsdisciplinen. Det er yderligere
et vigtigt redskab til at sikre, at investorerne kan varetage deres rolle med at overvåge
institutternes adfærd. For at kunne gøre dette skal de have adgang til de nødvendige
oplysninger. De nuværende vanskeligheder forbundet med adgangen til tilsynsoplysninger
hindrer markedet i at få adgang til de oplysninger, som de har brug for, om institutters
tilsynsmæssige situationer. Dette gør i sidste ende tilsynsrammen mindre virkningsfuld for
institutter og sår potentielt tvivl om banksektorens modstandsdygtighed, navnlig i perioder
med stress. Forslaget har derfor til formål at centralisere offentliggørelsen af
tilsynsoplysninger med henblik på at lette adgangen til tilsynsdata og sammenligneligheden
på tværs af brancher. Centraliseringen af offentliggørelsen af oplysninger i ét enkelt
adgangspunkt oprettet af EBA har tillige til formål at mindske den administrative byrde for
institutter, navnlig små og ikkekomplekse institutter.
• Sammenhæng med de gældende regler på samme område
En række elementer i forslagene om ændring af CRR og CRD udgør en opfølgning på det
arbejde, der er gjort på internationalt plan eller af EBA, mens andre tilpasninger af
tilsynsrammen er blevet nødvendige på grund af de praktiske erfaringer, der er gjort siden
28
Jf. EBA/REP/2021/20 (kan tilgås her). Ved CRD pålægges EBA at rapportere om eventuel
regelarbitrage som følge af den aktuelle forskelligartede behandling af TCB'er. Der gøres i rapporten
status over de nationale ordninger for TCB'er, og det bekræftes, at der fortsat er betydelige forskelle på,
hvordan disse filialer behandles på nationalt plan, og på omfanget af værtslandets tilsynsførendes
involvering.
DA 6 DA
gennemførelsen i national lovgivning og anvendelsen af CRD, bl.a. inden for rammerne af
FTM.
Med forslagene indføres der ændringer i den nuværende lovgivning, som er i fuld
overensstemmelse med gældende regler vedrørende tilsynsmæssig regulering af og tilsyn med
institutter. Gennemgangen af CRR og CRD har til formål at fuldføre gennemførelsen af Basel
III-reformen i Unionen samt at styrke og harmonisere tilsynsværktøjer og -beføjelser. Disse
foranstaltninger er nødvendige for yderligere at styrke banksektorens modstandsdygtighed.
• Sammenhæng med Unionens politik på andre områder
Der er gået næsten 10 år, siden EU's stats- og regeringschefer blev enige om at oprette en
bankunion. To søjler i bankunionen — fælles tilsyn og fælles afvikling — er på plads og
hviler på et solidt fundament bestående af et fælles regelsæt for alle institutter i Unionen.
Forslagene har til formål at sikre, at der også fremover vil være et fælles regelsæt for alle
institutter i Unionen, såvel i som uden for bankunionen. De overordnede mål med dette
initiativ er, som beskrevet ovenfor, i fuld overensstemmelse med EU's grundlæggende mål om
at fremme finansiel stabilitet, reducere sandsynligheden for og omfanget af skatteydernes
støtte, hvis et institut afvikles, og bidrage til harmonisk og bæredygtig finansiering af
økonomisk aktivitet, som er befordrende for et højt niveau af konkurrencedygtighed og
forbrugerbeskyttelse.
Endelig supplerer initiativet, med anerkendelsen af ESG-relaterede risici og indarbejdelsen af
ESG-elementer i tilsynsrammen, EU's mere overordnede strategi for et mere bæredygtigt og
modstandsdygtigt finansielt system. Det vil bidrage til den europæiske grønne pagts
målsætning om, at klimarisici skal styres og integreres i det finansielle system og de
strategiske indsatsområder, der er fastsat i rapporten om strategisk fremsyn fra 202129
.
2. RETSGRUNDLAG, NÆRHEDSPRINCIPPET OG
PROPORTIONALITETSPRINCIPPET
• Retsgrundlag
Forslaget indebærer foranstaltninger til at skabe den fornødne ramme for optag og udøvelse af
samt tilsyn med institutters virksomhed i Unionen med det formål at sikre det indre markeds
stabilitet. Størstedelen af finansieringen i det indre marked kommer fra banksektoren, hvilket
gør den til en af de grundlæggende komponenter i Unionens finansielle system. Unionen har
et klart mandat til at handle på området det indre marked, og retsgrundlaget består af de
relevante artikler i traktaten30
, som ligger til grund for Unionens beføjelser på dette område.
Ændringsforslagene er baseret på samme retsgrundlag som de retsakter, der ændres, dvs.
artikel 114 i TEUF for forslaget til forordning om ændring af CRR og artikel 53, stk. 1, i
TEUF for forslaget til direktiv om ændring af CRD.
29
COM(2021) 750, jf. det strategiske indsatsområde 6 ("opbygning af modstandsdygtige og
fremtidssikrede økonomiske og finansielle systemer").
30
De relevante traktatartikler, som giver Unionen beføjelser til at vedtage foranstaltninger, er dem, der
vedrører etableringsfriheden (navnlig artikel 53 i TEUF), den frie udveksling af tjenesteydelser (artikel
59 i TEUF) og tilnærmelsen af retsforskrifter, der vedrører det indre markeds oprettelse og funktion
(artikel 114 i TEUF).
DA 7 DA
• Nærhedsprincippet (for områder, der ikke er omfattet af enekompetence)
De fleste af de foranstaltninger, der overvejes, udgør ajourføring og ændring af eksisterende
EU-retsforskrifter, og de vedrører som sådan områder, hvor Unionen allerede har udøvet sin
kompetence og ikke har til hensigt at ophøre med at udøve denne kompetence. Nogle få
foranstaltninger (navnlig dem, der ændrer CRD) har til formål at indføre en yderligere grad af
harmonisering med henblik på konsekvent at nå de mål, der er fastsat i direktivet.
Eftersom de foreslåede foranstaltninger har til formål at supplere allerede eksisterende EU-
retsakter, kan målene bedre nås på EU-plan end gennem forskellige nationale initiativer.
Nationale foranstaltninger med det formål f.eks. at gennemføre regler, som har et iboende
internationalt fodaftryk — såsom en global standard som Basel III eller bedre håndtering af
ESG-relaterede risici — i den eksisterende lovgivning, ville ikke være lige så effektive med
hensyn til at sikre finansiel stabilitet som EU-regler. For så vidt angår tilsynsværktøjer og -
beføjelser, offentliggørelse af oplysninger og tredjelandsfilialer kan det resultere i mindre
gennemsigtighed og en øget risiko for arbitrage, hvis initiativet kun skal håndteres på
nationalt plan, hvilket potentielt kunne føre til konkurrenceforvridning og påvirke
kapitalstrømmene. Desuden ville det være en juridisk udfordring at vedtage nationale
foranstaltninger, eftersom CRR allerede regulerer bankspørgsmål, herunder risikovægte,
indberetning og offentliggørelse af oplysninger og andre CRR-relaterede krav.
At ændre CRR og CRD vurderes derfor at være den bedste løsning. På denne måde sikres den
rette balance mellem harmonisering af regler og opretholdelse af national fleksibilitet, hvor
dette er absolut nødvendigt, uden at der lægges hindringer i vejen for det fælles regelsæt. De
foreslåede ændringer vil yderligere fremme ensartet anvendelse af tilsynskrav, konvergens i
tilsynspraksisserne og lige vilkår i hele det indre marked for banktjenester. Dette er særlig
vigtigt i banksektoren, hvor mange institutter driver virksomhed på tværs af EU's indre
marked. Fuldt samarbejde og tillid inden for FTM og hos tilsynskollegierne og de kompetente
myndigheder uden for FTM er afgørende for et effektivt tilsyn med institutter på konsolideret
niveau. Disse mål kan ikke nås med nationale regler.
• Proportionalitetsprincippet
Proportionaliteten har været en integreret del af den konsekvensanalyse, der ledsager
forslaget. De foreslåede ændringer på diverse reguleringsområder er blevet vurderet
individuelt i forhold til proportionalitetsmålet. Desuden er den manglende proportionalitet i de
eksisterende regler blevet fremlagt på en række områder, ligesom specifikke muligheder er
blevet analyseret for at mindske den administrative byrde og complianceomkostningerne for
mindre institutter. Dette er navnlig tilfældet for foranstaltninger på området offentliggørelse af
oplysninger, hvor compliancebyrden for små og ikkekomplekse institutter ville blive
reduceret væsentligt, måske endda helt fjernet. Desuden vil de oplysningskrav, der vedrører
offentliggørelse af ESG-risici, og som i henhold til forslagene skal finde anvendelse på alle
institutter (dvs. foruden store, børnoterede banker, for hvilke det eksisterende krav vil finde
anvendelse fra 2022), med hensyn til frekvens og detaljeringsgrad blive skræddersyet til
institutternes størrelse og kompleksitet og dermed respektere proportionalitetsprincippet.
• Valg af retsakt
Det foreslås, at foranstaltningerne gennemføres ved at ændre CRR og CRD ved henholdsvis
en forordning og et direktiv. De foreslåede foranstaltninger henviser således til eller
videreudvikler allerede eksisterende bestemmelser, der er indbygget i nævnte retsakter (dvs.
rammen for beregning af risikobaserede kapitalkrav, beføjelser og værktøjer, som stilles til
rådighed for tilsynsmyndighederne i hele Unionen).
DA 8 DA
Nogle af de foreslåede ændringer i CRD, som påvirker sanktionsbeføjelserne, ville sikre
medlemsstaterne en vis fleksibilitet med hensyn til at opretholde forskellige regler, når
direktivet gennemføres i national ret.
3. RESULTATER AF EFTERFØLGENDE EVALUERINGER, HØRINGER AF
INTERESSEREDE PARTER OG KONSEKVENSANALYSER
• Høringer af interesserede parter
Kommissionen har taget en række skridt og gennemført en række initiativer for at vurdere, om
den nuværende tilsynsramme for bankvirksomhed i EU og gennemførelse af de resterende
elementer fra Basel III-reformen er et tilstrækkeligt grundlag til at sikre, at EU's banksystem
er stabilt og modstandsdygtigt over for økonomiske chok og fortsat er en bæredygtig kilde til
stabil finansiering af EU's økonomi.
Kommissionen indhentede de interesserede parters synspunkter vedrørende specifikke emner
inden for kreditrisiko, operationel risiko, markedsrisiko, kreditværdijusteringsrisiko,
værdipapirfinansieringstransaktioner samt vedrørende den nedre grænse for output
(outputgulvet). Ud over disse elementer, som vedrører gennemførelsen af Basel III, har
Kommissionen også indhentet input vedrørende visse andre aspekter med henblik på at sikre
konvergerende og konsekvent tilsynspraksis i hele Unionen og lette institutternes
administrative byrde.
Forud for en offentlig høring, som blev gennemført fra oktober 2019 til starten af januar
202031
, var der blevet gennemført en første sonderende høring i foråret 201832
med det formål
at indhente en udvalgt gruppe af interessenters foreløbige holdning til den internationale
aftale. Derudover blev en offentlig konference organiseret i november 2019 med henblik på at
drøfte indvirkningen af og udfordringerne ved at gennemføre de endelige Basel III-standarder
i EU. Bilag 2 til konsekvensanalysen indeholder resuméer af høringen og den offentlige
konference.
Kommissionens tjenestegrene har også ad flere omgange hørt medlemsstaterne om EU's
gennemførelse af de endelige elementer i Basel III-reformen og andre mulige revisioner af
CRR og CRD i forbindelse med Kommissionens Ekspertgruppe om Bankvirksomhed,
Betalinger og Forsikring.
Endelig har Kommissionens tjenestegrene i lovgivningsprocessens forberedende fase også
holdt hundredevis af møder (fysiske og virtuelle) med repræsentanter fra banksektoren samt
andre interesserede parter.
Resultaterne af alle ovennævnte initiativer har bidraget til udarbejdelsen af det
lovgivningsinitiativ, der ledsager konsekvensanalysen. De har tydeligt dokumenteret behovet
for at ajourføre og supplere de nuværende regler med henblik på i) yderligere at mindske
risiciene i banksektoren og ii) at øge institutternes evne til at kanalisere tilstrækkelig
finansiering til økonomien.
31
Jf. https://ec.europa.eu/info/law/better-regulation/have-your-say/initiatives/12015-Alignment-EU-rules-
on-capital-requirements-to-international-standards-prudential-requirements-and-market-discipline-
/public-consultation_da.
32
Jf. https://ec.europa.eu/info/consultations/finance-2018-basel-3-finalisation_en.
DA 9 DA
• Indhentning og brug af ekspertbistand
Kommissionen trak på ekspertisen hos EBA, som udarbejdede en konsekvensanalyse af
gennemførelsen af de udestående elementer i Basel III-reformen33
. Derudover benyttede
Kommissionens tjenestegrene sig af ekspertisen hos ECB, som udarbejdede en
makroøkonomisk analyse af indvirkningen af gennemførelsen af disse elementer34
.
• Konsekvensanalyse
For hver af de identificerede problematikker blev der i konsekvensanalysen35
set på en række
politiske løsninger på tværs af fire centrale politikdimensioner, foruden udgangssituationen,
hvor der ikke træffes nogen EU-foranstaltninger:
Hvad angår gennemførelsen af Basel III, fremgår det af analysen og den makroøkonomiske
model i konsekvensanalysen, at gennemførelsen af den foretrukne løsning under hensyntagen
til alle foranstaltningerne i forslaget forventes at ville føre til en vægtet gennemsnitlig stigning
i minimumskapitalkravene for institutter fra + 6,4 % til + 8,4 % på lang sigt (senest i 2030)
efter den påtænkte overgangsperiode. På mellemlang sigt (i 2025) forventes stigningen at
ligge et sted mellem + 0,7 % og + 2,7 %.
Ifølge estimater, som er forelagt af EBA, kunne disse virkninger føre til, at et begrænset antal
store institutter i EU (10 ud af de 99 institutter, som indgik i stikprøven) kollektivt ville skulle
rejse yderligere kapitalgrundlag på mindre end 27 mia. EUR for at opfylde de nye
minimumskapitalkrav i henhold til den foretrukne løsning. For at sætte dette grundlag i
perspektiv besad de 99 institutter, som indgik i stikprøven (og som tegner sig for 75 % af EU's
bankaktiver), et samlet grundlag bestående af lovpligtig kapital på 1 414 mia. EUR i
slutningen af 2019 og havde tilsammen et overskud på 99,8 mia. EUR i 2019.
Mere generelt ville institutterne ganske vist pådrage sig engangsomkostninger og
driftsomkostninger ved at gennemføre ændringerne i reglerne, men der forventes ingen større
stigninger i omkostningerne. Derudover forventes de forenklinger, som følger af de foretrukne
løsninger (f.eks. afskaffelse af metoder med interne modeller, centraliserede offentliggørelser
af oplysninger), at mindske omkostningerne i forhold til i dag.
• Målrettet regulering og forenkling
Dette initiativ har til formål at fuldføre EU's gennemførelse af de internationale
tilsynsstandarder for banker, som BCBS vedtog mellem 2017 og 2020. Med initiativet vil
EU's gennemførelse af Basel III-reformen, som blev iværksat af Baselkomitéen i kølvandet på
33
En første analyse blev forelagt i to dele i 2019 (kan tilgås her og her). En anden konsekvensanalyse,
som ajourfører resultaterne af den oprindelige analyse i lyset af covid-19-pandemiens virkninger blev
forelagt i december 2020 (kan tilgås her). Af den ajourførte analyse fremgik det, at fra andet kvartal
2018 til fjerde kvartal 2019 faldt den samlede stigning i minimumskapitalkravene, som skyldtes
gennemførelsen af hele Basel III-reformen, med over 5 procentpoint (dvs. fra + 24,1 % til + 18,5 %),
mens kapitalunderskuddet i de institutter, som indgik i stikprøven, er mere end halveret (fra 109,5 mia.
EUR til 52,2 mia. EUR).
34
Den første makroøkonomiske analyse blev udarbejdet sammen med konsekvensanalysen fra 2019, som
blev udarbejdet af EBA. En ajourført udgave blev derefter udarbejdet i 2021 for at tage højde for EBA's
ajourførte konsekvensanalyse. Resultaterne af den ajourførte ECB-analyse er gengivet i
konsekvensanalysen. Yderligere oplysninger om ECB's analyse kan tilgås her
https://www.ecb.europa.eu/pub/financial-stability/macroprudential-
bulletin/html/ecb.mpbu202107_1~3292170452.en.html.
35
SWD(2021) 320.
DA 10 DA
finanskrisen, blive fuldført. Denne reform var i sig selv en omfattende revision af den
tilsynsramme, der blev anvendt før og under finanskrisen, nemlig Basel II-regelsættet (i EU
blev dette regelsæt gennemført ved direktiv 2006/48/EF, dvs. det oprindelige
kapitalkravsdirektiv). Kommissionen gjorde brug af resultaterne af BCBS' omfattende
gennemgang af tilsynsrammen, tillige med input fra EBA, ECB og andre interesserede parter,
for at sikre sig et informeret grundlag for sit gennemførelsesarbejde. Der er i afventning af
gennemførelsen af de endelige Basel III-reformer i EU endnu ikke foretaget en
formålstjenlighedsanalyse eller en Refit-evaluering.
• Grundlæggende rettigheder
Unionen har forpligtet sig til et højt niveau af beskyttelse af de grundlæggende rettigheder og
har undertegnet en lang række menneskerettighedskonventioner. I denne sammenhæng skulle
forslaget ikke få en umiddelbar indvirkning på disse rettigheder, som de er nedfældet i de
primære FN-konventioner om menneskerettigheder, Den Europæiske Unions charter om
grundlæggende rettigheder, som er en integreret del af EU-traktaterne, og den europæiske
menneskerettighedskonvention.
4. VIRKNINGER FOR BUDGETTET
Forslaget har ingen virkninger for Unionens budget.
5. ANDRE FORHOLD
• Planer for gennemførelsen og foranstaltninger til overvågning, evaluering og
rapportering
Det forventes, at de foreslåede ændringer tidligst vil begynde at træde i kraft i 2023.
Ændringerne hænger tæt sammen med andre bestemmelser i CRR og CRD, som allerede er
trådt i kraft og er blevet overvåget siden 2014 og, for så vidt angår de foranstaltninger, der
blev indført med pakken om risikobegrænsende foranstaltninger, siden 2019.
BCBS og EBA vil fortsat indsamle de nødvendige data til overvågning af de vigtigste
målekriterier (kapitalprocenter, gearingsgrad, likviditetsforanstaltninger). Dette vil give
mulighed for en fremtidig evaluering af virkningerne af de nye politikværktøjer. Regelmæssig
gennemførelse af tilsynskontrol- og vurderingsprocessen og stresstest vil også gøre det lettere
at overvåge virkningerne af de nye foreslåede foranstaltninger for de berørte institutter og at
vurdere, hvorvidt der med den foreslåede fleksibilitet og proportionalitet tages tilstrækkeligt
hensyn til mindre institutters karakteristika. Dertil kommer, at EBA sammen med FTM og de
nationale kompetente myndigheder er i færd med at udvikle et integreret indberetningsværktøj
(EUCLID), som forventes at blive et nyttigt instrument med henblik på overvågning og
evaluering af reformernes virkninger. Endelig vil Kommissionens tjenestegrene fortsat
deltage i BCBS' arbejdsgrupper og den fælles taskforce, som er nedsat af Den Europæiske
Centralbank (ECB) og EBA, og som overvåger dynamikken i institutternes kapitalgrundlag
og likviditetspositioner henholdsvis globalt og i EU.
• Nærmere redegørelse for de enkelte bestemmelser i forslaget
Forbedrede definitioner af enheder, som skal medtages i anvendelsesområdet for
konsolideringsreglerne
Den seneste tids begivenheder har fremhævet behovet for at præcisere bestemmelserne om
konsolideringsreglerne for at sikre, at finansielle koncerner, som ledes af
fintechvirksomheder, eller som foruden institutter omfatter andre enheder, der direkte eller
DA 11 DA
indirekte deltager i finansielle aktiviteter, er underlagt konsolideret tilsyn. Med henblik herpå
ændres artikel 4 for at præcisere og forbedre definitionerne af termerne "accessorisk
servicevirksomhed", "finansielt holdingselskab" og "finansieringsinstitut", som alle er
nøglebegreber i denne sammenhæng. Accessorisk servicevirksomheder bør betragtes som
finansieringsinstitutter og dermed medtages i anvendelsesområdet for konsolideringsreglerne.
Det foreslås desuden også at ajourføre definitionerne af begreberne "moderselskab" og
"datterselskab" i overensstemmelse med de gældende regnskabsstandarder og at tilpasse dem
til begrebet "kontrol", som allerede er fastsat i CRR, for at undgå en inkonsekvent anvendelse
af reglerne og regelarbitrage.
Kapitalgrundlag
Definitioner af "indirekte besiddelse" og "syntetisk besiddelse"
I henhold til artikel 72e, stk. 1, i CRR skal institutter, der er omfattet af artikel 92a i CRR,
fradrage indirekte og syntetiske besiddelser fra visse nedskrivningsrelevante
passivinstrumenter. De nuværende definitioner af termerne "indirekte besiddelser" og
"syntetiske besiddelser" tager dog kun højde for kapitalinstrumenter. Derfor ændres disse
definitioner, således at de også tager højde for besiddelser af relevante passiver (jf. artikel 4,
stk. 1, nr. 114) og 126), i CRR).
Gensidige selskabers, andelsselskabers, sparekassers eller lignende institutters
kapitalinstrumenter
Efter Det Forenede Kongeriges udtræden af EU i henhold til artikel 50 i traktaten om Den
Europæiske Union er artikel 27, stk. 1, litra a), nr. v), i CRR ikke længere relevant for
institutter, der er etableret i Unionen (den blev indført for at imødekomme behovene i et
institut, der er etableret i Det Forenede Kongerige). Derfor udgår bestemmelsen.
Tærskelbaserede undtagelser fra fradrag fra egentlige kernekapitalposter
Med henblik på at anvende nogle af de kapitalgrundlagsrelaterede fradrag, der er fastsat i
CRR, skal institutter beregne visse tærskler, som er baseret på deres egentlige
kernekapitalsposter, efter at de har anvendt filtre og de fleste egentlige kernekapitalsrelaterede
fradrag. For at sikre, at beregningen af de relevante tærskler er ensartede og for at undgå
asymmetri i behandlingen af visse fradrag for tærsklerne, skal der ligeledes tages hensyn til de
nye egentlige kernekapitalsrelaterede fradrag, som er fastsat ved Europa-Parlamentets og
Rådets forordning (EU) 2019/63036
og ved forordning (EU) 2019/876, med henblik på
beregningen af de relevante egentlige kernekapitalsposter. Derfor tilføjes der i artikel 46, stk.
1, artikel 48, stk. 1, artikel 60, stk. 1, artikel 70, stk. 1, og artikel 72i, stk. 1, i CRR
henvisninger til artikel 36, stk. 1, litra m) og n). Samtidig udgår henvisningen til artikel 36,
stk. 1, litra k), nr. v) fra nævnte bestemmelser for at imødekomme afskaffelsen af fradragene
af aktieeksponeringer efter en metode med interne modeller.
Minoritetsinteresser i forbindelse med datterselskaber i tredjelande
I Europa-Parlamentets og Rådets forordning (EU) 2019/203337
("forordningen om
investeringsselskaber") er der fastsat ændringer af termerne "institut" og "investeringsselskab"
36
Europa-Parlamentets og Rådets forordning (EU) 2019/630 af 17. april 2019 om ændring af forordning
(EU) nr. 575/2013, for så vidt angår krav til minimumsdækning af tab for misligholdte eksponeringer
(EUT L 111 af 25.4.2019, s. 4).
37
Europa-Parlamentets og Rådets forordning (EU) 2019/2033 af 27. november 2019 om tilsynsmæssige
krav til investeringsselskaber og om ændring af forordning (EU) nr. 1093/2010, (EU) nr. 575/2013,
(EU) nr. 600/2014 og (EU) nr. 806/2014 (EUT L 314 af 5.12.2019, s. 1).
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(artikel 4, stk. 1, nr. 2) og 3), i CRR). En ny artikel 88b indsættes for at sikre, at
datterselskaber, der er beliggende i et tredjeland, ikke desto mindre stadig kan komme i
betragtning med henblik på del to, afsnit II, i CRR (dvs. beregningen af minoritetsinteresser),
forudsat at nævnte datterselskaber ville falde ind under de reviderede definitioner af disse
termer, hvis de var etableret i Unionen.
Enkelte yderligere ændringer finder anvendelse på artikel 84, stk. 1, artikel 85, stk. 1, og
artikel 87, stk. 1, i CRR i forbindelse med tredjelandsdatterselskaber. Disse ændringer ændrer
ikke ved den nuværende beregning af minoritetsinteresser, men har til formål at præcisere
retsakten som opfølgning på de seneste besvarelser fra Kommissionen via Q&A-værktøjet,
som indgår i EBA's fælles regelsæt.
Nedre grænse for output ("outputgulv")
Gennem ændringer af både CRR og CRD indføres der et outputgulv for de risikobaserede
kapitalkrav. Det udgør én af nøgleforanstaltningerne i Basel III-reformerne og har til formål at
mindske den overdrevne forskellighed blandt institutternes kapitalgrundlagskrav, som
beregnes efter interne modeller, og dermed gøre det nemmere at sammenligne institutternes
kapitalprocenter. Outputgulvet fastsætter en lavere grænse for de kapitalkrav, som genereres
af institutters interne modeller, til 72,5 % af de kapitalkrav, som ville gælde ved anvendelse af
standardmetoder. Beslutningen om at indføre outputgulvet er baseret på en analyse, der
afslører, at institutternes brug af interne modeller gør dem tilbøjelige til at undervurdere risici
og dermed deres kapitalgrundlagskrav.
Beregningen af risikovægtede aktiver med gulv er fastsat i artikel 92 i CRR. Mere specifikt
ændres artikel 92, stk. 3, for at præcisere, hvilket samlet risikoeksponeringsbeløb — med eller
uden gulv— der skal benyttes ved beregningen af minminimumskrav til kapitalgrundlag (de
såkaldte "søjle 1-krav").
Det samlede risikoeksponeringsbeløb med gulv, jf. artikel 92, stk. 5, må kun anvendes af EU-
moderinstituttet, det finansielle holdingselskab eller blandede finansielle holdingselskab i en
bankkoncern med henblik på koncernens soliditetsgrad, som beregnes på højeste
konsolideringsniveau i EU.
I modsætning hertil kan det samlede risikoeksponeringsbeløb uden gulv fortsat anvendes for
enhver koncernenhed til beregning af kapitalgrundlagskrav på individuelt grundlag som
yderligere præciseret i artikel 92, stk. 4.
Ethvert moderinstitut, finansielt holdingselskab eller blandet finansielt holdingselskab i en
medlemsstat (som er forskellig fra EU-moderskabets beliggenhed) skal beregne sin del af det
samlede risikoeksponeringsbeløb med gulv, der er anvendt for det konsoliderede
kapitalgrundlagskrav, idet nævnte konsoliderede kapitalgrundlagskrav ganges med den
andel38
af de delkonsoliderede risikovægtede aktiver, der kan tilskrives den pågældende enhed
og dens datterselskaber i den samme medlemsstat, alt efter hvad der er relevant.
Den konsoliderede koncerns risikovægtede aktiver, som kan tilskrives en enhed/koncerndel,
skal beregnes i henhold til artikel 92, stk. 6, som enhedens/koncerndelenes risikovægtede
aktiver, som om outputgulvet ville finde anvendelse på dens samlede
risikoeksponeringsbeløb. Hermed anerkendes fordelene ved risikospredning på tværs af
forretningsmodeller i forskellige enheder i den samme bankkoncern. Samtidig vil eventuelle
potentielle stigninger i kapitalgrundlaget, som er påkrævet som følge af anvendelsen af
38
Denne andel beregnes for den konsoliderede koncerns risikovægtede aktiver.
DA 13 DA
outputgulvet på konsolideret niveau, skulle fordeles retfærdigt på tværs af de koncerndele,
som er beliggende i andre medlemsstater end moderselskabet, alt efter deres risikoprofil.
I artikel 92, stk. 7, gengives bestemmelserne fra den tidligere artikel 92, stk. 4, som præciserer
de beregningsfaktorer, der skal anvendes ved de forskellige risikotyper, som er omfattet af
kapitalgrundlagskrav.
Kreditrisikorammen — standardmetoden
Standardmetoden for kreditrisiko (SA-CR) anvendes af størstedelen af institutter i hele EU til
at beregne kapitalgrundlagskrav for deres eksponeringer mod kreditrisiko. Derudover skal
SA-CR tjene som et troværdigt alternativ til metoder med interne modeller og som en
virkningsfuld bagstopperordning for disse. Det er konstateret, at den nuværende SA-CR ikke
er tilstrækkeligt risikofølsom på en række områder, hvilket nogle gange fører til unøjagtig
eller uhensigtsmæssig måling af kreditrisiko (enten for høj eller for lav) og dermed til en
unøjagtig eller uhensigtsmæssig beregning af kapitalgrundlagskrav.
Med revisionen af SA-CR øges denne metodes risikofølsomhed i forhold til flere
nøgleaspekter.
Eksponeringsværdi af ikkebalanceførte poster
Med teksten til de reviderede Baselregler blev der indført en række ændringer til, hvordan
institutter skal beregne eksponeringsværdien af ikkebalanceførte poster og tilsagn vedrørende
ikkebalanceførte poster.
Artikel 5 ændres for at indføre definitionen af termen "tilsagn" og fritagelsen af kontraktlige
ordninger, som opfylder specifikke betingelser, fra at blive klassificeret som tilsagn.
Artikel 111 ændres for at tilpasse de kreditkonverteringsfaktorer ("CCF'er"), som skal
anvendes for ikkebalanceførte eksponeringer, til Basel III-standarderne, idet der indføres en
ny CCF på henholdsvis 40 % og 10 %, og CCF'en på 0 % afskaffes. Behandlingen af tilsagn
vedrørende ikkebalanceførte poster præciseres også, hvad angår de CCF'er, som skal
anvendes til beregning af deres eksponeringsværdi.
Den fritagelse, der indføres i artikel 5 i overensstemmelse med Basel III-standarderne, vil
imidlertid give institutterne mulighed for fortsat at anvende en CCF på 0 % for specifikke
kontraktlige ordninger med virksomheder, herunder SMV'er, som ikke er klassificeret som
"tilsagn". Derudover indføres der i artikel 495d en overgangsperiode, i henhold til hvilken
institutterne kan anvende en CCF på 0 % på tilsagn, der kan opsiges uden betingelser, indtil
den 31. december 2029. Efter denne dato vil den forøgede CCF-værdi blive indfaset over de
følgende tre år, idet CCF-værdien i slutningen af indfasningsperioden når 10 %.
Overgangsperioden vil give EBA mulighed for at vurdere, om indvirkningen af en CCF på
10 % for disse tilsagn ikke vil føre til utilsigtede konsekvenser for visse typer af låntagere,
som forlader sig på nævnte tilsagn som en kilde til fleksibel finansiering. På grundlag af
denne vurdering vil Kommissionen skulle beslutte, hvorvidt den vil fremlægge et
lovgivningsforslag for Europa-Parlamentet og Rådet med henblik på ændring af den CCF,
som skal anvendes på tilsagn, der kan opsiges uden betingelser.
Klassificeringen af ikkebalanceførte poster i bilag I ændres i overensstemmelse med de
reviderede Basel III-standarder, således at de bedre afspejler grupperingen af nævnte poster i
undergrupper, alt efter de gældende CCF'er.
Artikel 111 ændres yderligere for at indføre et mandat til EBA, således at den kan præcisere
de tekniske elementer, der vil give institutterne mulighed for på korrekt vis at henføre deres
DA 14 DA
ikkebalanceførte eksponeringer til undergrupperne i bilag I og dermed foretage en korrekt
beregning af eksponeringsværdien af disse poster.
Eksponeringer mod institutter
De reviderede Basel III-standarder ændrede den nuværende behandling af eksponeringer mod
institutter og indførte standardmetoden til vurdering af kreditrisiko sammen med den
eksisterende eksterne metode til vurdering af kreditrisiko. Mens der efter den eksterne metode
til vurdering af kreditrisiko anvendes eksterne vurderinger af kreditrisiko (dvs.
kreditvurderinger) for at bestemme de gældende risikovægte, skal institutterne efter
standardmetoden til vurdering af kreditrisiko klassificere deres eksponeringer mod institutter i
én af tre undergrupper ("klasser").
Artikel 120 ændres i overensstemmelse med Basel III-standarderne for at mindske den
risikovægt, der anvendes for eksponeringer mod institutter, for hvilke der foreligger en
kreditvurdering på kreditkvalitetstrin 2, som er foretaget af et udpeget ECAI, og for i
anvendelsesområdet for kortfristede eksponeringer at medtage de eksponeringer, som skyldes
varebevægelser på tværs af nationale grænser, og som har en oprindelig løbetid på højst seks
måneder.
Artikel 121 ændres for at indføre standardmetoden til vurdering af kreditrisiko, som er fastsat
i Basel III-standarderne for eksponeringer mod institutter, for hvilke der ikke foreligger en
kreditvurdering, som er foretaget af et udpeget ECAI. Efter denne metode skal institutterne
klassificere deres eksponeringer mod sådanne institutter i én af tre klasser baseret på flere
kvantitative og kvalitative kriterier. For at undgå en mekanistisk anvendelse af kriterierne er
institutterne underlagt krav om rettidig omhu, jf. artikel 79 i CRR, med hensyn til
eksponeringer mod institutter, for hvilke der foreligger en kreditvurdering, som er foretaget af
et udpeget ECAI, når de tildeler den gældende risikovægt. Dette sikrer, at
kapitalgrundlagskravene på en hensigtsmæssig og konservativ måde afspejler
kreditværdigheden af institutternes modparter, uanset om eksponeringerne er kreditvurderede
eller ej. I tråd med Basel III-standarderne afskaffes den nuværende mulighed for at foretage
risikovægtning af eksponeringer mod institutter baseret på deres staters kreditvurderinger for
at bryde forbindelsen mellem institutterne og deres stater.
Artikel 138 ændres i tråd med Basel III-standarderne for at bryde forbindelsen mellem banker
og stater også for kreditvurderede institutter ved at forbyde, at kreditvurderinger, som er
foretaget af et udpeget ECAI, indeholder antagelser om implicit statsstøtte, medmindre
kreditvurderingerne vedrører institutter fra den offentlige sektor.
Eksponeringer mod selskaber
Artikel 122 ændres i overensstemmelse med Basel III-standarderne for at mindske den
risikovægt, der gælder for eksponeringer mod selskaber, for hvilke der foreligger en
kreditvurdering på kreditkvalitetstrin 3, som er foretaget af et udpeget ECAI.
Med gennemførelsen af outputgulvet vil institutter, som anvender interne modeller til at
beregne kapitalgrundlagskrav for eksponeringer mod selskaber, også skulle anvende SA-CR,
som beror på eksterne kreditvurderinger til at bestemme den låntagende virksomheds
kreditkvalitet. De fleste selskaber i EU ønsker dog typisk ikke eksterne kreditvurderinger på
grund af omkostningerne forbundet med at fastlægge en kreditvurdering og andre faktorer. Da
kapitalgrundlagskrav, som er beregnet efter SA-CR, i gennemsnit er mere konservative for
ikkekreditvurderede selskaber end for selskaber, som har en kreditvurdering, kan
gennemførelsen af outputgulvet forårsage væsentlige stigninger i kapitalgrundlagskravene for
institutter, der anvender interne modeller. For at undgå forstyrrende virkninger for bankernes
långivning til ikkekreditvurderede selskaber og give tilstrækkelig tid til at etablere offentlige
DA 15 DA
og/eller private initiativer, som har til formål at øge kreditvurderingers dækning, ændres
artikel 465 for at indføre en specifik overgangsordning for eksponeringer mod
ikkekreditvurderede selskaber i forbindelse med beregning af outputgulvet. I denne
overgangsperiode har institutterne mulighed for at anvende en særlig risikovægt på 65 % på
deres eksponeringer mod selskaber, som ikke har en ekstern kreditvurdering, forudsat at disse
eksponeringer indebærer en sandsynlighed for misligholdelse (PD), som er mindre eller lig
med 0,5 %, (dette svarer til en kreditvurdering af "investment grade"). Denne behandling
finder anvendelse på alle ikkekreditvurderede selskaber, uanset om de er børnoterede eller ej.
EBA overvåger anvendelsen af overgangsbehandlingen og tilgængeligheden af
kreditvurderinger, som er foretaget af udpegede ECAI'er, for eksponeringer mod selskaber.
EBA vil skulle overvåge anvendelsen af overgangsbehandlingen og udarbejde en rapport om,
hvorvidt det er hensigtsmæssigt at kalibrere den. På grundlag af denne rapport vil
Kommissionen skulle beslutte, hvorvidt den vil fremlægge et lovgivningsforslag for Europa-
Parlamentet og Rådet om behandling af ikkekreditvurderede erhvervseksponeringer af høj
kreditkvalitet.
Foranstaltninger til forbedring af tilgængeligheden af eksterne kreditvurderinger for selskaber
foreslås gennem ændringer af artikel 135.
Behandling af specialiseret långivning
Det er afgørende betydning for den økonomiske vækst i Unionen, at levedygtige
infrastrukturprojekter og andre specialiserede projekter fremmes. Institutternes specialiserede
långivning er også et definerende kendetegn ved Unionens økonomi, når det sammenlignes
med andre jurisdiktioner, hvor sådanne projekter fortrinsvist finansieres af kapitalmarkederne.
Store institutter, som er etableret i EU, er vigtige finansieringsstillere for specialiserede
projekter, objektfinansiering og råvarefinansiering i Unionen og på globalt plan. De har i den
forbindelse udviklet et højt niveau af ekspertise på disse områder. Der gøres primært
forretning med enheder med særligt formål, der typisk tjener som låntagende enheder, og for
hvilke investeringsafkastet er den primære kilde til tilbagebetaling af den opnåede
finansiering.
I overensstemmelse med Basel III-standarderne indføres der i SA-CR i den nye artikel 122a
en klasse for specialiserede eksponeringer samt to generelle metoder til bestemmelse af de
gældende risikovægte for specialiserede eksponeringer, én for eksponeringer med en ekstern
kreditvurdering og én for eksponering uden en ekstern kreditvurdering. Der indføres klasser
for objektfinansiering, objektfinansiering og råvarefinansiering i SA-CR i tråd med de samme
tre undergrupper som i de interne ratingbaserede metoder (IRB-metoder).
Da den nye standardbehandling i henhold til Basel III-rammen for ikkekreditvurderet
specialiseret långivning ikke er tilstrækkeligt risikofølsom til at afspejle virkningerne af de
omfattende sikkerhedspakker, der som regel er tilknyttet visse
objektfinansieringseksponeringer i Unionen, øges detaljeringsgraden i SA-CR yderligere for
disse eksponeringer. Ikkekreditvurderede objektfinansieringseksponeringer, der er omfattet en
forsvarlig og konservativ styring af tilknyttede finansielle risici, idet de opfylder en række
betingelser, som har potentiale til at sænke deres risikoprofil, således at den svarer til en
standard af "høj kvalitet", drager fordel af en gunstig kapitalbehandling i sammenligning med
den almindelige behandling af ikkekreditvurderede objektfinansieringseksponeringer efter
Basel III-standarderne. Fastlæggelsen af, hvad der udgør "høj kvalitet" for objektfinansiering
er underlagt yderligere specifikke betingelser, som skal udarbejdes af EBA ved hjælp af
udkast til reguleringsmæssige tekniske standarder.
Den særbehandling, der blev indført ved CRR II, for at fremme bankfinansiering og private
investeringer i infrastrukturprojekter af høj kvalitet ("støttefaktor for infrastruktur"), jf. artikel
DA 16 DA
501a, opretholdes under både SA-CR og IRB-metoderne for kreditrisiko med målrettede
præciseringer, hvilket resulterer i lavere kapitalgrundlagskrav for infrastrukturprojekter end
ved den særbehandling, der er fastsat i Basel III-standarderne. Den særbehandling, der er
fastsat i den nye artikel 122a, for projektfinansieringseksponeringer vil kun finde anvendelse
på eksponeringer, på hvilke institutterne ikke allerede anvender behandlingen med
"støttefaktoren for infrastruktur" i henhold til artikel 501a, for at undgå en uberettiget
begrænsning af kapitalgrundlagskravene.
Detaileksponeringer
Artikel 123 ændres for yderligere at bringe klassificeringen af detaileksponeringer efter SA-
CR i overensstemmelse med klassificeringen efter IRB-metoderne, således at der sikres en
konsekvent anvendelse af de tilsvarende risikovægte på det samme sæt eksponeringer. Artikel
123 ændres også for at indføre en særbehandling i form af en risikovægt på 45 % for
revolverende detaileksponeringer, som opfylder en række betingelser vedrørende
tilbagebetaling eller anvendelse, der kan sænke deres risikoprofil, hvorved de defineres som
transaktionseksponeringer i tråd med Basel III-standarderne. Eksponeringer mod en eller flere
fysiske personer, som ikke opfylder alle betingelserne for at blive betragtet som
detaileksponeringer, bør tildeles en risikovægt på 100 %.
Eksponeringer med valutamismatch
Der indsættes en ny artikel 123a for at indføre et multiplikatorkrav vedrørende risikovægten
for ikkeafdækkede detaileksponeringer og eksponeringer, der er sikret ved beboelsesejendom,
mod fysiske personer, hvor der er et mismatch mellem lånets denomineringsvaluta og
valutaen for låntagers indtægtskilde. Som fastsat i de endelig Basel III-standarder fastsættes
multiplikatoren til 1,5, med forbehold af et loft for den derved beregnede endelige risikovægt
på 150 %. Hvis eksponeringens valuta er forskellig fra den nationale valuta i låntagers
bopælsland, kan institutterne anvende alle ikkeafdækkede eksponeringer som tilnærmet værdi.
Eksponeringer, som er sikret ved fast ejendom
I overensstemmelse med de endelige Basel III-standarder ændres behandlingen af
eksponeringsklassen for fast ejendom for yderligere at øge detaljeringsgraden med hensyn til
den iboende risiko, som hidrører fra forskellige typer af transaktioner vedrørende fast
ejendom og lån.
Med den nye risikovægtning bibeholdes sondringen mellem pant i fast ejendom til beboelse
og erhvervsejendomme, hvorimod detaljeringsgraden øges yderligere efter typen af
finansiering af eksponeringen (afhængig eller ej af indtægtsstrømme, som genereres af den
ejendom, der er stillet som sikkerhed) og efter den fase, som ejendomme befinder sig i
(opførelsesfasen kontra færdigopført ejendom).
Et nyt element er indførelsen af en særbehandling for realkreditlån i indkomstgenerende fast
ejendom ("IPRE"), dvs. realkreditlån, hvis tilbagebetaling i væsentlig grad er afhængig af de
pengestrømme, der genereres af den faste ejendom, som sikrer disse lån. Den dokumentation,
der er indsamlet af Baselkomitéen, viser, at disse lån har tendens til at være væsentligt mere
risikobetonede end realkreditlån, hvis tilbagebetaling i betydelig grad er afhængig af låntagers
grundlæggende evne til at servicere lånet. I den nuværende SA-CR findes der imidlertid ingen
særbehandling for sådanne mere risikobetonede eksponeringer, til trods for at denne
afhængighed af pengestrømme, som genereres af den faste ejendom, der sikrer lånet, er en
vigtig risikofaktor. Manglen på en særbehandling kan resultere i, at niveauerne for
kapitalgrundlagskravene er utilstrækkelige med henblik på at dække uforudsete tab på denne
type eksponeringer, der er sikret ved fast ejendom.
DA 17 DA
I artikel 4 bliver flere definitioner ændret eller erstattet, eller der indsættes nye definitioner for
at præcisere betydningen af de forskellige typer af eksponeringer, som er sikret ved pant i fast
ejendom, i overensstemmelse med de reviderede behandlinger i del III (nr. 75) til 75g)).
Artikel 124 erstattes for i stk. 1-5 at fastsætte de generelle og visse specifikke krav vedrørende
tildelingen af risikovægte til eksponeringer, som er sikret ved pant i henholdsvis fast ejendom
til beboelse og erhvervsejendom, herunder for eksponeringer, som er sikret ved IPRE-
realkreditlån (i beboelsesejendomme og erhvervsejendomme). Stk. 6-10 indeholder
bestemmelser om den nuværende periodiske vurdering af hensigtsmæssigheden af
standardrisikovægtene og processen med henblik på at øge dem efter den udpegede
myndigheds skøn.
Artikel 125 erstattes for at gennemføre den reviderede Basel III-behandling af eksponeringer,
som er sikret ved pant i fast ejendom til beboelse. Lånopdelingsmetoden, som opdeler
eksponeringer, som er sikret ved pant, i en sikret og en usikret del og tildeler hver af disse
dele den dertil svarende risikovægt, bibeholdes, mens kalibreringen heraf tilpasses i
overensstemmelse med Basel III-standarderne, idet den sikrede del af eksponeringen på op til
55 % af ejendomsværdien tildeles en risikovægt på 20 %. Denne kalibrering af risikovægten
for den sikrede del tager højde for den situation, hvor instituttet kan pådrage sig yderligere
uforudsete tab, som går ud over det haircut, der allerede anvendes på ejendomsværdien, når
ejendommen sælges i tilfælde af misligholdelse fra låntagers side. Artikel 125 fastsætter
desuden en mere risikofølsom fallbackbehandling, som afhænger af eksponeringen i forhold
til værdi ("ETV-forholdet") for pant i fast ejendom til beboelse, hvis ejendommen ikke kan
omfattes af lånopdeling (f.eks. fordi den ikke er færdigopført).
Den ændrede artikel 125 fastlægger også en mere målrettet risikovægtning med en større
detaljeringsgrad, som finder anvendelse på IPRE-eksponeringer, som er sikret i fast ejendom
til beboelse, medmindre kriterierne i den såkaldte "hard test" er opfyldt: Hvis den kompetente
myndighed i medlemsstat, hvor den ejendom, som sikrer lånet, er beliggende, har
offentliggjort dokumentation, hvoraf det fremgår, at ejendomsmarkedet er veludviklet og
veletableret med årlige tabsprocenter, som ikke overstiger bestemte tærskler, kan der
anvendes de samme særlige risikovægte på IPRE-eksponeringer, som er sikret ved fast
ejendom til beboelse, som de risikovægte, der anvendes på andre eksponeringer, som er sikret
ved fast ejendom til beboelse, såfremt risikoen for låntager ikke i væsentlig grad afhænger af
afkastet fra ejendommen.
Artikel 126 erstattes for at gennemføre den reviderede Basel III-behandling af eksponeringer,
som er sikret ved erhvervsejendom. Rent begrebsmæssigt afspejler det behandlingen for
eksponeringer, som er sikret ved fast ejendom til beboelse: Den veletablerede
lånopdelingstilgang bibeholdes og kalibreringen heraf justeres i overensstemmelse med Basel
III-standarderne, hvorved den sikrede del af eksponeringen op til en ejendomsværdi på 55 %
tildeles en risikovægt på 60 %. Artikel 126 fastsætter desuden en mere risikofølsom
fallbackbehandling, som afhænger af ETV-forholdet for pant i erhvervsejendom, hvis
ejendommen ikke kan omfattes af lånopdeling.
En målrettet risikovægtning med en højere detaljeringsgrad for IPRE-eksponeringer, som er
sikret ved erhvervsejendom, indføres gennem ændring af artikel 126, samtidig med at "hard
test" bibeholdes, hvilket giver institutterne mulighed for at anvende de samme særlige
risikovægte på eksponeringer mod indkomstgenerende erhvervsejendom og mod anden
erhvervsejendom, som er sikret ved ejendom, der er beliggende i markeder, hvor de årlige
tabsprocenter ikke overstiger bestemte tærskler.
Lån, som finansierer erhvervelse af jord, byggemodning eller opførelse af enhver
beboelsesejendom eller erhvervsejendom, indebærer en forhøjet risiko. Denne forhøjede
DA 18 DA
risiko skyldes det forhold, at kilden til tilbagebetaling ved lånets optagelse enten er et
planlagt, men usikkert salg af ejendommen eller væsentligt usikre pengestrømme. Den
nuværende behandling af spekulativ finansiering af fast ejendom er udelukkende baseret på
låntagers hensigt om videresalg af ejendommen med fortjeneste, uden at der tages hensyn til, i
hvilket omfang der reelt er sikkerhed for tilbagebetaling. Derfor indføres der en ny definition i
artikel 4, og der indsættes en ny artikel 126a for at indføre den specifikke risikovægtning på
150 %, som er fastsat i Basel III-standarderne, for lån til selskaber eller enheder med særligt
formål, som finansierer byggemodning eller opførelse af enhver beboelsesejendom eller
erhvervsejendom. Til gengæld fjernes den nuværende risikovægtning på 150 % for
"spekulativ finansiering af fast ejendom", da den udelukkende er baseret på låntagers hensigt
om videresalg af ejendommen med fortjeneste, uden at der tages hensyn til, i hvilket omfang
der reelt er manglende sikkerhed for tilbagebetaling. I overensstemmelse med Basel III-
standarderne gives der i artikel 126a mulighed for at tildele en risikovægt på 100 % til ADC-
eksponeringer mod fast ejendom til beboelse, forudsat at bestemte risikoafbødende betingelser
(med hensyn til kreditgivningspolitikken, andelen af kontrakter om forhåndssalg eller -leje og
risikoeksponeret egenkapital) er opfyldt.
For at reducere de cykliske virkningers indflydelse på værdiansættelsen af en ejendom, som
sikrer et lån, og holde kapitalgrundlagskravene for lån på et stabilt niveau lægges der med
Basel III-standarderne loft over den ejendomsværdi, som er godkendt i tilsynsøjemed,
svarende til den værdi, der er målt ved lånets optagelse, medmindre ændringerne uden tvivl
øger ejendomsværdien. Samtidig forpligter standarderne ikke bankerne til at overvåge
udviklingen i ejendomsværdierne. I stedet kræver de kun justeringer i tilfælde af
ekstraordinære hændelser. I modsætning hertil skal institutterne i henhold til den nuværende
gældende SA-CR i EU regelmæssigt overvåge værdien af ejendom, der stilles som sikkerhed.
På grundlag af denne overvågning skal institutterne foretage op- eller nedjusteringer af
ejendomsværdien (uanset ejendomsværdien ved lånet optagelse). Artikel 208 ændres for at
reducere indvirkningen af cykliske effekter på værdiansættelsen af ejendom, der tjener som
sikkerhed for lån, og sørge for, at kapitalgrundlagskravene for realkreditlån er mere stabile.
Navnlig bibeholdes det nuværende krav vedrørende hyppig overvågning af ejendomsværdier,
hvilket giver mulighed for opjustering ud over værdien ved lånets optagelse (i modsætning til
Basel III-standarderne), men kun op til gennemsnitsværdien over de foregående tre år i
forbindelse med erhvervsejendom og over de foregående seks år i forbindelse med fast
ejendom til beboelse. For fast ejendom, der stilles som sikkerhed for særligt dækkede
obligationer og særligt dækkede realkreditobligationer, præciseres det i artikel 129, at
kompetente myndigheder kan meddele institutterne tilladelse til at anvende markedsværdien
eller belåningsværdien uden at begrænse stigninger i ejendomsværdien til gennemsnittet over
henholdsvis de foregående tre eller seks år. Derudover præciseres det i artikel 208, at
ændringer af ejendommen, som forbedrer bygningens eller boligenhedens energieffektivitet,
skal betragtes som ændringer, der uden tvivl forøger dens værdi. Endelig har institutterne
mulighed for at foretage værdiansættelse og fornyet værdiansættelse af ejendomme ved hjælp
af avancerede statistiske eller andre matematiske metoder, som er udformet uafhængigt af
kreditbevillingsprocessen, med forbehold af opfyldelse af en række betingelser, som er
baseret på EBA's retningslinjer om lånoptagelse og -overvågning (EBA/GL/2020/06), og med
forbehold af tilsynsmæssig godkendelse.
Artikel 465 ændres for at fastsætte en specifik overgangsordning for eksponeringer med lav
risiko, som er sikret ved pant i fast ejendom til beboelse, når outputgulvet beregnes. I
overgangsperioden kan medlemsstaterne give institutterne mulighed for at anvende en særlig
risikovægt på 10 % på den sikrede del af eksponeringen på op til 55 % af ejendomsværdien og
en risikovægt på 45 % på den resterende del af eksponeringen på op til 80 % af
ejendomsværdien, forudsat at visse betingelser er opfyldt med henblik på at sikre, at de
DA 19 DA
indebærer en lav risiko og kontrolleres af de kompetente myndigheder. EBA vil skulle
overvåge anvendelsen af overgangsbehandlingen og udarbejde en rapport om, hvorvidt det er
hensigtsmæssigt at kalibrere den. På grundlag af denne rapport vil Kommissionen skulle
beslutte, hvorvidt den vil fremlægge et lovgivningsforslag for Europa-Parlamentet og Rådet
om eksponeringer med lav risiko, som er sikret ved pant i fast ejendom til beboelse.
Eksponeringer mod efterstillet gæld
Artikel 128 erstattes for at gennemføre den reviderede behandling af eksponeringer mod
efterstillet gæld, som er fastsat ved de endelig Basel III-standarder (dvs. en risikovægt på
150 %).
Aktieeksponeringer
Artikel 133 erstattes for at gennemføre den reviderede behandling af aktieeksponeringer i
henhold til Basel III-standarderne. Anvendelsesområdet for aktieeksponeringsklassen
beskrives nærmere, idet der fastsættes en definition af aktieeksponeringer, og det præciseres,
hvilke andre instrumenter der skal kategoriseres som aktieeksponeringer med henblik på at
beregne de kreditrisikovægtede aktiver.
For at øge SA-CR's risikofølsomhed afspejler de reviderede risikovægte den meget høje risiko
for tab, der er forbundet med aktier, set i forhold til gældseksponeringer gennem en
risikovægt på 250 % og skelner mellem langsigtede og mere risikobetonede spekulative
investeringer, som tildeles en risikovægt på 400 %. For at undgå unødvendig kompleksitet
henviser klassificeringen af langsigtede eksponeringer til den ihændehaverperiode, der er
godkendt af instituttets øverste ledelse, som et centralt kriterium.
Aktieeksponeringer, der er indgået i henhold til lovgivningsprogrammer til fremme af
bestemte sektorer i økonomien, og som tilvejebringer væsentlig støttemidler til instituttets
investeringer, og som indebærer en eller anden form for statslig kontrol, kan tildeles en
risikovægt på 100 %, med forbehold af en tærskel på 10 % af instituttets kapitalgrundlag og
tilsynsmæssig godkendelse. Sådanne støttemidler kan også tage form af generelle garantier fra
multilaterale udviklingsbanker, offentlige udviklingskreditinstitutter og internationale
organisationer. Dette skal afspejle det forhold, at Den Europæiske Investeringsbank-Gruppe,
multilaterale udviklingsbanker, offentlige udviklingskreditinstitutter og medlemsstaterne
opretter sådanne "lovgivningsprogrammer", som ofte er baseret på generelle offentlige
garantier og forbundet med finansielle genopretnings- og resiliensplaner, der har til formål at
mobilisere privat kapital, herunder at støtte strategiske virksomheder.
Aktieeksponeringer mod centralbanker er fortsat omfattet af en risikovægt på 100 %.
Endelig indføres der ved artikel 133 en nedre grænse for aktieeksponeringer, der registreres
som et lån, men hidrører fra en gælds-/aktieswap, der er indgået som led i en velordnet
realisering eller omstrukturering af gælden: I overensstemmelse med Basel III-standarderne
må den gældende risikovægt ikke være lavere end den risikovægt, der ville finde anvendelse,
hvis beholdningen forblev i gældsporteføljen.
Mange af EU's institutter har mangeårige, strategiske egenkapitalinvesteringer i finansielle og
ikkefinansielle virksomheder. Basel III-standarderne øger risikovægtene for alle typer af
aktieeksponeringer over en overgangsperiode på fem år uden at fastsætte en specifik
behandling for strategiske egenkapitalinvesteringer. Anvendelse af den mere konservative
tilgang, der er indbygget i Basel III-standarderne, på hele beholdningen af eksisterende
aktiebeholdninger kan være til fare for eksisterende strategiske forbindelsers økonomiske
levedygtighed.
DA 20 DA
Med henblik herpå ændres artikel 49 for at fastsætte den risikovægt, der finder anvendelse på
aktieeksponeringer mod enheder i den finansielle sektor inden for det samme
anvendelsesområde som konsolideringsreglerne (for koncerner) eller — med forbehold af
tilsynsmæssig godkendelse — på institutter, som henhører under den samme
institutsikringsordning, til 100 % og dermed bibeholde den nuværende behandling for de
fleste berørte enheder.
En ny artikel 495a indsættes desuden for at fastsætte en gradvis indfasning af de nye
risikovægte, som finder anvendelse på aktieeksponeringer. Derudover fastsætter den nye
artikel overgangsbestemmelser for den nuværende behandling af historiske og strategiske
egenkapitalinvesteringer, der i løbet af de seneste 10 år har været i et instituts besiddelse, i
enheder, heriblandt forsikringsselskaber, på hvilke det udøver en betydelig indflydelse.
Misligholdte eksponeringer
Artikel 127 ændres for nærmere at beskrive risikovægtningen af nedslag i erhvervelser af
misligholdte eksponeringer som bebudet i meddelelsen "Håndtering af misligholdte lån efter
covid-19-pandemien". Til dette formål redegør forslaget for, at institutterne kan tage hensyn
til nedslaget i erhvervede misligholdte aktiver, når de bestemmer den passende risikovægt,
som skal anvendes på misligholdte eksponeringer. Dette supplerer EBA's igangværende
arbejde med henblik på at ændre de reguleringsmæssige tekniske standarder for
kreditrisikojusteringer.
Yderligere ændringer af artikel 127 tilpasser ordlyden til den ordlyd, der er anvendt i de
reviderede Basel III-standarder.
Brug af kreditvurderinger foretaget af eksterne kreditvurderingsinstitutter og kortlægning
Med det formål at præge eventuelle fremtidige initiativer vedrørende oprettelse af offentlige
eller private kreditvurderingsordninger ændres artikel 135 for at give de europæiske
tilsynsmyndigheder (ESA'erne) mandat til at udarbejde en rapport om hindringer for
adgangen til eksterne kreditvurderinger foretaget af ECAI'er, navnlig for virksomheder, og
om mulige foranstaltninger til at afhjælpe disse.
Kreditrisikorammen — interne ratingbaserede metoder
Indskrænkning af anvendelsesområdet for interne ratingbaserede metoder
Kapitalgrundlagskrav for kreditrisiko, som er baseret på institutternes interne modeller, er
forbundet med betydelige fordele med hensyn til risikofølsomhed, institutternes forståelse for
deres risici samt de lige konkurrencevilkår blandt institutterne i Unionen. Finanskrisen
fremhævede imidlertid store mangler i IRB-metoderne. En række undersøgelser, som blev
foretaget på både internationalt plan og på EU-plan, påviste en uacceptabelt stor variation i
kapitalkravene på tværs af institutterne, som ikke alene kan forklares med forskelle i
risikoniveauet i institutternes porteføljer. Dette er til hinder for sammenligningen af
kapitalprocenter, og det har indvirkning på de lige konkurrencevilkår blandt institutterne.
Krisen har ligeledes afsløret tilfælde, hvor de tab, som institutterne havde pådraget sig, i
forbindelse med visse porteføljer var væsentligt højere end modelprognoserne, hvilket
resulterede i, at institutterne besad utilstrækkelige kapitalniveauer.
Institutterne pådrog sig disse tab, fordi den gældende ramme indeholdt utilstrækkelige
begrænsninger, hvad angår tilgængeligheden af IRB-metoder for eksponeringsklasser, der er
vanskelige at modelberegne, og fordi rammen i princippet opfordrede de institutter, der havde
til hensigt at anvende IRB-metoden for nogle af deres eksponeringer, til at tage den brug for
alle eksponeringer.
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Artikel 150 og 151, stk. 8, ændres for at begrænse de eksponeringsklasser, for hvilke der kan
anvendes interne modeller til at beregne deres kapitalgrundlagskrav for kreditrisiko, hvilket
gennemfører Basel III-standarderne. Mere specifikt er brugen af den avancerede IRB-metode
("A-IRB-metode"), som giver mulighed for modelberegning af alle risikoparametre, kun
tilladt for de eksponeringsklasser, for hvilke robust modelberegning er mulig, hvorimod andre
eksponeringsklasser "overføres" til mindre sofistikerede metoder:
 for eksponeringer mod selskaber, som har en samlet konsolideret årsomsætning på
mere end 500 mio. EUR. eller tilhører en koncern, hvor den samlede årsomsætning
for den konsoliderede koncern er på mere end 500 mio. EUR ("store selskaber"), for
eksponeringer mod institutter og andre enheder i den finansielle sektor (herunder
dem, der behandles som selskaber) er brugen af den avancerede IRB-metode ikke
længere mulig — for disse eksponeringer kan institutterne anvende den
grundlæggende IRB-metode ("F-IRB-metode") og dermed kun modelberegne
sandsynligheden for misligholdelse (PD).
 For aktieeksponeringer kan IRB-metoden ikke længere anvendes — for disse
eksponeringer skal institutterne benytte SA-CR.
Begrænsning af brugen af avancerede modelberegningsmetoder forventes at fjerne en vigtigt
kilde til ubehørig forskellighed blandt risikovægte og dermed gøre det nemmere at
sammenligne kapitalgrundlagskrav. Endvidere vil den fjerne en kilde til unødvendig
kompleksitet i rammen.
Ny eksponeringsklasse for regionale og lokale myndigheder samt offentlige enheder
På nuværende tidspunkt kan eksponeringer mod offentlige enheder (PSE'er) og regionale og
lokale myndigheder (RGLA'er) behandles enten som eksponeringer mod centralregeringer
eller som eksponeringer mod institutter. De eksponeringer, der behandles som eksponeringer
mod institutter, skal overføres til F-IRDB-metoden i henhold til de reviderede Basel III-
standarder og dermed omfattes af begrænsninger med hensyn til modelberegning, hvorimod
eksponeringer, der behandles som eksponeringer mod centralregeringer, ikke overføres. For at
reducere ubehørig kompleksitet i rammen, sikre en konsekvent behandling af eksponeringer
mod PSE'er og RGLA'er og undgå utilsigtet forskellighed blandt de tilknyttede
kapitalgrundlagskrav foreslås det at oprette en ny "PSE-RGLA-eksponeringsklasse" i artikel
147, stk. 2, til hvilken alle disse enheder vil blive overført (uanset deres nuværende
behandling som eksponeringer mod centralregeringer eller centralbanker eller som
eksponeringer mod institutter), og at lade denne nye eksponeringsklasse omfatte af de samme
regler, som dem, der finder anvendelse på eksponeringsklassen for almindelige
erhvervseksponeringer, jf. den nye artikel 151, stk. 11. Navnlig de inputgulve, der finder
anvendelse på erhvervseksponeringer, vil finde tilsvarende anvendelse på eksponeringer, som
tilhører PSE-RGLA-eksponeringsklassen.
Inputgulve efter A-IRB-metoden
Artikel 160, stk. 1, artikel 161, stk. 4, artikel 164, stk. 4, og artikel 166, stk. 8c, ændres for at
indføre minimumsværdier for institutternes egne estimater af IRB-parametre, der anvendes
som input ved beregning af risikovægtede aktiver ("inputgulve"). Disse inputgulve fungerer
som sikkerhedsforanstaltninger, der skal sikre, at kapitalgrundlagskrav ikke falder til under
forsvarligt forsigtige niveauer, hvilket afbøder modelrisikoen, målingsfejl, databegrænsninger
og gør det nemmere at sammenligne kapitalprocenter på tværs af institutter.
For så vidt angår PD-risikoparameteret øges de eksisterende inputgulve en smule (fra 0,03 %
under Basel II til 0,05 % under Basel III). For risikoparametrene tab givet misligholdelse
(LGD) og CCF udgør inputgulvene på den anden side nye krav, som er kalibreret på en
DA 22 DA
forsigtig måde. LGD-inputgulvet for usikrede eksponeringer mod selskaber fastsættes til 25 %
og til 30 % for ikkesikrede almindelige detaileksponeringer. En formel, der indeholder
konservative haircuts efter typen af sikkerhedsstillelse, fastsættes for sikrede eksponeringer,
mens det IRB-specifikke CCF-inputgulv fastsættes i henhold til 50 % af den gældende CFF
efter standardmetoden.
Behandling af eksponeringer mod centralregeringer eller centralbanker
En ny artikel 159a tilføjes for i overensstemmelse med Basel III-standarderne at præcisere, at
de nye inputgulve (som er beskrevet i foregående afsnit), som finder anvendelse på
institutternes egne estimater af PD, LGD og CCF, ikke finder anvendelse på eksponeringer
mod centralregeringer eller centralbanker.
"Justeringsfaktoren på 1,06" udgår fra risikovægtningsformlen
I overensstemmelse med Basel III-standarderne ændres artikel 153, stk. 1, og artikel 154, stk.
1, således at "justeringsfaktoren på 1,06", som finder anvendelse de risikovægtede
eksponeringsbeløb for kreditrisiko efter IRB-metoderne, udgår, og dermed forenkles
beregningen, og forøgelsen af kalibreringen på 6 % af de IRB-risikovægte, der finder
anvendelse i henhold til den nuværende ramme, afskaffes.
Afskaffelse af double default-behandlingen
Artikel 153, stk. 3, artikel 154, stk. 2, artikel 202 og artikel 217 ændres for at afskaffe double
default-metoden, som finder anvendelse på visse garanterede eksponeringer, hvilket medfører,
at der kun findes én generel formel til beregning af risikovægte, og forenkler rammen som
fastsat i Basel III-standarderne. Med færre indbyggede muligheder sikrer den reviderede
beregning, at det bliver nemmere at sammenligne risikovægtede aktiver på tværs af institutter,
og at ubehørig forskellighed reduceres.
Ibrugtagning af IRB-metoderne og delvis anvendelse på permanent basis
I henhold til de endelige Basel III-standarder er et instituts vedtagelse af IRB-metoderne for
én eksponeringsklasse ikke længere betinget af det forhold, at alle eksponeringsklasser i dets
bankbog i sidste ende bør behandles efter IRB-metoden ("ibrugtagning af IRB-metoden"),
med undtagelse af de eksponeringer, for hvilke en delvis anvendelse på permanent basis
(PPU) af SA-CR er tilladt i henhold til reglerne og godkendt af den kompetente myndigheder.
Dette nye princip gennemføres i artikel 148 og 150, hvorved institutterne får mulighed for at
foretage en selektiv anvendelse af IRB-metoderne.
Med henblik på at skabe lige konkurrencevilkår mellem de institutter, der på nuværende
tidspunkt behandler deres eksponeringer efter én af IRB-metoderne, og dem, som ikke gør
det, fastsættes der overgangsordninger i en ny artikel 494d, som giver institutterne mulighed
for at gå tilbage til SA-CR i en periode på tre år, forudsat at de kompetente myndigheder har
godkendt dette efter en forenklet procedure.
Reviderede risikoparametre efter de grundlæggende IRB-metoder
Artikel 161, stk. 1, ændres for at gennemføre de rekalibrerede LGD-værdier for privilegerede
usikrede eksponeringer mod selskaber (LGD på 40 % i stedet for 45 %). LGD-værdien for
udvandingsrisici vedrørende erhvervede erhvervsfordringer ændres også, således at den
tilpasses Baselbehandlingen.
Revideret anvendelsesområde og reviderede beregningsmetoder for egne estimater af
konverteringsfaktorer
Artikel 166, stk. 8, 8a, 8b og 8d, og artikel 182 ændres for at revidere anvendelsesområdet for
og beregningsmetoderne til beregning af egne estimater af CCF'er, som anvendes til at
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bestemme eksponeringsværdien af ikkebalanceførte poster, som ikke er derivatkontrakter.
Navnlig kræves det i henhold til de nye bestemmelser, at der anvendes en fast periode på 12
måneder forud for misligholdelse, på grundlag af hvilken der foretages egne estimater af
CCF'er, og der gives mulighed for kun at anvende egne estimater for specifikke tilsagn, for
hvilke den tilsvarende standardiserede CCF er lavere end 100 %.
Garantier givet af udbydere af kreditrisikoafdækning, som behandles efter en mindre
sofistikeret metode
Basel III-standarderne udgør en væsentlig revision af de metoder, som institutterne har
mulighed for at anvende, til at anerkende de risikoafbødende virkninger af anerkendte
garantier med henblik på bl.a. at begrænse udvalget af metoder og dermed reducere
forskelligheden blandt kapitalgrundlagskrav. Til dette formål fastsætter Basel III-standarderne
generelt, at den risikovægt, der skal anvendes på den usikrede del af eksponeringen, er den
risikovægt, som bør beregnes efter den metode, der anvendes på tilsvarende direkte
eksponeringer mod udbyderen af kreditrisikoafdækning. Hvis en eksponering, som behandles
efter A-IRB-metoden, garanteres af en garantistiller, som behandles efter F-IRB-metoden
eller SA-CR, fører anerkendelse af nævnte garanti til, at den garanterede eksponering
behandles efter henholdsvis F-IRB-metoden eller SA-CR. Anerkendelse af garantier efter A-
IRB-metoden skal foretages ved anvendelse af én af følgende metoder:
 metoden med substitution af risikovægt, hvor låntagers risikovægt erstattes med
garantistillers risikovægt, såfremt tilsvarende direkte eksponeringer mod
garantistiller behandles efter SA-CR (artikel 235a)
 metoden med substitution af risikoparametre, hvor låntagers risikoparametre erstattes
med de risikoparametre, der er forbundet med tilsvarende direkte eksponeringer mod
garantistiller, såfremt tilsvarende direkte eksponeringer mod garantistiller behandles
efter IRB-metoden (artikel 236a) eller
 justering af LGD-estimaterne eller af både PD- og LGD-estimaterne (artikel 183). I
forslaget præciseres det, at anerkendelse af en garanti efter denne metode aldrig bør
føre til, at den garanterede eksponering tildeles en risikovægt, som er lavere end
risikovægten for en tilsvarende direkte eksponering mod garantistiller. Dette
påtænkes for at bevare konsekvensen i rammen med hensyn til risikovurdering og
forhindre en situation, hvor en indirekte eksponering mod en bestemt udbyder af
kreditrisikoafdækning kan tildeles en lavere risikovægt end en tilsvarende direkte
eksponering, hvis selvsamme udbyder af kreditrisikoafdækning er låntageren.
Specialiseret långivning efter A-IRB-metoden
Begrænsningerne vedrørende modelberegning i henhold til Basel III-standarderne er relativt
begrænsede for så vidt angår behandlingen af specialiseret långivning efter IRB-metoderne.
Selv om der gælder nedre grænser for risikoparametre, kan A-IRB-metoden fortsat anvendes
uafhængigt af låntagers størrelse, i modsætning til den behandling, som finder anvendelse på
andre erhvervseksponeringer. Ikke desto mindre finder de nye nedre grænser for
risikoparametre, som gælder for erhvervseksponeringer, også anvendelse på specialiseret
långivning uden anerkendelse af den specifikke udlånspraksis, som indebærer
sikkerhedsforanstaltninger til at afbøde kreditrisikoen.
Derfor indsættes en nye artikel 495b med henblik på indfasning af de nye nedre grænser, som
indledes med en diskonteringsfaktor på 50 %, som stiger gradvist til 100 % over en periode på
fem år. I nævnte artikel gives EBA desuden mandat til vurdere tilstrækkeligheden af de PD-
og LGD-inputgulve, der finder anvendelse på specialiseret långivning, og bemyndiges
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Kommissionen til revidere parametrene ved hjælp af en delegeret retsakt baseret på EBA's
vurdering.
Bemyndigelsesklausuler med hensyn til leasingeksponeringer og kreditforsikring
Institutter i EU har udviklet et højt niveau af ekspertise og risikostyring på leasingområdet
samt inden for brugen af kreditforsikring, navnlig til handelsfinansieringsformål. Da der ikke
foreligger tilstrækkelige data, er det fortsat uklart, om de nye risikoparametre er kalibreret på
en hensigtsmæssig måde, således at de afspejler de risikoafbødende virkninger af
sikkerhedsstillelse for leasing, og hvilke karakteristika kreditforsikringer skal have for at blive
anerkendt som anerkendt kreditrisikoafdækning.
Derfor indsættes en ny artikel 495c, hvorved EBA får mandat til at vurdere
hensigtsmæssigheden af risikokalibreringen i henhold til Basel III af de parametre, som finder
anvendelse på leasingeksponeringer, navnlig de nye haircuts i forbindelse med
sikkerhedsstillelse ("volatilitetsjusteringer") og lovpligtige værdier for sikret LGD.
Kommissionen bemyndiges til at revidere kalibreringen ved hjælp af en delegeret retsakt, hvis
det er relevant, idet den tager hensyn til EBA's rapport. I mellemtiden gælder en indfasning på
fem år for de nye risikoparametre efter A-IRB-metoden.
Endvidere indsættes en ny artikel 495d, hvorved EBA får mandat til at aflægge rapport til
Kommissionen om anerkendelse og brug af kreditforsikring som risikoreduktionsteknik og
om de passende risikoparametre, som de bør være forbundet med efter SA-CR og den
grundlæggende IRB-metode. Med udgangspunkt i nævnte rapport skal Kommissionen, hvis
det er relevant, fremsætte et lovgivningsforslag om brugen af kreditforsikring som
risikoreduktionsteknik.
Kreditrisikorammen — kreditrisikoreduktionsteknikker
Artikel 224-230 ændres for at gennemføre Basel III-reglerne og -metoderne vedrørende
hensyntagen til sikkerhedsstillelse og garantier efter både SA-CR og F-IRB-metoden. Navnlig
de tilsynsmæssige haircuts, der finder anvendelse på finansiel sikkerhed efter den udbyggede
metode for finansielle sikkerheder, er blevet revideret, og det samme er værdierne for sikrede
LGD'er og haircuts i forbindelse med sikkerhedsstillelse, som finder anvendelse på
eksponeringer, der behandles efter F-IRB-metoden.
Artikel 213, stk. 1, litra c), nr. iii), og artikel 215, stk. 2, ændres for at redegøre for
anerkendelseskriterierne for henholdsvis garantier og garantier, som ydes inden for rammerne
af gensidige garantiordninger, eller som udstedes eller regaranteres af bestemte enheder. Disse
redegørelser bør især skabe større klarhed over anerkendelsen af offentlige garantiordninger,
der er oprettet i forbindelse med covid-19-krisen, som kreditrisikoreduktionsteknikker.
Markedsrisikorammen
I 2016 offentliggjorde BCBS et første sæt reviderede markedsrisikostandarder, kendt som den
grundlæggende revision af handelsbeholdningen (FRTB), med henblik på at afhjælpe
identificerede mangler i rammen for kapitalkrav i relation til markedsrisiko forbundet med
positioner i handelsbeholdningen. I forbindelse med overvågningen af FRTB-standardernes
indvirkning identificerede BCBS en række problemer med FRTB-standarderne og
offentligjorde som resultat heraf reviderede FRTB-standarder i januar 2019.
I november 2016 foreslog Kommissionen oprindeligt at indføre bindende
kapitalgrundlagskrav baseret på FRTB-standarderne som led i CRR II for at afhjælpe
manglerne i markedsrisikorammen. I betragtning af BCBS' efterfølgende beslutning om at
revidere disse standarder, med tidsplaner, der er uforenelige med milepælene i
DA 25 DA
forhandlingsprocessen vedrørende CRR II, besluttede Europa-Parlamentet og Rådet imidlertid
udelukkende at gennemføre FRTB-standarderne i CRR II til indberetningsformål. Indførelsen
af kapitalgrundlagskrav baseret på FRTB-standarderne blev udsat til et senere tidspunkt
gennem vedtagelse af et separat lovgivningsforslag.
Med henblik på at indføre bindende kapitalgrundlagskrav i relation til markedsrisiko, som er i
overensstemmelse med de reviderede FRTB-standarder, foretages der en række ændringer af
CRR.
Genstand, anvendelsesområde og definitioner
Artikel 4 ændres for at redegøre for definitionen af handelsenhed.
Kapitalgrundlagsposter
Artikel 34 ændres for at inkludere en undtagelse, hvorved institutterne under ekstraordinære
omstændigheder får mulighed for at reducere de samlede yderligere værdijusteringer, baseret
på en udtalelse fra EBA, med henblik på at tage højde for den procykliske udvikling, der er
indbygget i de yderligere værdijusteringer, som fratrækkes den egentlige kernekapital.
Generelle krav, værdiansættelse og indberetning
Artikel 102 ændres for at indføre FRTB-metoderne med henblik på beregning af
kapitalgrundlagskrav. Artikel 104 erstattes for at revidere det kriterie, der anvendes til at lade
positioner opføre i handelsbeholdningen eller uden for handelsbeholdningen (dvs. i
bankbogen). Den indfører ligeledes en undtagelse, som giver et institut mulighed for at lade
specifikke instrumenter opføre uden for handelsbeholdningen, som ellers ville være blevet
opført i handelsbeholdningen. Undtagelsen er underlagt meget strenge betingelser og en
godkendelse fra instituttets kompetente myndighed. Artikel 104 ændres for yderligere at
præciserede de betingelser, der skal være opfyldt for at omklassificere et instrument fra én
beholdning til en anden. Artikel 104b ændres for at indføre en undtagelse, der giver
institutterne mulighed for at oprette særlige handelsenheder, til hvilke institutterne
udelukkende kan henregne positioner uden for handelsbeholdningen, som er udsat for
valutakursrisici og råvarerisici. Artikel 104c indføres for at redegøre for behandlingen af
valutakursrisikoafdækninger af kapitalprocenter, som giver institutterne mulighed for under
visse betingelser at udelukke bestemte positioner fra beregningen af kapitalgrundlagskravene
for valutakursrisici. Artikel 106 ændres for at redegøre for de eksisterende bestemmelser
vedrørende overførsler af interne risici.
Almindelige bestemmelser
Artikel 325 ændres for at indføre bindende kapitalgrundlagskrav i relation til markedsrisiko
baseret på de FRTB-metoder, der er fastsat i kapitel 1a (alternative standardmetode eller "A-
SA"), 1b (alternativ metode med interne modeller eller "A-IMA"), og 2-4 (forenklet
standardmetode eller "SSA"), samt betingelser for anvendelse heraf og den hyppighed,
hvormed kapitalgrundlagskravene beregnes. Der indføres ligeledes en fritagelse for
institutterne fra at beregne kapitalgrundlagskrav for positioner, som er udsat for
valutakursrisici, og som fratrækkes deres eget kapitalgrundlag.
Artikel 325a ændres for at indføre anerkendelseskriterierne med henblik på anvendelse af
SSA.
I artikel 325b præciseres beregningen af kapitalgrundlagskrav i relation til markedsrisiko på
konsolideret niveau.
Den alternative standardmetode
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Artikel 325c ændres for at indføre yderligere kvalitative krav vedrørende validering,
dokumentation og styring af A-SA.
Artikel 325j ændres for at redegøre for visse elementer i de endelige FRTB-standarder med
hensyn til behandlingen af investeringer i fonde (dvs. kollektive investeringsordninger eller
"CIU'er") og for at indføre nogle målrettede justeringer af beregningen af
kapitalgrundlagskravene for disse positioner, således at det sikres, at behandlingen af CIU'er
efter standardmetoden ikke øger beregningens kompleksitet på uforholdsmæssig vis, og at den
er mere gunstig, i betragtning af at CIU'er spiller en vigtig rolle for at fremme
akkumuleringen af personlig opsparing, hvad enten det er med henblik på store investeringer
eller pension. Der tages højde for disse mål ved at præcisere, at institutterne en gang om
måneden bør anvende transparensmetoden for de positioner i CIU'er, som er berørt af denne
metode, og ved at give institutterne mulighed for på specifikke betingelser at anvende data,
som er forelagt af relevante tredjeparter, ved beregningen af kapitalgrundlagskravene efter
transparensmetoden. I henhold til mandatmetoden indføres der i artikel 325j desuden et
mandat for EBA til yderligere at præcisere de tekniske elementer, som institutterne skal gøre
brug af til at opbygge den hypotetiske portefølje, som anvendes ved beregningen af
kapitalgrundlagskravene.
Artikel 325q ændres for at redegøre for behandlingen af vegavalutakursrisikofaktorer.
Artikel 325s ændres for at justere formlen for vegarisikofølsomheder.
Artikel 325t ændres for yderligere at justere de følsomheder, der anvendes ved beregningen af
kapitalgrundlagskrav, i forhold til de følsomheder, der anvendes i forbindelse med instituttets
risikostyring.
En bestemmelse vedrørende handlede kredit- og aktiederivater, der ikke er securitiseringer,
flyttes fra artikel 325b til den mere relevante artikel 325v.
Artikel 325y, 325am, 325ah og 325ak ændres på tilsvarende vis for at redegøre for
henføringen til kreditkvalitetskategorier efter A-SA.
Artikel 325e ændres for at redegøre for behandlingen af inflationsrisikofaktoren og
valutabasisrisikofaktorer.
Artikel 325ah og 325ak ændres for at redegøre for risikovægtene for særligt dækkede
obligationer og særligt dækkede realkreditobligationer (både eksternt kreditvurderede og
ikkekreditvurderede).
Artikel 325i og 325aj ændres for at præcisere værdien af korrelationsparametre.
Artikel 325as ændres for at indføre en lavere risikovægt for deltaråvarerisikofaktorer, som er
forbundet med CO2-emissionshandel. I henhold til de endelige Basel III-standarder sidestilles
emissionskvoter med elkontrakter, hvilket kan vise sig at være for konservativt i lyset af
historiske data med relevans for EU's marked for emissionskvoter. Kommissionens oprettelse
af markedsstabilitetsreserven i 2015 har faktisk stabiliseret volatiliteten i priserne på kvoter
under emissionshandelssystemet (ETS-kvoter). Dette berettiger oprettelsen af en specifik
risikokategori for ETS-kvoter efter A-SA, som adskiller sig fra elektricitet, med en lavere
risikovægt på 40 % for bedre at afspejle denne EU-specifikke råvares reelle prisvolatilitet.
Artikel 325ax ændres for at redegøre for risikovægtene for følsomheder over for
vegarisikofaktorer.
Den alternative metode med interne modeller
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Artikel 325az ændres for at beskrive de betingelser, som institutterne skal opfylde for at blive
meddelt tilladelse til at anvende A-IMA til beregningen af kapitalgrundlagskrav i relation til
markedsrisiko.
Artikel 325ba ændres for at indføre formlen for aggregering af de kapitalgrundlagskrav, der
beregnes efter A-IMA.
Artikel 325bc ændres for at indføre et mandat for EBA til at udarbejde reguleringsmæssige
tekniske standarder, som præciserer kriterierne for anvendelse af datainput i
risikomålingsmoden.
Artikel 325be ændres for at præcisere nye beføjelser for kompetente myndigheder med
hensyn til den vurdering af risikofaktorernes modellerbarhed, der foretages af institutter, som
anvender A-IMA.
Artikel 325bf ændres for at indføre nye beføjelser for kompetente myndigheder til at afhjælpe
mangler i modeller og med hensyn til de backtesting-krav, der opfyldes af institutter, som
anvender A-IMA.
Artikel 325bg ændres for at indføre bindende krav vedrørende fordeling af overskud og tab,
der foretages af institutter, som anvender A-IMA.
Artikel 325bh ændres for at indføre justeringer af beregningen af kapitalgrundlagskrav i
relation til markedsrisiko for CIU'ers positioner efter A-IMA, navnlig for at sikre, at flere
CIU'er kan anerkendes efter nævnte metode. På samme måde som ændringerne af
behandlingen af CIU'er efter A-SA har institutterne mulighed for på specifikke betingelser at
benytte data, som er forelagt af relevante tredjeparter, ved beregningen af
kapitalgrundlagskravene efter transparensmetoden og skal anvende transparensmetoden
mindst én gang om ugen.
Artikel 325bi ændres for at redegøre for de ansvarsområder, der tillægges
risikokontrolenheden og valideringsenheden, med hensyn til risikostyringssystemet.
Artikel 325bp ændres for yderligere at beskrive de situationer, hvor institutterne har mulighed
for at benytte en IRB-model til at foretage estimater af sandsynligheden for misligholdelse og
tab givet misligholdelse med henblik på beregningen af kapitalgrundlagskravene vedrørende
misligholdelsesrisici.
Artikel 337, 338, 352 og 361 ændres for at erstatte eller lade bestemmelser udgå, som ikke
længere har relevans for brugen af SSA.
Anvendelse af interne modeller til beregning af kapitalgrundlagskrav
Kapitel 5 udgår, idet den nuværende metode med interne modeller ("IMA"), der benyttes til at
beregne kapitalgrundlagskrav i relation til markedsrisiko, udskiftes med A-IMA i kapitel 1b.
Delegerede retsakter og gennemførelsesretsakter
I betragtning af den usikkerhed, der er forbundet med, hvorvidt store jurisdiktioner vil fravige
de endelige Basel III-standarder, når de gennemfører FRTB, og betydningen af i praksis at
sikre lige konkurrencevilkår mellem institutter, der er etableret i Unionen, og tilsvarende
internationale institutter, bemyndiges Kommissionen i artikel 461a til at vedtage delegerede
retsakter for at ændre metoderne til beregning af kapitalgrundlagskravene i relation til
markedsrisiko og til at ændre datoen for anvendelsen af disse metoder med det formål at
tilpasse dem til udviklingen på internationalt plan.
Rammen for kreditværdijusteringsrisiko ("CVA-rammen")
DA 28 DA
Kreditværdijustering (CVA) er en regnskabsmæssig justering til dagsværdi af prisen på en
derivattransaktion med det formål at fastsætte bestemmelser, som modvirker potentielle tab,
der skyldes en forringelse af kreditværdigheden hos modparten i nævnte transaktion. Under
finanskrisen pådrog en række systemisk vigtige banker sig væsentlige CVA-tab på deres
derivatporteføljer på grund af en forringelse af mange af deres modparters kreditværdighed på
samme tid. Som følge heraf indførte BCBS i 2011 som led i det første sæt Basel III-reformer
nye standarder for beregning af kapitalkrav i relation til kreditværdijusteringsrisiko for at
sikre, at bankernes kreditværdijusteringsrisiko i fremtiden vil være dækket af tilstrækkelig
kapital. Disse Basel III-standarder blev implementeret i EU-retten i 2013 gennem CRR.
Ikke desto mindre gav bankerne og tilsynsmyndighederne udtryk for tvivl om, hvorvidt
standarderne fra 2011 i tilstrækkelig grad tog højde for den reelle kreditværdijusteringsrisiko,
som bankerne var eksponeret for. Navnlig tre specifikke kritikpunkter blev fremhævet med
hensyn til nævnte standarder: i) at de metoder, der er fastsat i de pågældende standarder,
mangler risikofølsomhed, ii) at de ikke anerkender CVA-modeller, der er udviklet af banker
til regnskabsformål og iii), at de metoder, der er fastsat i de pågældende standarder ikke tager
højde for den markedsrisiko, der ligger i derivattransaktioner med modparten. For at
imødekomme denne tvivl offentliggjorde BCBS i december 2017 reviderede standarder som
led i de endelige Basel III-reformer og justerede yderligere kalibreringen af disse i en
revideret udgave i juli 2020. Med henblik på at tilpasse den til BCBS-standarderne fra 2020
foretages der en række ændringer af CRR.
I artikel 381 indføres der en definition af CVS-risiko for at tage højde for både
kreditspændsrisikoen forbundet med et instituts modpart og markedsrisikoen forbundet med
den portefølje af transaktioner, som handles af det pågældende institut med den pågældende
modpart.
Artikel 382 ændres for at redegøre for de værdipapirfinansieringstransaktioner, der er
underlagt kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko. Endvidere
indføres der en ny bestemmelse, som pålægger institutterne at indberette resultaterne af
beregningen af kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko for
transaktioner, der er fritaget i overensstemmelse med nævnte artikel. Det præciseres
yderligere, at institutter, som afdækker den kreditværdijusteringsrisiko, der er forbundet med
disse fritagede transaktioner, har skønsbeføjelse med hensyn til at beregne
kapitalgrundlagskrav for kreditværdijusteringsrisiko forbundet med disse transaktioner, idet
de tager hensyn til de pågældende afdækninger, der kan indregnes. Endelig indføres der nye
mandater for EBA til udarbejdelsen af retningslinjer, som skal hjælpe tilsynsmyndigheder
med at identificere overdreven kreditværdijusteringsrisiko, og til udarbejdelsen af
reguleringsmæssige tekniske standarder, som skal præcisere betingelserne for vurdering af,
om kreditværdijusteringsrisikoeksponeringer, som skyldes
værdipapirfinansieringstransaktioner til dagsværdi, er væsentlige.
Der indsættes en artikel 382a for at fastsætte nye metoder, som institutterne bør benytte til
beregning af deres kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko samt
betingelserne for brugen af en kombination af disse metoder.
Artikel 383 erstattes for at indføre de generelle krav vedrørende brugen af standardmetoden til
beregning af kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko samt
definitionen af lovpligtig kreditværdijusteringsrisiko til dette formål. Artikel 383-383x
indsættes for yderligere at præcisere de tekniske elementer i standardmetoden.
Artikel 384 erstattes for at indføre basismetoden til beregning af kapitalgrundlagskravene i
relation til kreditværdijusteringsrisiko i overensstemmelse med Basel III-standarderne.
DA 29 DA
Artikel 385 erstattes for indføre den forenklede metode til beregning af
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko samt
anerkendelseskriterierne for brug af den forenklede metode.
Endelig ændres artikel 386 for at afspejle de ny krav, som gælder for afdækninger, der kan
indregnes, med henblik på kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko.
Regelsættet vedrørende den nedre haircutgrænse for VFT'er
Værdipapirfinansieringstransaktioner (VFT'er) spiller en vigtigt rolle i Unionens finansielle
system ved at give finansieringsinstitutterne mulighed for af forvalte deres egen
likviditetspositioner og understøtte deres market making-aktiviteter i relation til værdipapirer.
VFT'er er også vigtige for centralbankerne, da disse transaktioner sætter dem i stand til via
finansieringsinstitutter at overføre deres pengepolitiske planer til realøkonomien. VFT'er kan
imidlertid også sætte markedsdeltagerne i stand til geare deres positioner rekursivt ved at
geninvestere sikkerhed i form af kontanter og genanvende sikkerhed i form af andet end
kontanter. For at afbøde risikoen for opbygning af overdreven gearing uden for banksektoren
offentliggjorde Rådet for Finansiel Stabilitet (FSB) i 2013 en henstilling39
til dets
medlemsjurisdiktioner om, at indføre minimumshaircuts i forbindelse med sikkerhedsstillelse
for visse ikke centralt clearede VFT'er, som handles mellem banker og ikkebanker. I henhold
til denne henstilling bør sådanne minimumshaircuts i forbindelse med sikkerhedsstillelse
indføres efter ønske i den enkelte jurisdiktion enten direkte gennem markedsregulering eller
indirekte gennem et mere pønalt begrundet kapitalkrav. Sidstnævnte blev udarbejdet af BCBS
i 2017 som led i de endelige Basel III-reformer.
Det fremgik imidlertid af henstillingerne fra EBA i dens særlige rapport40
om gennemførelsen
af regelsættet vedrørende de nedre haircutgrænser for VFT'er i EU-retten og fra ESMA i dens
rapport41
om VFT'er og gearing i EU, at det ikke stod klart, hvilken indvirkning anvendelsen
af et sådant regelsæt ville have på institutterne. I nævnte henstillinger blev der ligeledes givet
udtryk for betænkeligheder ved, at anvendelsen af dette regelsæt på visse typer af VFT'er kan
skabe uønskede konsekvenser for disse finansielle aktiviteter. Det står desuden endnu ikke
klart, om det ville være mere hensigtsmæssigt at anvende regelsættet på institutterne som et
mere pønalt begrundet kapitalgrundlagskrav eller snarere som markedsregulering. Anvendelse
af regelsættet på institutterne som et mere pønalt begrundet kapitalgrundlagskrav ville give
institutter, som ikke efterlever disse nedre haircutgrænser, mulighed for at fortsætte disse
finansielle aktiviteter med pålæggelse af en sanktion. Alternativt ville anvendelse af
regelsættet som markedsregulering sikre lige konkurrencevilkår for alle markedsdeltagere,
hvis Unionen beslutter at indføre en lignende markedsregulering for relevante VFT'er mellem
ikkebanker, således som FSB ligeledes henstiller til i ovennævnte rapport fra 2013.
På denne baggrund indføres der i artikel 519c et mandat for EBA til i tæt samarbejde med
ESMA at aflægge rapport til Kommissionen om det hensigtsmæssige i at gennemføre
regelsættet vedrørende de nedre haircutgrænser, som finder anvendelse på VFT'er, i Unionen.
På grundlag af denne rapport vil Kommissionen, hvis det er relevant, fremsætte et
lovgivningsforslag for Europa-Parlamentet og Rådet.
39
FSB: Strengthening Oversight and Regulation of Shadow Banking, 29. august 2013, kan tilgås her:
https://www.fsb.org/wp-content/uploads/r_130829b.pdf.
40
Den Europæiske Banktilsynsmyndighed: Policy Advice on the Basel III Reforms: Operational Risk,
EBA-OP-2019-09b, 2. august 2019.
41
Den Europæiske Værdipapir- og Markedstilsynsmyndighed: Report on securities financing transactions
and leverage in the EU, oktober 2016.
DA 30 DA
Operationel risiko
Ny standardmetode, som skal erstatte alle eksisterende metoder i relation til operationel
risiko
BCBS har revideret den internationale standard for operationel risiko for at afhjælpe
svagheder, som opstod i kølvandet på den finansielle krise i 2008-2009. Foruden en mangel
på risikofølsomhed i standardmetoderne, blev der konstateret en mangel på
sammenlignelighed, som skyldes de mange forskellige former for intern modelleringspraksis
efter de avancerede målemetoder (AMA). På denne baggrund og for at gøre rammen mere
enkel blev alle eksisterende metoder til beregning af kapitalgrundlagskravene for operationel
risiko erstattet af en fælles, ikkemodelbaseret metode, som alle institutter skal benytte. Selv
om modeller, f.eks. de modeller, der er udviklet efter AMA, ikke længere kan benyttes i
forbindelse med denne ramme til at bestemme kapitalgrundlagskrav i relation til operationel
risiko, vil institutterne fortsat have skønsbeføjelse med hensyn til at benytte disse modeller i
forbindelse med processen til vurdering af den interne kapital (ICAAP).
Den nye standardmetode gennemføres i Unionen ved at udskifte del tre, afsnit III, i CRR.
Endvidere foretages der yderligere tilpasninger af flere andre artikler i CRR primært med
henblik på i) at indføre klare og harmoniserede definitioner med tilknytning til operationel
risiko (artikel 4, stk. 1, nr. 52a), 52b) og 52c)), således som EBA henstiller til i sit svar42
på
Kommissionens anmodning om rådgivning fra 2019, og ii) at afspejle udskiftningen af afsnit
III i hele CRR (f.eks. udgår de tidligere henvisninger til afsnit III i artikel 20). Endelig gives
EBA mandat til at aflægge rapport til Kommissionen om brugen af forsikring i forbindelse
med rammen for operationel risiko (artikel 519d). Rapporten er nødvendig, da der blandt
tilsynsmyndighederne er opstået tvivl om, hvorvidt den nye standardmetode for operationel
risiko gennem brugen af forsikring kan give mulighed for regelarbitrage
Beregning af kapitalgrundlagskrav i relation til operationel risiko
I henhold til de endelige Basel III-standarder kombinerer den nye standardmetode for
operationel risiko en indikator, der beror på omfanget af et instituts aktiviteter
(forretningsindikatorkomponenten eller "BIC"), med en indikator, der tager hensyn til dette
instituts tabshistorik. I den reviderede Baselstandard påtænkes en række skønsbeføjelser
vedrørende, hvordan sidstnævnte indikator kan gennemføres. Jurisdiktioner kan se bort fra
historiske tab ved beregningen af kapital til dækning af operationel risiko for alle relevante
institutter; de kan yderligere tage hensyn til historiske tab, selv for institutter med aktiviteter
under en vis størrelsesorden. Med henblik på beregning af minimumskravene til
kapitalgrundlag for at sikre lige konkurrencevilkår i Unionen og for at forenkle beregningen
af kapital til dækning af operationel risiko, udøves nævnte skønsbeføjelser på en harmoniseret
måde, idet der ses bort fra historiske operationelle tab for alle institutter.
Beregningen af BIC er fastsat i det nye kapitel 1 i afsnit III (ny artikel 312-315). I Unionen vil
minimumskravene til kapitalgrundlag i relation til operationel risiko være baseret
udelukkende på BIC (artikel 312). Beregningen af BIC, som er baseret på den såkaldte
forretningsindikator, er fastsat i artikel 313, mens definitionen af forretningsindikatoren,
herunder dets komponenter og mulige tilpasninger som følge af fusioner, overtagelser eller
afvikling af investeringer, er fastsat i artikel 314 og 315.
42
EBA, Policy advice on the Basel reforms: Operational Risk, EBA/OP/2019/09b, 2. august 2019, kan
tilgås her:
https://www.eba.europa.eu/sites/default/documents/files/documents/10180/2886865/5db69327-7d3f-
4e6c-9ac9-fc54430781eb/Policy%20Advice%20on%20Basel%20III%20reforms%20-
%20Operational%20Risk.pdf?retry=1
DA 31 DA
Dataindsamling og -styring
Det nye kapitel 2 (ny artikel 316-323) fastsætter reglerne vedrørende dataindsamling og -
styring. Som følge af proportionalitetsprincippet er disse krav opdelt i regler, der finder
anvendelse på alle institutter, f.eks. bestemmelserne om rammerne for styring af operationel
risiko (artikel 323), og regler, som kun har relevans for institutter, som også skal fremlægge
oplysninger om historiske tab (artikel 446, stk. 2), og som dermed skal opretholde et
tabsdatasæt (artikel 317). I Unionen vil alle institutter, som har en forretningsindikator, der er
lig med eller højere end 750 mio. EUR, i overensstemmelse med EBA's svar på
Kommissionens anmodning om rådgivning fra 2019, skulle opretholde et tabsdatasæt og
beregne deres årlige tab som følge af operationel risiko til oplysningsformål. For at sikre, at
de nye rammer fortsat er forholdsmæssigt afpassede vil de kompetente myndigheder kunne
indrømme en undtagelse fra dette krav, medmindre et instituts forretningsindikator overstiger
1 mia. EUR (artikel 316). Med henblik på at sikre en vis stabilitet over tid, navnlig for at
undgå, at midlertidige fald i forretningsindikatorens størrelse, som på ubehørig vis påvirker
denne vurdering, vil den relevante forretningsindikator være den højeste forretningsindikator,
der er indberettet i løbet af de to foregående år.
Elementer, der er relevante for beregningen af det årlige tab som følge af operationel risiko,
beskrives yderligere i artikel 318-321. Artikel 318 fastsætter, hvordan "bruttotabet" og
"nettotabet" bestemmes, og artikel 319 indeholder de relevante tabsdatatærskler på
henholdsvis 20 000 EUR og 100 000 EUR. Der kan ses bort fra visse exceptionelle hændelser
knyttet til operationel risiko, som ikke længere har relevans for et instituts risikoprofil,
forudsat at alle de dertil knyttede betingelser er opfyldt, og at instituttets tilsynsmyndighed har
meddelt tilladelse hertil (artikel 320). På samme måde kan et institut skulle inkludere
yderligere tab, f.eks. i forbindelse med overtagne eller fusionerede enheder (artikel 321).
Det er yderst vigtigt, at et instituts tabsdata er nøjagtige og fuldstændige. Derfor vil
tilsynsmyndighederne regelmæssigt skulle gennemgå kvaliteten af tabsdataene (artikel 322).
Gearingsgrad
Beregning af eksponeringsværdien af derivater
Siden vedtagelsen af forordning (EU) 2019/876 har BCBS yderligere revideret et specifikt
aspekt af sin ramme for gearingsgrad. For at lette leveringen af kundeclearingtjenester blev
behandlingen af kundeclearede derivater med henblik på gearingsgrad ændret i juni 201943
. I
henhold til de reviderede regler er behandlingen af disse derivater generelt tilpasset den
behandling, der er omhandlet i standardmetoden for modpartskreditrisiko (SA-CCR) i den
risikobaserede ramme. I sin rapport fra februar 2021 om gearingsgrad44
konkluderede
Kommissionen, at beregningen af det samlede eksponeringsmål bør justeres, således at
behandlingen af kundeclearede derivater tilpasses de internationalt aftalte standarder. Derfor
ændres artikel 429c.
Beregning af eksponeringsværdien af ikkebalanceførte poster
43
Baselkomitéen for Banktilsyn (2019): Behandling af gearingsgrad for kundeclearede derivater, juni
2019, kan tilgås på: https://www.bis.org/bcbs/publ/d467.pdf
44
Rapport fra Kommissionen til Europa-Parlamentet og Rådet om en mulig udvidelse af
gearingsgradbufferrammen til at omfatte O-SII'er og om definitionen og beregningen af det samlede
eksponeringsmål, herunder behandlingen af centralbankreserver, februar 2021, kan tilgås her:
https://eur-lex.europa.eu/legal-content/DA/TXT/?uri=CELEX%3A52021DC0062
DA 32 DA
I lyset af de foreslåede ændringer af artikel 4 og artikel 111, stk. 1, i CRR er det ikke længere
nødvendigt at fastsætte en minimumskonverteringsfaktor på 10 % for visse ikkebalanceførte
poster inden for rammen for gearingsgrad. Derfor udgår undtagelsen i artikel 429f, stk. 3.
Almindelige køb og salg, som endnu ikke er afregnet
De bestemmelser, der vedrører almindelige køb og salg, som endnu ikke er afregnet, ændres
for bedre at tilpasse disse regler til Basel III-standarderne, navnlig ved at præcisere, at disse
bestemmelser finder anvendelse på finansielle aktiver og ikke kun på værdipapirer. Derfor
ændres artikel 429, stk. 6, og artikel 429g, stk. 1, i CRR.
Miljømæssige, sociale og ledelsesmæssige risici (ESG-risici)
Institutterne spiller en vigtig rolle i forbindelse med Unionens ambition om at fremme en
langsigtet omstilling til bæredygtig udvikling generelt, og navnlig med henblik på at
understøtte en retfærdig omstilling til nettodrivhusgasemissioner på nul i Unionens økonomi
senest i 2050. Denne omstilling medfører nye risici, som skal forstås og styres på en passende
måde på alle niveauer.
En hurtigere omstilling til en mere bæredygtig økonomi kan få en betydelig indvirkning på
virksomhederne, idet den øger risiciene for institutterne på individuelt plan og for den
overordnede finansielle stabilitet. Virkninger for miljøet, som skyldes menneskers adfærd,
f.eks. drivhusgasemissioner eller fortsat ikkebæredygtig økonomisk praksis, er årsag til, at
fysiske risici potentielt øger sandsynligheden for miljøfarer og deres socioøkonomiske
virkninger. Institutterne eksponeres også for disse fysiske risici, og der findes en omvendt
vekselvirkning mellem disse og omstillingsrisici, idet de fysiske risici alt andet lige forventes
at blive mindre, når omstillingspolitikkerne er gennemført. Det modsatte kan imidlertid blive
tilfældet, hvis der ikke gøres en indsats, dvs. at de fysiske risici vil blive større, hvis
omstillingsrisikoen er lav og gennemførelsen af omstillingsrelaterede politikker tager længere
tid.
For at fremme en tilstrækkelig forståelse og styring af bæredygtighedsrisici, almindeligvis
omtalt som miljømæssige, sociale og ledelsesmæssige risici (ESG-risici), skal institutter, der
er etableret i Unionen, systematisk identificere, fremlægge oplysninger om og styre nævnte
risici på individuelt niveau. De relativt nye i ESG-risici og deres specifikke karakteristika
betyder, at forståelsen af disse risici kan variere betydeligt fra det ene institut til det andet.
Derfor ændres artikel 4 for at indføre nye harmoniserede definitioner af de forskellige
risikotyper i ESG-risicienes univers (artikel 4, stk. 1, nr. 52d-52i). Definitionerne er tilpasset
de definitioner, der foreslås af EBA i dens rapport, som omhandler ESG-risici.
For at muliggøre bedre tilsyn med ESG-risici ændres artikel 430 for at pålægge institutterne at
indberette deres eksponeringer mod ESG-risici til deres kompetente myndigheder.
Endelig ændres artikel 501c med henblik på bedre at tilpasse tidsplanerne for eventuelle
ændringer til de tilsynsregler, som måtte blive nødvendige, for at fremrykke EBA's frist for
forelæggelse af sin rapport om den tilsynsmæssige behandling af disse eksponeringer fra 2025
til 2023. I henhold til sit mandat i artikel 501c bør EBA vurdere eksponeringer mod aktiver og
aktiviteter i sektoren for energi og ressourceeffektivitet samt i sektoren for infrastruktur og
transportflåder. Vurderingen bør også dække muligheden for en målrettet kalibrering af
risikovægte for poster, som er forbundet med særligt høje eksponeringer for klimarisici,
herunder aktiver eller aktiviteter i sektoren for fossile brændstoffer og i sektorer med store
klimamæssige virkninger. Hvis det vurderes at være berettiget, bør EBA's rapport beskrive en
række løsninger med hensyn til anvendelse af en målrettet tilsynsmæssig behandling af
eksponeringer mod miljømæssige og sociale faktorer.
DA 33 DA
Integreret system til indberetning med henblik på tilsyn og datadeling
Siden 2018 har EBA i samarbejde med ECB og nationale kompetente myndigheder arbejdet
med oprettelsen af den europæiske centraliserede infrastruktur for tilsynsdata (EUCLID) for i
et centraliseret integreret system at aggregere de tilsynsoplysninger, som deles af
tilsynsmyndighederne, om de største institutter, der er etableret i Unionen. Dette system vil
være særligt nyttigt med henblik på at forsyne offentlige rapporter og analyser med
aggregerede data og risikoindikatorer, som vedrører hele EU's banksektor. Ved artikel 430c
gives EBA på nuværende tidspunkt mandat til at udarbejde en gennemførlighedsundersøgelse
med henblik på udvikling af et konsekvent og integreret system til indsamling af statistiske
data, afviklings- og tilsynsdata samt til at inddrage de relevante myndigheder i udarbejdelsen
af undersøgelsen. I marts 2021 offentliggjorde EBA et oplæg om nævnte
gennemførlighedsundersøgelse og anmodede om input fra interesserede parter senest den 11.
juni 2021. I overensstemmelse med artikel 430c, stk. 3, vil Kommissionen, så snart EBA har
færdigudarbejdet gennemførlighedsundersøgelsen, vurdere, om der på et senere tidspunkt skal
indføres potentielle ændringer af indberetningskrav, som kræves i del syv A i CRR.
Fremlæggelse af oplysninger
Øget gennemsigtighed og forholdsmæssighed i forbindelse med oplysningskrav
I betragtning af de ændringer, der er foretaget af CRR for at gennemføre de endelige Basel
III-standarder, samt for yderligere at reducere de administrative omkostninger, der er
forbundet med fremlæggelse af oplysninger, og for at gøre det lettere at få adgang til
oplysninger, som er fremlagt af institutterne, foretages der flere ændringer af del otte i CRR.
Artikel 433 ændres for at bemyndige EBA til at centralisere institutternes offentliggørelse af
årlige, halvårlige og kvartalsvise tilsynsoplysninger. Dette forslag har til formål at gøre
tilsynsoplysninger let tilgængelige gennem et fælles elektronisk adgangspunkt og dermed
udbedre den nuværende fragmentering med henblik på at øge gennemsigtigheden og gøre det
lettere et sammenligne fremlagte oplysninger til fordel for alle markedsdeltagere. EBA's
centraliserede offentliggørelse vil finde sted på samme tid som institutterne offentliggør deres
finansieringsoversigter eller finansielle rapporter eller hurtigst muligt derefter Dette forslag er
i fuld overensstemmelse med handlingsplanen for kapitalmarkedsunionen og udgør et
mellemliggende skidt hen imod den fremtidige udvikling af et fælles EU-adgangspunkt til
virksomheders finansielle oplysninger og oplysninger om bæredygtig investering.
Artikel 434 ændres for at reducere den administrative byrde, der er forbundet med
fremlæggelse af oplysninger, navnlig for små og ikkekomplekse institutter. Rationalet bag
denne bestemmelse trækker på de fremskridt, som EBA og de kompetente myndigheder har
gjort med oprettelsen af en infrastruktur, der aggregerer indberetning med henblik på tilsyn
(EUCLID). Forslaget øger forholdsmæssigheden, idet det giver EBA mandat til at
offentliggøre fremlagte oplysninger fra små og ikkekomplekse institutter baseret på
oplysninger om indberetning med henblik på tilsyn. På den måde skal små og ikkekomplekse
institutter kun foretage indberetninger til deres tilsynsmyndigheder og ikke offentliggøre
relevante fremlagte oplysninger.
Artikel 438 og 447 ændres for at inkludere oplysningsforpligtelser for institutter, som
anvender interne modeller, og som dermed skal fremlægge de samlede risikovægtede
eksponeringsbeløb, der er beregnet efter den fulde standardmetode, i forhold til de faktiske
risikovægtede aktiver efter risikoniveau og for kreditrisiko efter aktivklasse og undergruppe
for en aktivklasse. Dette gennemfører de relevante Basel III-standarder, som pålægger
bankerne at sammenligne modelberegnede og standardiserede risikovægtede aktiver efter
DA 34 DA
risikoniveau? Derfor ændres artikel 433a, 433b og 433c, som vedrører hyppigheden af
fremlæggelse af oplysninger.
Artikel 433b og 433c ændres for at inkludere forpligtelsen for små og ikkekomplekse
institutter samt for andre ikkebørsnoterede institutter til årligt at fremlægge oplysninger om
værdien og kvaliteten af ikkenødlidende og nødlidende eksponeringer og eksponeringer med
kreditlempelser for så vidt angår lån, gældsinstrumenter og ikkebalanceførte eksponeringer og
oplysninger om forfaldne eksponeringer. De foreslåede ændringer er i overensstemmelse med
Rådets handlingsplan for misligholdte lån fra 201745
, hvori EBA blev opfordret til inden
udgangen af 2018 at gennemføre skærpede oplysningskrav vedrørende aktivernes kvalitet og
misligholdte lån, som skal gælde for alle institutter. Dertil kommer, at ændringerne også vil
sikre fuld overensstemmelse med meddelelsen "Håndtering af misligholdte lån efter covid-19-
pandemien"46
. Udvidelsen af oplysningskravene i artikel 442, litra c) og d), til at omfatte små
og ikkekomplekse institutter og andre ikkebørsnoterede institutter skaber ikke nogen
yderligere byrde for disse institutter af to årsager: For det første fremlægger disse institutter
allerede oplysninger vedrørende misligholdte lån med udgangspunkt i EBA's retningslinjer
om offentliggørelse af misligholdte lån47
, som fulgte efter Rådets handlingsplan fra 2017, og
som for indeværende er afspejlet i Kommissionens gennemførelsesforordning (EU) 2021/637
af 15. marts 202148
. For det andet kan oplysninger om misligholdte lån, så snart
centraliseringen af fremlagte oplysninger i EBA's webbaserede platform er indført, udtrækkes
fra indberetninger med henblik på tilsyn og dermed reducere byrden for alle institutter og helt
afskaffe byrden for små og ikkekomplekse institutter.
Artikel 445 og 455 indfører nye oplysningskrav for de institutter, der beregner deres egne
kapitalgrundlagskrav i relation til markedsrisici, og som benytter henholdsvis én af
standardmetoderne og A-IMA.
Artikel 445a indsættes for at indføre nye oplysningskrav for kapitalgrundlagskrav i relation til
kreditværdijusteringsrisiko.
Artikel 446 ændres for at indføre de reviderede oplysningskrav i relation til operationel risiko.
På området fremlæggelse af oplysninger har CRR II allerede indført bestemmelser, som har til
formål at forbedre måden, hvorpå der tages højde for ESG-risici. I denne henseende vil store
institutter med børsnoterede udstedelser begynde at fremlægge oplysninger om ESG-risici fra
juni 2022 og fremover. Ikke desto mindre er den øjeblikkelig effektivitet af disse
bestemmelser begrænset, idet et stort antal institutter fortsat falder uden for
anvendelsesområdet for oplysningsreglerne i CRR. Derfor ændres artikel 449a for at udvide
kravene vedrørende offentliggørelse af ESG-risici til at omfatte alle institutter, samtidig med
at proportionalitetsprincippet respekteres.
45
Økofinrådet,"Handlingsplan for behandling af misligholdte lån i Europa", juli 2017. Rådets
konklusioner om Handlingsplan for behandling af misligholdte lån i Europa — Consilium (europa.eu)
46
Meddelelse fra Kommissionen til Europa-Parlamentet, Rådet og Den Europæiske Centralbank,
"Håndtering af misligholdte lån efter covid-19-pandemien", COM(2020) 822 final.
47
Den Europæiske Banktilsynsmyndigheds retningslinjer EBA/GL/2018/10 af 17. december 2018 om
offentliggørelse af misligholdte eksponeringer og eksponeringer med kreditlempelser.
48
Kommissionens gennemførelsesforordning (EU) 2021/637 af 15. marts 2021 om
gennemførelsesmæssige tekniske standarder vedrørende institutters offentliggørelse af de oplysninger,
der er omhandlet i ottende del, afsnit II og III, i Europa-Parlamentets og Rådets forordning (EU) nr.
575/2013, og om ophævelse af Kommissionens gennemførelsesforordning (EU) nr. 1423/2013,
Kommissionens delegerede forordning (EU) 2015/1555, Kommissionens gennemførelsesforordning
(EU) 2016/200 og Kommissionens delegerede forordning (EU) 2017/2295 (EUT L 136 af 21.4.2021, s.
1).
DA 35 DA
Bemyndigelser af EBA
Forslaget udvider anvendelsesområdet for EBA's eksisterende mandat i henhold til artikel
434a. Foruden at fastlægge og udvikle ensartede offentliggørelsesformater, skal EBA i
henhold til de foreslåede ændringer af artikel 434a etablere en politik for genindsendelse af
fremlagte oplysninger og for de nødvendige IT-løsninger til centralisering af de fremlagte
oplysninger.
Definitionen af små og ikkekomplekse institutter
I forslaget ændres definitionen af termen "små og ikkekomplekse institutter", der er fastsat i
artikel 4, stk. 1, nr. 145), idet institutterne får mulighed for at undtage derivattransaktioner,
som er indgået med ikkefinansielle kunder, og derivattransaktioner, som er anvendt til
afdækning af disse transaktioner, med forbehold af en tærskel.
CIU'er med en underliggende portefølje af statsobligationer i euroområdet
Ved artikel 506a i forordning (EU) 2021/558 fik Kommissionen mandat til at senest den 31.
december 2021 at offentliggøre en rapport med en vurdering af, hvorvidt det er nødvendigt at
foretage ændringer af den lovgivningsmæssige ramme for at fremme markedet for og
bankkøb af eksponeringer i form af andele eller aktier i CIU'er med en underliggende
portefølje, der udelukkende består af statsobligationer fra medlemsstater, hvis valuta er euro,
hvor den relative vægt af hver medlemsstats statsobligationer i CIU'ens samlede portefølje
svarer til den relative vægt af hver medlemsstats kapitalbidrag til ECB.
Artikel 132, stk. 4, i CRR foreskriver en "transparensmetode", hvorved investorinstitutter i
overensstemmelse med de metoder, der er fastlagt i CRR, kan lade "[en CIU's] underliggende
eksponeringer indgå i beregningen af den gennemsnitlige risikovægt for sine eksponeringer i
form af andele eller aktier i CIU'er". Dette er med forbehold af den betingelse, at
investorinstituttet har "kendskab" til CIU'ens underliggende eksponeringer.
Den nuværende reguleringsordning giver således investorinstitutter mulighed for at anvende
de samme risikovægte på enheder eller aktier i CIU'en, som de risikovægte, der ville finde
anvendelse på en direkte investering i en medlemsstats statsobligationer. Fordi sådanne
statsobligationer allerede nyder godt af en gunstig lovpligtig kapitalbehandling, synes det
unødvendigt at foretage ændringer af tilsynsrammen for at fremme markedet for CIU'er ved
hjælp af denne type underliggende eksponeringer, eller navnlig for at imødekomme den
specifikke struktur, der er omhandlet i artikel 506a i forordning (EU) 2021/558.
Med den nylige og planlagte udstedelse af obligationer i henhold til NextGenerationEU-
programmet synes der ikke længere at være et umiddelbart behov for at oprette ovennævnte
struktur.
Yderligere tilsynsbeføjelser med henblik på at indføre restriktioner for institutters
udlodninger
I henhold til artikel 518b skal Kommissionen senest den 31. december 2021 aflægge rapport
til Europa-Parlamentet og Rådet om, hvorvidt ekstraordinære omstændigheder, som udløser
alvorlige økonomiske forstyrrelser i de finansielle markeders korrekte funktion og integritet,
berettiger, at kompetente myndigheder i sådanne perioder indrømmes yderligere bindende
beføjelser, således at de kan indføre restriktioner for institutters udlodninger.
Som reaktion på de økonomiske og finansielle vanskeligheder, der er forårsaget af covid-19-
pandemien, har Kommissionen, EBA, ECB, ESRB og de fleste nationale kompetente
myndigheder tilskyndet institutterne til at afholde sig fra at udlodde udbytte eller dele
DA 36 DA
tilbagekøb og til at anlægge en konservativ tilgang til variable aflønninger. Opretholdelse af
kapitalressourcer for at understøtte realøkonomien og absorbere tab har været det fælles mål
under det ekstraordinære omstændigheder i 2020 og 2021.
De henstillinger, som er udsendt af myndigheder på tværs af medlemsstaterne i
overensstemmelse med aftalte EU-holdninger, har ført til de ønskede virkninger og
kanaliseret kapitalressourcer på måder, som hjælper banksystemet til at understøtte
realøkonomien, som det antydes i en nylig analyse foretaget af ECB og en statusopgørelse fra
EBA. Da tilsynsmyndighederne blev spurgt, om de finder, at de har brug for yderligere
beføjelser i forbindelse med restriktioner for udlodninger, var de derfor af den opfattelse, at de
beføjelser, som de nuværende tidspunkt råder over, er tilstrækkelige.
I den nuværende situation ser Kommissionen derfor ikke et behov for at indrømme de
kompetente myndigheder yderligere tilsynsbeføjelser med henblik på at indføre restriktioner
for institutters udlodninger under ekstraordinære omstændigheder. Spørgsmålet om
makroprudentielt tilsyn og koordinering af sådanne restriktioner under ekstraordinære
omstændigheder i fremtiden tages op til overvejelse i den kommende gennemgang af de
makroprudentielle rammer.
Tilsynsmæssig behandling af kryptoaktiver
I de seneste år har de finansielle markeder været vidne til en hurtigt stigning i aktivitet
forbundet med de såkaldte kryptoaktiver og en gradvist stigende inddragelse af institutterne i
denne aktivitet. Mens kryptoaktiver deler bestemte fælles karakteristika med mere
traditionelle finansielle aktiver, er nogle af deres karakteristika væsentligt anderledes. Derfor
er det uklart, om de eksisterende tilsynsregler i tilstrækkeligt omfang vil tage højde for de
risici, der ligger i disse aktiver. Da BCBS først for nylig begyndte at udforske spørgsmålet
om, hvorvidt en særlig behandling bør udvikles for disse aktiver, og i så fald, hvordan en
sådan behandling skal se ud, var det ikke muligt at inkludere specifikke foranstaltninger om
dette emne i dette forslag. I stedet anmodes Kommissionen om at vurdere, om en særlig
tilsynsmæssige behandling af kryptoaktiver vil blive nødvendig, og om i givet fald at vedtage
et lovgivningsforslag til dette formål, idet der tages hensyn til BCBS's arbejde.
DA 37 DA
2021/0342 (COD)
Forslag til
EUROPA-PARLAMENTETS OG RÅDETS FORORDNING
om ændring af forordning (EU) nr. 575/2013 for så vidt angår krav vedrørende
kreditrisiko, kreditværdijusteringsrisiko, operationel risiko, markedsrisiko og den nedre
grænse for output
(EØS-relevant tekst)
EUROPA-PARLAMENTET OG RÅDET FOR DEN EUROPÆISKE UNION HAR —
under henvisning til traktaten om Den Europæiske Unions funktionsmåde, særlig artikel 114,
under henvisning til forslag fra Europa-Kommissionen,
efter fremsendelse af udkast til lovgivningsmæssig retsakt til de nationale parlamenter,
under henvisning til udtalelse fra Det Europæiske Økonomiske og Sociale Udvalg49
,
efter den almindelige lovgivningsprocedure, og
ud fra følgende betragtninger:
(1) Som reaktion på den globale finanskrise indledte Unionen en vidtrækkende reform af
tilsynsrammen for institutter, som skal øge modstandsdygtigheden i EU's banksektor.
Ét af hovedelementerne i reformen bestod i at gennemføre internationale standarder,
som er vedtaget af Baselkomitéen for Banktilsyn (BCBS), nærmere betegnet den
såkaldte "Basel III-reform". Takket være denne reform, hvilede EU's banksektor på et
modstandsdygtigt fundament, da den gik ind i covid-19-krisen. Mens det overordnede
kapitalniveau i EU's institutter nu gennemsnitligt er tilfredsstillende, er nogle af de
problemer, der blev identificeret i kølvandet på den globale finanskrise, dog endnu
ikke blevet løst.
(2) For at afhjælpe disse problemer, give retssikkerhed og vise vores engagement over for
vores internationale partnere i G20 er det yderst vigtigt at sikre en loyal gennemførelse
af de udestående elementer i Basel III-reformen. Samtidig bør gennemførelsen hindre
en væsentlig stigning i de samlede kapitalkrav for EU's banksystem som helhed og
tage hensyn til de særlige forhold EU's økonomi. Hvis det er muligt, bør tilpasninger
af de internationale standarder anvendes på et midlertidigt grundlag. Gennemførelsen
bør bidrage til at hindre, at der opstår konkurrencemæssige ulemper for EU's
institutter, navnlig i forbindelse med handelsaktiviteter, hvor EU's institutter er i
direkte konkurrence med institutter uden for EU. Derudover bør den foreslåede tilgang
være i samklang med logikken bag bankunionen og hindre yderligere fragmentering af
det indre marked for bankvirksomhed. Endelig bør den sikre, at reglerne er
forholdsmæssige, og sigte mod yderligere at reducere complianceomkostningerne,
navnlig for mindre institutter, uden at tilsynsstandarderne lempes.
49
EUT C af [...], s. [...].
DA 38 DA
(3) Ved forordning (EU) nr. 575/2013 gives institutter mulighed for at beregne deres
kapitalkrav ved hjælp af enten standardmetoder eller metoder med interne modeller.
Metoder med interne modeller giver institutter mulighed for at foretage estimater af de
fleste af eller alle de parametre, der kræves for, at de selv kan beregne kapitalkrav,
hvorimod standardmetoder kræver, at institutter beregner kapitalkrav ved hjælp af
faste parametre, som er baseret på relativt konservative antagelser og fastsat i
forordning (EU) nr. 575/2013. Baselkomitéen besluttede i december 2017 at indføre
en samlet nedre grænse for output ("outputgulv"). Den beslutning var baseret på en
analyse, der blev foretaget i kølvandet på finanskrisen i 2008-2009, som afslørede, at
interne modeller har tendens til at undervurdere de risici, som institutter eksponeres
for, navnlig for bestemte typer af eksponeringer og risici, og har dermed tendens til at
resultere i utilstrækkelige kapitalkrav. Sammenlignet med kapitalkrav, som er beregnet
ved hjælp af standardmetoderne, genererer interne modeller i gennemsnit lavere
kapitalkrav for de samme eksponeringer.
(4) Outputgulvet udgør én af de vigtigste foranstaltninger i Basel III-reformerne. Den har
til formål at begrænse det uberettigede udsving i de lovpligtige kapitalkrav, som
genereres af interne modeller, og den overdrevne reduktion af kapitalen, som et institut
ved hjælp af interne modeller kan foretage, i forhold til et institut, som anvender de
reviderede standardmetoder. Nævnte institutter kan begrænse dette ved at fastsætte en
lavere grænse for de kapitalkrav, som genereres af institutters interne modeller, til
72,5 % af de kapitalkrav, som ville gælde, hvis disse institutter anvendte
standardmetoder. Gennemførelsen af outputgulvet bør gøre det nemmere at
sammenligne institutters kapitalprocenter, genoprette interne modellers troværdighed
og sikre, at der er lige konkurrencevilkår mellem institutter, som anvender forskellige
metoder til at beregne kapitalkrav.
(5) For at undgå fragmentering på det indre marked for bankvirksomhed bør metoden med
outputgulvet være i samklang med princippet om risikoaggregering på tværs af
forskellige enheder i den samme bankkoncern og logikken bag konsolideret tilsyn.
Samtidig bør outputgulvet afbøde risici, som hidrører fra interne modeller i både hjem-
og værtslandene. Outputgulvet bør derfor beregnes på det højeste
konsolideringsniveau i Unionen, hvorimod datterselskaber, som er beliggende i andre
medlemsstater end EU-moderselskabet, bør beregne deres bidrag til outputgulvet for
hele bankkoncernen på delkonsolideret niveau. Nævnte metode bør hindre utilsigtede
virkninger og sikre en retfærdig fordeling af den yderligere kapital, der kræves ved
anvendelse af outputgulvet blandt koncernenheder i hjem- og værtslande, alt efter
deres risikoprofil.
(6) Baselkomitéen fandt, at den nuværende standardmetode for kreditrisiko (SA-CR) ikke
er tilstrækkeligt risikofølsom på en række områder, hvilket fører til en unøjagtig eller
uhensigtsmæssig måling af kreditrisiko og dermed af kapitalkrav, dvs. som enten er
for høje eller for lave. Bestemmelserne vedrørende SA-CR bør derfor revideres for at
øge nævnte metodes risikofølsomhed i forhold til flere nøgleaspekter.
(7) For kreditvurderede eksponeringer mod andre institutter bør nogle af risikovægtene
rekalibreres i overensstemmelse med Basel III-standarderne. Derudover bør
detaljeringsgraden af risikovægtningen for ikkekreditvurderede eksponeringer mod
institutter øges, og den bør adskilles fra den risikovægt, som finder anvendelse på
centralregeringen i den medlemsstat, hvor banken er etableret, da det antages, at der
ikke gives nogen implicit regeringsstøtte.
DA 39 DA
(8) For efterstillet gæld og aktieeksponeringer er en risikovægtning med en højere
detaljeringsgrad og øget stringens nødvendig for at afspejle den meget høje risiko for
tab, der er forbundet med efterstillet gæld og aktieeksponeringer i forhold til
gældbaserede eksponeringer, og for at forhindre regelarbitrage mellem bankbogen og
handelsbeholdningen. Unionens institutter har mangeårige, strategiske
egenkapitalinvesteringer i finansielle og ikkefinansielle virksomheder. Da
standardrisikovægten for aktieeksponeringer øges i løbet af en femårig
overgangsperiode, bør der anvendes overgangsbestemmelser for eksisterende
strategiske aktiebeholdninger i virksomheder og forsikringsselskaber, som er under
betydelig påvirkning fra instituttet, for at hindre forstyrrende virkninger og for at
bevare EU-institutternes rolle som mangeårige, strategiske egenkapitalinvestorer. I
betragtning af de beskyttelsesforanstaltninger og det tilsyn, der skal fremme finansiel
integration af den finansielle sektor, bør den nuværende ordning imidlertid bibeholdes
for aktiebeholdninger i andre institutter i den samme koncern eller for institutter, som
er omfattet af den samme institutionelle beskyttelsesordning. For at forstærke private
og offentlige initiativer med henblik på at skaffe langsigtede egenkapitalinvesteringer
til EU's virksomheder, hvad enten de er børsnoterede eller ej, bør investeringer
desuden ikke betragtes som spekulative, når instituttets øverste ledelse har foretaget
dem med den faste hensigt at opretholde dem i tre år eller derover.
(9) For at fremme visse sektorer i økonomien foreskriver Basel III-standarderne en
tilsynsmæssig skønsbeføjelse, som skal sætte institutter i stand til inden for visse
begrænsninger at lade aktiebeholdninger omfatte af særbehandling, når de er erhvervet
i henhold til "lovgivningsprogrammer", som indebærer væsentlige støttemidler til
investering og involverer statslig kontrol med og restriktioner for
egenkapitalinvesteringerne. Gennemførelsen af nævnte skønsbeføjelse i Unionen bør
også bidrage til at fremme langsigtede egenkapitalinvesteringer.
(10) Udlån til virksomheder i Unionen ydes fortrinsvist af institutter, som anvender de
interne ratingbaserede metoder ("IRB-metoderne") for kreditrisiko til at beregne deres
kapitalkrav. Med gennemførelsen af outputgulvet vil nævnte institutter også skulle
anvende SA-CR, der beror på kreditvurderinger, som er foretaget af eksterne
kreditvurderingsinstitutter ("ECAI'er"), for at bestemme den låntagende virksomheds
kreditkvalitet. Kortlægningen af eksterne kreditvurderinger og de tilknyttede
risikovægte, som finder anvendelse på kreditvurderede virksomheder, bør have en
højere detaljeringsgrad, således at en sådan kortlægning bringes i overensstemmelse
med de internationale standarder på området.
(11) Det fleste virksomheder i EU søger dog ikke at opnå eksterne kreditvurderinger,
navnlig af omkostningsmæssige hensyn. For at undgå forstyrrende virkninger for
bankernes udlån til ikkekreditvurderede virksomheder og for at give tilstrækkelig tid
til at etablere offentlige eller private initiativer, som skal udvide eksterne
kreditvurderingers dækning, er det nødvendigt at fastsætte en overgangsperiode for en
sådan udvidelse af dækningen. I nævnte overgangsperiode bør institutter, som
anvender IRB-metoder, have mulighed for at anvende en gunstig behandling, når de
beregner deres outputgulv for investment grade-eksponeringer mod
ikkekreditvurderede virksomheder, samtidig med at der bør etableres initiativer, som
skal fremme en udbredt anvendelse af kreditvurderinger. Denne overgangsordning bør
kobles sammen med en rapport, som udarbejdes af Den Europæiske
Banktilsynsmyndighed (EBA). Efter overgangsperioden bør institutter have mulighed
for at henvise til kreditvurderinger, som er foretaget af ECAI'er, med henblik på at
beregne kapitalkravene for de fleste af deres erhvervseksponeringer. For at præge
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eventuelle fremtidige initiativer vedrørende oprettelse af offentlige eller private
kreditvurderingsordninger bør de europæiske tilsynsmyndigheder (ESA'erne) anmodes
om at udarbejde en rapport om hindringer for adgangen til eksterne kreditvurderinger
foretaget af ECAI'er, navnlig for virksomheder, og om mulige foranstaltninger til at
afhjælpe disse hindringer. I mellemtiden er Europa-Kommissionen rede til at yde
teknisk bistand til medlemsstaterne gennem dens instrument for teknisk støtte på dette
område, f.eks. for at udforme strategier vedrørende deres ikkebørsnoterede
virksomheders indtrængningsevne baseret på kreditvurdering eller for at udforske
bedste praksis for oprettelse af enheder, som kan levere kreditvurderinger eller rådgive
virksomheder i forbindelse hermed.
(12) For eksponeringer, der er sikret ved både beboelsesejendomme eller
erhvervsejendomme har Baselkomitéen udviklet mere risikofølsomme metoder for
bedre at afspejle de forskellige finansieringsmodeller og -faser i opførelsesprocessen.
(13) Finanskrisen i 2008-2009 afslørede en række mangler i den nuværende
standardbehandling af eksponeringer, der er sikret ved fast ejendom. Der er taget højde
for disse mangler i Basel III-standarderne. Faktisk blev der med Basel III-standarderne
indført eksponeringer, der er sikret ved indkomstgenererende ejendom ("IPRE-
eksponeringer") som en ny underkategori i den erhvervseksponeringsklasse, der er
underlagt en særlig risikovægtning, for mere nøjagtigt at afspejle den risiko, der er
forbundet med disse eksponeringer, men også for at forbedre overensstemmelsen med
behandlingen af IPRE-eksponeringer efter den interne ratingbaserede metode ("IRB-
metoden"), som er omhandlet i kapitel 3, afsnit II, afdeling III, i forordning (EU) nr.
575/2013.
(14) For almindelige eksponeringer, der er sikret ved beboelsesejendomme og
erhvervsejendomme bør lånopdelingsmetoden i forordningens artikel 124-126
bibeholdes, da nævnte metode er følsom over for typen af låntager og afspejler de
risikobegrænsende virkninger af sikkerheden i fast ejendom for de gældende
risikovægte, selv i tilfælde af høje belåningsgrader. Kalibreringen af denne metode bør
justeres i overensstemmelse med Basel III-standarderne, da det er blevet konstateret, at
den er for konservativ til realkreditlån med meget lave belåningsgrader.
(15) For at sikre, at virkningerne af outputgulvet ved ydelse af realkreditlån med lav risiko
fra institutter, som anvender IRB-metoder, spredes over en tilstrækkeligt lang periode,
og at det dermed forhindres er der opstår forstyrrelser i denne type långivning, som
kan skyldes pludselige stigninger i kapitalgrundlagskrav, er det nødvendigt at fastsætte
en specifik overgangsordning. Så længe denne overgangsperiode varer, bør IRB-
institutter, når de beregner outputgulvet, have mulighed for at anvende en lavere
risikovægt på den del af deres eksponeringer over for realkreditlån, der betragtes som
sikret ved beboelsesejendomme efter den reviderede SA-CR. For at sikre, at
overgangsordningen kun er tilgængelig for eksponeringer over for realkreditlån med
lav risiko, bør der fastsættes anerkendelseskriterier baseret på fastlagte begreber, som
anvendes efter SA-CR. Overensstemmelsen med nævnte kriterier bør kontrolleres af
kompetente myndigheder. Fordi markederne for beboelsesejendomme kan være
forskellige fra én medlemsstat til en anden, bør det være op til de enkelte
medlemsstater at afgøre, om overgangsordningen skal aktiveres. Anvendelsen af
overgangsordningen bør overvåges af EBA.
(16) Som følge af manglen på klarhed og risikofølsomhed i den nuværende behandling af
spekulativ finansiering af fast ejendom, anses kapitalkravene for disse eksponeringer
ofte for at være for høje eller for lave. Nævnte behandling bør derfor udskiftes med en
DA 41 DA
særlig behandling for ADC-eksponeringer, som omfatter udlån til virksomheder eller
enheder med særligt formål, som finansierer erhvervelse af jord med henblik på
byggemodning og opførelse eller byggemodning og opførelse af beboelsesejendomme
eller erhvervsejendomme.
(17) Det er vigtigt at reducere indvirkningen af cykliske effekter på værdiansættelsen af
ejendom, der tjener som sikkerhed for et lån, og at sørge for, at kapitalkravene for
realkreditlån er mere stabile. En ejendomsværdi, som er godkendt i tilsynsøjemed, bør
derfor ikke overstige gennemsnitværdien af en tilsvarende ejendom, som er målt over
en tilstrækkeligt lang overvågningsperiode, medmindre ændringer af nævnte ejendom
klart øger dens værdi. For at undgå utilsigtede konsekvenser for den måde, hvorpå
markederne for særligt dækkede obligationer og særligt dækkede
realkreditobligationer fungerer, kan kompetente myndigheder give institutter mulighed
for at foretage regelmæssig værdiansættelse af fast ejendom uden at anvende disse
grænser for værdistigninger. Ændringer, som forbedrer bygningers og boligers
energieffektivitet, bør betragtes som en værdistigning.
(18) Specialiseret långivningsvirksomhed udøves af enheder med særligt formål, der typisk
tjener som låntagende enheder, for hvilke investeringsafkastet er den primære kilde til
tilbagebetaling af den opnåede finansiering. Ved de kontraktlige ordninger for
modellen med specialiseret långivning indrømmes långiver en væsentlig grad af
kontrol over aktiverne, og den primære kilde til tilbagebetaling af forpligtelsen er den
indkomst, som de finansierede aktiver genererer. For at afspejle den tilknyttede risiko
mere nøjagtigt bør disse kontraktlige ordninger derfor være underlagt specifikke
kapitalkrav vedrørende kreditrisiko. I overensstemmelse med de internationalt
anerkendte Basel III-standarder om tildeling af risikovægte til specialiseret långivning
bør der indføres en særlig klasse for specialiseret långivning under SA-CR, hvorved
overensstemmelsen med den allerede eksisterende specifikke behandling af
specialiseret långivning efter IRB-metoderne forbedres. En specifik behandling for
specialiseret långivning bør indføres, i henhold til hvilken der skelnes mellem
"projektfinansiering", "objektfinansiering" og "råvarefinansiering" for bedre at afspejle
de iboende risici, der er forbundet med disse underkategorier, i klassen for
specialiseret långivning. Lige som det er tilfældet for eksponeringer mod
virksomheder bør der gennemføres to metoder til tildeling af risikovægte; én for
jurisdiktioner, som tillader anvendelse af eksterne kreditvurderinger i
reguleringsøjemed, og én for jurisdiktioner, som ikke tillader dette.
(19) Mens den nye standardbehandling af ikkekreditvurderet specialiseret långivning, som
er fastlagt i Basel III-standarderne, har en højere detaljeringsgrad end den nuværende
standardbehandling af eksponeringer mod virksomheder i henhold til denne
forordning, er førstnævnte ikke tilstrækkeligt risikofølsom til at afspejle effekterne af
omfattende sikkerhedspakker og kreditbeskyttelse, der sædvanligvis er forbundet med
disse eksponeringer i Unionen, og som gør det muligt for långivere at kontrollere de
fremtidige pengestrømme, der genereres i løbet af projektets eller aktivets levetid. På
grund af eksterne kreditvurderingers manglende dækning af specialiseret långivning i
Unionen, kan behandlingen af ikkekreditvurderet specialiseret långivning, jf. Basel III-
standarderne, også skabe incitamenter for institutter til at ophøre med at finansiere
bestemte projekter eller acceptere større risici i forbindelse med eksponeringer, som
har andre risikoprofiler, men som derudover behandles på samme måde. I betragtning
af at specialiseret långivning først og fremmest finansieres af institutter, som anvender
IRB-metoden, og som har indført interne modeller for disse eksponeringer, kan
indvirkningen være særligt stor i tilfælde af "objektfinansieringseksponeringer", hvor
DA 42 DA
der kan være risiko for, at aktiviteterne bringes til ophør, navnlig i forbindelse med
anvendelse af outputgulvet. For at undgå utilsigtede konsekvenser af den manglende
følsomhed i Baselbehandlingen for ikkekreditvurderede
objektfinansieringseksponeringer, bør objektfinansieringseksponeringer, der opfylder
en række kriterier, som kan sænke deres risikoprofil, således at den svarer til
standarder af "høj kvalitet", som er forenelige med forsvarlig og konservativ styring af
finansielle risici, bør tildeles en reduceret risikovægt. EBA får til opgave at udarbejde
reguleringsmæssige tekniske standarder, som præciserer de betingelser, under hvilke
institutter kan lade specialiseret långivning i form af objektfinansieringseksponeringer
omfatte af kategorien "høj kvalitet" med en risikovægt, der svarer til
projektfinansieringseksponeringer af "høj kvalitet" i henhold til SA-CR. Institutter, der
er etableret i jurisdiktioner, som tillader brugen af eksterne kreditvurderinger, bør
tildele deres specialiserede långivning de risikovægte, der udelukkende er fastlagt ved
hjælp af emnespecifikke eksterne kreditvurderinger, som fastsat i Basel III-regelsættet.
(20) Klassificeringen af detaileksponeringer efter SA-CR og IRB-metoderne bør tilpasses
yderligere for at sikre en konsekvent anvendelse af de tilsvarende risikovægte på det
samme sæt eksponeringer. I tråd med Basel III-standarderne bør der indføres regler for
en differentieret behandling af revolverende detaileksponeringer, som opfylder en
række kriterier til tilbagebetaling eller anvendelse, der kan sænke deres risikoprofil.
Nævnte eksponeringer skal defineres som "transaktionseksponeringer". Eksponeringer
mod en eller flere fysiske personer, som ikke opfylder alle betingelserne for at blive
betragtet som detaileksponeringer, bør tildeles en risikovægt på 100 % efter SA-CR.
(21) Basel III-standarderne indfører en kreditkonverteringsfaktor på 10 % for tilsagn, der
kan opsiges uden betingelser, i SA-CR. Det er sandsynligt, at dette vil få en væsentlig
indvirkning på låntagere, som forlader sig på den fleksible karakter af tilsagn, der kan
opsiges uden betingelser, for at finansiere deres aktiviteter, når de håndterer
sæsonrelaterede udsving i deres aktiviteter, eller når de håndterer uventede kortsigtede
ændringer i behovene for arbejdskapital, navnlig i forbindelse med genopretningen
efter covid-19-pandemien. Det er dermed passende at fastsætte en overgangsperiode, i
løbet af hvilken institutter fortsat vil anvende en nulkreditkonverteringsfaktor på deres
tilsagn, som kan opsiges uden betingelser, og efterfølgende for at vurdere, hvorvidt en
potentiel gradvis forøgelse af den gældende kreditkonverteringsfaktor er berettiget,
således at institutter kan tilpasse deres operationelle praksis og produkter uden at
hæmme kreditmulighederne for institutternes låntagere. Denne overgangsordning bør
kobles sammen med en rapport, som udarbejdes af EBA.
(22) Finanskrisen i 2008-2009 afslørede, at kreditinstitutter i visse tilfælde også har
anvendt IRB-metoder på porteføljer, som er uegnede til modellering på grund af
utilstrækkelige data, hvilket havde negative konsekvenser for resultaternes robusthed
og dermed for den finansielle stabilitet. Derfor bør institutter ikke forpligtes til at
avende IRB-metoderne på alle deres eksponeringer og at anvende kravet om trinvis
implementering i de enkelte eksponeringsklasser. Det er også passende at begrænse
anvendelsen af IRB-metoder på eksponeringsklasser, hvor robust modellering er mere
vanskelig, med henblik på at gøre kapitalkrav vedrørende kreditrisiko efter IRB-
metoderne mere sammenlignelige og robuste.
(23) Institutters eksponeringer mod andre institutter, andre enheder i den finansielle sektor
og store virksomheder indebærer typisk lave niveauer af misligholdelsesrisiko. For
sådanne porteføljer med en lav misligholdelsesrisiko er det påvist, at det er vanskeligt
for institutter at indhente pålidelige estimater af et nøglerisikoparameter efter IRB-
metoden, dvs. tabet givet misligholdelse ("LGD"), på grund af et utilstrækkeligt antal
DA 43 DA
konstaterede misligholdelsesrisici i nævnte porteføljer. Denne vanskelighed har
resulteret i et ikkeønskværdigt spredningsniveau blandt kreditinstitutter med hensyn til
den anslåede risiko. Institutter bør derfor anvende lovpligtige LGD-værdier snarere
end interne LGD-estimater for sådanne porteføljer med en lav misligholdelsesrisiko.
(24) Institutter, der anvender interne modeller til at foretage estimater af deres
kapitalgrundlagskrav vedrørende kreditrisiko, som hidrører fra aktieeksponeringer,
baserer typisk deres risikovurdering på offentligt tilgængelige data, til hvilke det kan
antages, at alle institutter har samme adgang. Under disse omstændigheder er forskelle
i kapitalgrundlagskrav ikke berettigede. Dertil kommer, at aktieeksponeringer, som
indgår i bankbogen, udgør en meget lille komponent i institutters balance. For at gøre
det nemmere at sammenligne institutters kapitalgrundlagskrav og for at forenkle
regelsættet bør institutter derfor beregne deres kapitalgrundlagskrav vedrørende
kreditrisiko, som hidrører fra aktieeksponeringer ved at anvende SA-CR, og IRB-
metoden bør ikke længere være tilladt til dette formål.
(25) Det bør sikres, at estimaterne af sandsynligheden for misligholdelse ("PD"), LGD og
kreditkonverteringsfaktorerne ("CCF") i forbindelse med individuelle eksponeringer af
institutter, der har tilladelse til anvende interne modeller til at beregne kapitalkrav
vedrørende kreditrisiko, ikke falder til uhensigtsmæssigt lave niveauer. Der bør derfor
indføres minimumsværdier for egne estimater, og institutter bør forpligtes til at
anvende det højeste af deres egne estimater af risikoparametre og nævnte
minimumsværdier. De nedre grænser for input ("inputgulve") for sådanne parametre
bør udgøre en beskyttelsesforanstaltning, som sikrer at kapitalkrav ikke falder til under
forsvarlige niveauer. Desuden bør de afbøde modelrisici, som skyldes ukorrekte
modelspecifikationer, målingsfejl og databegrænsninger. De vil også gøre det
nemmere at sammenligne kapitalprocenter på tværs af institutter. For at nå disse
resultater bør inputgulvene kalibreres på en tilstrækkeligt konservativ måde.
(26) Gulve for risikoparametre, der kalibreres alt for konservativt, kan dog afholde
institutter fra at indføre IRB-metoderne og de tilknyttede standarder for risikostyring.
Institutter kan også gives incitament til at udskifte deres porteføljer med eksponeringer
med højere risiko for at undgå de begrænsninger, som gulvene for risikoparametre
medfører. For at undgå sådanne utilsigtede konsekvenser bør gulvene for
risikoparametre på passende vis afspejle bestemte risikokarakteristika ved de
underliggende eksponeringer, navnlig ved at der accepteres forskellige værdier for
forskellige typer af eksponeringer, når det er relevant.
(27) Specialiseret långivning har risikokarakteristika, som er forskellige fra almindelige
erhvervseksponeringers risikokarakteristika. Der bør derfor fastsættes en
overgangsperiode, i løbet af hvilken inputgulvet for LGD, som kan anvendes på
specialiseret långivning, reduceres.
(28) I overensstemmelse med Basel III-standarderne bør IRB-metoden for
eksponeringsklassen for eksponeringer mod centralregeringer eller centralbanker i
store træk forblive uændret på grund af dens særlige karakter og risici forbundet med
de underliggende låntagere. Navnlig eksponeringer mod centralregeringer eller
centralbanker bør ikke være underlagt inputgulvene for risikoparametre.
(29) For at sikre en konsekvent metode for alle eksponeringer mod regionale eller lokale
myndigheder og offentlige enheder ("RGLA-PSE-eksponeringer") bør der indføres en
eksponeringsklasse for RGLA-PSE-eksponeringer, uafhængigt af
eksponeringsklasserne for både statsobligationer og institutter, og som alle bør være
underlagt de inputgulve, der fastsættes ved de nye regler.
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(30) Det bør præciseres, hvordan effekten af en garanti kan indregnes for en garanteret
eksponering, hvis den underliggende eksponering behandles efter IRB-metoden, i
henhold til hvilken modellering med henblik på PD og LGD er tilladt, men hvor
garantistiller henhører under en type eksponeringer, for hvilke modellering af PD eller
LGD eller IRB-metoden ikke er tilladt. Navnlig anvendelsen af substitutionsmetoden,
efter hvilken risikoparametrene for de underliggende eksponeringer udskiftes med
risikoparametrene for garantistiller eller med en metode, efter hvilken PD eller LGD
for den underliggende låntager justeres ved hjælp af en specifik modelleringsmetode
for at tage hensyn til garantiens effekt, bør ikke føre til en justeret risikovægt, der er
lavere end den risikovægt, der finder anvendelse på en direkte sammenlignelig
eksponering mod garantistiller. Når garantistiller behandles efter SA-CR bør
anerkendelse af garantien efter IRB-metoden derfor føre til, at garantistillers
risikovægt i henhold til SA-CR tildeles den garanterede eksponering.
(31) Europa-Parlamentets og Rådets forordning (EU) 2019/87650
ændrede forordning (EU)
nr. 575/2013 for at gennemføre de endelige FRTB-standarder udelukkende til
indberetningsformål. Indførelsen af bindende kapitalkrav baseret på disse standarder
blev overladt til et separat almindeligt lovgivningsinitiativ efter vurdering af deres
virkninger for Unionens banker.
(32) Med henblik på at fuldføre reformdagsordenen, som blev indført efter finanskrisen i
2008-2009, og for at afhjælpe manglerne i den nuværende markedsrisikoramme bør
der i EU-retten gennemføres bindende kapitalkrav for markedsrisiko baseret på de
endelige FRTB-standarder. De seneste estimater af de endelige FRTB-standarders
indvirkning på Unionens banker har vist, at gennemførelsen af disse standarder i
Unionen vil føre til en stor stigning i kapitalgrundlagskravene for markedsrisici for
visse handelsområder og market making-aktiviteter, som er vigtige for EU's økonomi.
For at afbøde denne indvirkning og for at sikre, at de finansielle markeder i Unionen
fortsat er velfungerende bør der indføres målrettede justeringer af gennemførelsen af
de endelige FRTB-standarder i EU-retten.
(33) Som krævet i henhold til forordning (EU) 2019/876 bør Kommissionen tage hensyn til
proportionalitetsprincippet ved beregning af kapitalkravene for markedsrisiko for
institutter med mellemstore handelsbeholdningsaktiviteter og kalibrere disse krav i
overensstemmelse hermed. Derfor bør institutter med mellemstore
handelsbeholdninger have mulighed for at anvende en forenklet standardmetode til at
beregne kapitalgrundlagskrav for markedsrisici i overensstemmelse med de
internationalt vedtagne standarder. Endvidere bør anerkendelseskriterierne til
identifikation af institutter med mellemstore handelsbeholdninger fortsat være i
overensstemmelse med kriterierne i forordning (EU) 2019/876 med henblik på at
undtage sådanne institutter fra nævnte forordnings FRTB-indberetningskrav.
(34) Institutters handelsaktiviteter på engrosmarkeder kan nemt udøves på tværs af
grænserne, herunder mellem medlemsstater og tredjelande. Gennemførelsen af de
endelige FRTB-standarder bør derfor så vidt muligt samordnes på tværs af
jurisdiktioner, både med hensyn til indhold og tidsplaner. Hvis dette ikke gøres, vil det
være umuligt at sikre lige vilkår på internationalt plan for disse aktiviteter.
50
Europa-Parlamentets og Rådets forordning (EU) 2019/876 af 20. maj 2019 om ændring af forordning
(EU) nr. 575/2013 for så vidt angår gearingsgrad, net stable funding ratio, krav til kapitalgrundlag og
nedskrivningsrelevante passiver, modpartskreditrisiko, markedsrisiko, eksponeringer mod centrale
modparter, eksponeringer mod kollektive investeringsordninger, store eksponeringer og indberetnings-
og oplysningskrav, og forordning (EU) nr. 648/2012 (EUT L 150 af 7.6.2019, s. 1).
DA 45 DA
Kommissionen bør derfor overvåge gennemførelsen af disse standarder i andre BCBS-
medlemmers jurisdiktioner og om nødvendigt træffe foranstaltninger til at afhjælpe
potentielle forvridninger af disse regler.
(35) BCBS har revideret den internationale standard for operationel risiko for at afhjælpe
svagheder, som opstod i kølvandet på finanskrisen i 2008-2009. Foruden en mangel på
risikofølsomhed i standardmetoderne, blev der konstateret en mangel på
sammenlignelighed, som skyldes de mange forskellige former for intern
modelleringspraksis. Derfor og med henblik på at forenkle rammen for operationel
risiko blev alle eksisterende metoder til estimering af kapitalkrav vedrørende
operationel risiko udskiftet med én ikkemodelbaseret metode. Forordning (EU) nr.
575/2013 bør tilpasses de reviderede Baselstandarder for at sikre lige vilkår på
internationalt plan for institutter, der er etableret i Unionen, men som også driver
virksomhed uden for Unionen, og for at sikre, at rammen for operationel risiko på EU-
plan fortsat er effektiv.
(36) I den nye standardmetode for operationel risiko, som blev indført af BCBS,
kombineres en indikator, der beror på omfanget af et instituts aktiviteter, med en
indikator, der tager hensyn til dette instituts tabshistorik. I de reviderede
Baselstandarder påtænkes en række skønsbeføjelser, som vedrører den måde, hvorpå
den indikator, der tager hensyn til et instituts tabshistorik, kan gennemføres.
Jurisdiktioner kan se bort fra historiske tab ved beregningen af kapital vedrørende
operationel risiko for alle relevante institutter eller de kan tage hensyn til historiske
tab, selv for institutter med aktiviteter under en vis størrelsesorden. For at sikre lige
vilkår i Unionen og for at forenkle beregningen af kapital vedrørende operationel
risiko bør disse skønsbeføjelser udøves på en harmoniseret måde for
minimumskravene til kapitalgrundlaget, idet der ses bort fra historiske operationelle
tab for alle institutter.
(37) Små og ikkekomplekse institutter og andre ikkebørsnoterede kreditinstitutter bør
ligeledes fremlægge oplysninger om værdien og kvaliteten af ikke-nødlidende og
nødlidende eksponeringer og eksponeringer med kreditlempelser samt en
aldersfordelingsanalyse af forfaldne eksponeringer. Dette oplysningskrav skaber ikke
nogen ekstra byrde for disse kreditinstitutter, da fremlæggelsen af et sådant begrænset
sæt oplysninger allerede blev indført af EBA på grundlag af Rådets handlingsplan om
misligholdte lån (NPL'er) fra 201751
, hvori EBA blev opfordret til at gennemføre
skærpede oplysningskrav vedrørende aktivernes kvalitet og misligholdte lån, der skal
gælde for alle kreditinstitutter. Dette er også i fuld overensstemmelse med
meddelelsen om håndtering af misligholdte lån efter covid-19-pandemien52
.
(38) Det er nødvendigt at mindske regelbyrden i forbindelse med oplysningsformål og at
gøre det nemmere at sammenligne fremlagte oplysninger. EBA bør derfor oprette en
centraliseret webbaseret platform, hvor oplysninger og data fra institutter kan
fremlægges. Denne centraliserede platform bør tjene som fælles adgangspunkt til
institutters fremlagte oplysninger, samtidig med at ejerskabet til oplysningerne og
dataene samt ansvaret for deres nøjagtighed fortsat bør ligge hos de institutter, som
udarbejder dem. Centraliseringen af offentliggørelsen af oplysninger bør være i fuld
51
Økofinrådet,"Handlingsplan for behandling af misligholdte lån i Europa", juli 2017. Rådets
konklusioner om Handlingsplan for behandling af misligholdte lån i Europa — Consilium (europa.eu)
52
Meddelelse fra Kommissionen til Europa-Parlamentet, Rådet og Den Europæiske Centralbank,
"Håndtering af misligholdte lån efter covid-19-pandemien", COM(2020) 822 final.
DA 46 DA
overensstemmelse med handlingsplanen for kapitalmarkedsunionen og udgør endnu et
skidt hen imod udviklingen af et fælles EU-adgangspunkt til virksomheders finansielle
oplysninger og oplysninger om bæredygtig investering.
(39) For at muliggøre en bedre integration af indberetning med henblik på tilsyn og
fremlæggelse af oplysninger bør EBA offentliggøre institutters oplysninger på en
centraliseret måde, samtidig med at alle institutters ret selv at offentliggøre sådanne
data og oplysninger respekteres. Sådanne centraliserede fremlæggelser af oplysninger
bør give EBA mulighed for at offentliggøre oplysninger fra små og ikkekomplekse
institutter, som er baseret på de oplysninger, som disse institutter har indberettet til
kompetente myndigheder, og bør dermed i væsentlig grad mindske den administrative
byrde, som disse små og ikkekomplekse institutter pålægges. På samme tid bør
centraliseringen af fremlæggelsen af oplysninger ikke medføre omkostninger for andre
institutter, og den bør øge gennemsigtigheden og reducere omkostningerne for
markedsdeltagere i forbindelse med at opnå adgang til tilsynsoplysninger. En sådan
øget gennemsigtighed bør gøre det nemmere at sammenligne data på tværs af
institutter og fremme markedsdisciplin.
(40) For at sikre konvergens i hele Unionen og en fælles forståelse af de miljømæssige,
sociale og ledelsesmæssige faktorer og risici bør der fastsættes generelle definitioner.
Eksponeringen for ESG-risici står ikke nødvendigvist i rimeligt forhold til et instituts
størrelse og kompleksitet. Eksponeringsniveauet er også ret forskelligt i hele Unionen,
idet der i nogle lande konstateres potentielle lette virkninger af omstillingen og i andre
konstateres potentielle tungtvejende virkninger af omstillingen for eksponeringer, som
er tilknyttet aktiviteter, der har en væsentlig negativ indvirkning på miljøet. De
gennemsigtighedskrav, som institutter er underlagt, og de krav til
bæredygtighedsrapportering, der er fastsat i andre gældende EU-retsakter, vil om få år
sikre data med en højere detaljeringsgrad. For at sikre en korrekt vurdering af de ESG-
risici, som institutter kan stå over for, er det imidlertid strengt nødvendigt at indhente
passende data fra alle de enheder, der eksponeres for disse risici, uafhængigt af deres
størrelse. For at sikre, at kompetente myndigheder råder over data med en høj
detaljeringsgrad, som er fyldestgørende og kan sammenlignes med henblik på et
effektivt tilsyn, bør oplysninger om ESG-risici indgå i institutters indberetning med
henblik på tilsyn. Disse oplysningers omfang og detaljeringsgrad bør stemme overens
med proportionalitetsprincippet, idet der tages hensyn til institutternes størrelse og
kompleksitet.
(41) Da omstillingen i EU's økonomi hen imod en bæredygtig økonomisk model er i
fremdrift, bliver bæredygtighedsrisici mere fremtrædende og vil potentielt kræve
yderligere overvejelser. Det er derfor nødvendigt med en fremrykning på to år af
EBA's mandat til at vurdere og aflægge rapport om, hvorvidt en særlig tilsynsmæssig
behandling af eksponeringer, som er forbundet med aktiver eller aktiviteter, der i
væsentlig grad er forbundet med miljømæssige eller sociale mål, vil være berettiget.
(42) Det er yderst vigtigt for tilsynsmyndigheder at råde over de nødvendige beføjelser til
på omfattende vis at vurdere og måle de risici, som en bankkoncern eksponeres for på
konsolideret niveau, og at have fleksibilitet til at tilpasse deres tilsynsmetode til nye
risikokilder. Det er vigtigt at undgå smuthuller mellem tilsynsmæssig og
regnskabsmæssig konsolidering, som kan give anledning til transaktioner, som har til
formål, at aktiver sættes uden for anvendelsesområdet for tilsynsmæssig
konsolidering, selv om bankkoncernen stadig er eksponeret for risici. Manglen på
sammenhæng i definitionen af begreberne "moderselskab", "datterselskab" og
"kontrol" og manglen på klarhed i definitionen af "accessorisk servicevirksomhed",
DA 47 DA
"finansielt holdingselskab" og "finansieringsinstitut" gør det vanskeligere for
tilsynsmyndigheder at anvende de gældende regler i Unionen og at opdage og i
passende omfang afbøde risici på konsolideret niveau. Disse definitioner bør derfor
ændres og præciseres nærmere. Det vurderes endvidere, at EBA yderligere bør
undersøge, hvorvidt disse beføjelser for tilsynsmyndigheder på utilsigtet vis risikerer
at blive hæmmet af eventuelle resterende uoverensstemmelser eller smuthuller i de
lovgivningsmæssige bestemmelser eller i samspil med de gældende regnskabsregler.
(43) Manglen på klarhed i forbindelse med visse aspekter af regelsættet vedrørende den
nedre haircutgrænse for værdipapirfinansieringstransaktioner ("VFT'er"), som BCBS
udarbejdede i 2017 som led i de endelige Basel III-reformer, samt betænkeligheder
ved den økonomiske begrundelse for at anvende regelsættet på visse typer VFT'er har
givet anledning til spørgsmålet om, hvorvidt de tilsynsmæssige mål i dette regelsæt
kan nås uden at forårsage uønskede konsekvenser. Kommissionen bør derfor på ny
vurdere gennemførelsen af den nedre haircutgrænse for VFT'er i EU-retten senest den
[Publikationskontoret: Her indsættes datoen = 24 måneder efter denne forordnings
ikrafttræden]. For at give Kommissionen tilstrækkelig dokumentation bør EBA i tæt
samarbejde med ESMA aflægge rapport til Kommissionen om dette regelsæts
indvirkning og den bedst egnede tilgang til gennemførelsen heraf i EU-retten.
(44) Kommissionen bør i EU-retten gennemføre de reviderede standarder for
kapitalkravene for kreditværdijusteringsrisici, som blev offentliggjort af BCBS i juli
2020, da disse standarder overordnet set forbedrer beregningen af
kapitalgrundlagskrav for kreditværdijusteringsrisici ved at løse flere tidligere
konstaterede problematikker, navnlig det forhold, at det eksisterende regelsæt for
kapitalkrav vedrørende kreditværdijustering ikke tager tilstrækkeligt højde for
kreditværdijusteringsrisici.
(45) I forbindelse med gennemførelsen af de oprindelige Basel III-reformer i EU-retten ved
hjælp af CRR blev bestemte transaktioner undtaget fra beregningen af kapitalkrav til
dækning af kreditværdijusteringsrisici. Disse undtagelser blev fastlagt for at forhindre
en potentiel overdreven stigning i omkostningerne ved visse derivattransaktioner, som
blev udløst af indførelsen af kapitalkravet vedrørende kreditværdijusteringsrisici,
navnlig når banker ikke kunne afbøde kreditværdijusteringsrisici for bestemte kunder,
som ikke kunne udveksle sikkerhedsstillelse. I henhold til de anslåede virkninger, som
er beregnet af EBA, vil kapitalkravene til dækning af kreditværdijusteringsrisici fortsat
være urimeligt høje for de transaktioner, der er omfattet af en undtagelse, med disse
kunder. For at sikre, at bankernes kunder fortsat dækker deres finansielle risici ved
hjælp af derivattransaktioner bør undtagelserne bibeholdes, når de reviderede
Baselstandarder gennemføres.
(46) De reelle kreditværdijusteringsrisici forbundet med de transaktioner, der er omfattet af
en undtagelse, kan imidlertid udgøre en væsentlig risiko for banker, som anvender
disse undtagelser. Hvis disse risici reelt opstår, kan de pågældende banker lide store
tab. Som EBA fremhævede i sin rapport om kreditværdijustering fra februar 2015
giver kreditværdijusteringsrisici forbundet med de transaktioner, der er omfattet af en
undtagelse, anledning til tilsynsmæssige bekymringer, som der ikke tages højde for i
CRR. For at hjælpe tilsynsmyndighederne med at overvåge kreditværdijusteringsrisici,
som hidrører fra de transaktioner, der er omfattet af en undtagelse, bør institutter
indberette den beregning af kapitalkrav vedrørende kreditværdijusteringsrisici
forbundet med de transaktioner, der er omfattet af en undtagelse, som ville være
påkrævet, hvis nævnte transaktioner ikke var omfattet af en undtagelse. EBA bør
desuden udarbejde retningslinjer for at hjælpe tilsynsmyndighederne med at
DA 48 DA
identificere urimeligt høje kreditværdijusteringsrisici og forbedre harmoniseringen af
tilsynsmæssige tiltag i hele Unionen.
(47) Forordning (EU) nr. 575/2013 bør derfor ændres —
VEDTAGET DENNE FORORDNING:
Artikel 1
Ændringer af forordning (EU) nr. 575/2013
I forordning (EU) nr. 575/2013 foretages følgende ændringer:
(1) I artikel 4, stk. 1, foretages følgende ændringer:
a) Nr. 15) og 16) affattes således:
"15) "moderselskab": en virksomhed, der som defineret i nr. 37) kontrollerer en
eller flere virksomheder
16) "moderselskab": en virksomhed, der som defineret i nr. 37) er kontrolleret
af en anden virksomhed".
b) Nr. 18) affattes således:
"18) "accessorisk servicevirksomhed": en virksomhed, hvis hovedaktivitet,
uanset om den leveres til virksomheder i koncernen eller til kunder uden for
koncernen, af den kompetente myndighed anses for at være en af følgende:
a) en direkte forlængelse af bankvirksomhed
b) operationel leasing, factoring, formueforvaltning, ejerskab over eller
forvaltning af ejendom, levering af databehandlingsydelser eller enhver
anden aktivitet, der er accessorisk i forhold til bankvirksomhed
c) enhver anden aktivitet, der af EBA anses for at svare til de aktiviteter, der
er nævnt i litra a) og b)".
c) Nr. 20) affattes således:
"20) "finansielt holdingselskab": en virksomhed, der opfylder samtlige følgende
betingelser:
a) virksomheden er et finansieringsinstitut
b) virksomheden er ikke et blandet finansielt holdingselskab
c) mindst ét datterselskab af denne virksomhed er et institut
d) mere end 50 % af en af følgende indikatorer er konstant forbundet med
datterselskaber, der er institutter eller finansieringsinstitutter, og med
aktiviteter, der udøves af selskabet selv, og som ikke vedrører
erhvervelse af eller besiddelse af kapitalandele i datterselskaber, når disse
aktiviteter er af samme art som dem, der udøves af institutter eller
finansieringsinstitutter:
i) virksomhedens aktiekapital på grundlag af dens konsoliderede
situation
ii) virksomhedens aktiver på grundlag af dens konsoliderede situation
DA 49 DA
iii) virksomhedens indtjening på grundlag af dens konsoliderede
situation
iv) virksomhedens personale på grundlag af dens konsoliderede
situation
v) anden indikator, som anses for relevant af den kompetente
myndighed".
d) Følgende indsættes som nr. 20a):
"20a) "investeringsholdingselskab": et investeringsholdingselskab som
defineret i artikel 4, stk. 1, nr. 23), i Europa-Parlamentets og Rådets forordning
(EU) 2019/203353
".
e) Nr. 26) affattes således:
"26) "finansieringsinstitut": en virksomhed, der opfylder begge følgende
betingelser:
a) virksomheden er ikke et institut, et rent industrielt holdingselskab, et
forsikringsholdingselskab eller et blandet forsikringsholdingselskab som
defineret i artikel 212, stk. 1, litra f) og g), i direktiv 2009/138/EF
b) virksomheden opfylder en af følgende betingelser:
i) virksomhedens hovedaktivitet består i at erhverve eller eje
kapitalandele eller i at udøve en eller flere af de aktiviteter, der er
anført i punkt 2-12 og punkt 15 i bilag I til direktiv 2013/36/EU,
eller i at udføre en eller flere af de tjenesteydelser eller aktiviteter,
der er anført i afsnit 1 eller afsnit B i bilag I til Europa-
Parlamentets og Rådets direktiv 2014/65/EU54
i forbindelse med de
finansielle instrumenter, der er anført i afsnit C i nævnte bilag til
nævnte direktiv
ii) virksomheden er et investeringsselskab, et blandet finansielt
holdingselskab, et investeringsholdingselskab, en
betalingstjenesteudbyder som defineret i Europa-Parlamentets og
Rådets direktiv (EU) 2015/236655
, et
porteføljeadministrationsselskab eller en accessorisk
servicevirksomhed".
f) Følgende indsættes som nr. 26a):
"26a) "rent industrielt holdingselskab": en virksomhed, der opfylder samtlige
følgende betingelser:
a) virksomhedens hovedaktivitet består i at erhverve eller eje kapitalandele
53
Europa-Parlamentets og Rådets forordning (EU) 2019/2033 af 27. november 2019 om tilsynsmæssige
krav til investeringsselskaber og om ændring af forordning (EU) nr. 1093/2010, (EU) nr. 575/2013,
(EU) nr. 600/2014 og (EU) nr. 806/2014 (EUT L 314 af 5.12.2019, s. 1).
54
Europa-Parlamentets og Rådets direktiv 2014/65/EU af 15. maj 2014 om markeder for finansielle
instrumenter og om ændring af direktiv 2002/92/EF og direktiv 2011/61/EU (EUT L 173 af 12.6.2014,
s. 349).
55
Europa-Parlamentets og Rådets direktiv (EU) 2015/2366 af 25. november 2015 om betalingstjenester i
det indre marked, om ændring af direktiv 2002/65/EF, 2009/110/EF og 2013/36/EU og forordning (EU)
nr. 1093/2010 og om ophævelse af direktiv 2007/64/EF (EUT L 337 af 23.12.2015, s. 35).
DA 50 DA
b) hverken virksomheden eller nogen af de virksomheder, som den ejer
kapitalinteresser i, er omhandlet i nr. 27), litra a), d), e), f), g), h), k) og l)
c) hverken virksomheden eller nogen af de virksomheder, som den ejer
kapitalinteresser i, udøver som hovedaktivitet nogen af de aktiviteter, der
er anført i bilag I til direktiv 2013/36/EU, nogen af de aktiviteter, der er
anført i afsnit A eller B i bilag I til direktiv 2014/65/EU i forbindelse med
de finansielle instrumenter, der er anført i afsnit C i nævnte bilag til
nævnte direktiv, eller er investeringsselskaber, betalingstjenesteudbydere
som defineret i direktiv (EU) 2015/2366,
porteføljeadministrationsselskaber eller accessoriske
servicevirksomheder".
g) Nr. 27, litra c), udgår.
h) Nr. 28) affattes således:
"28) "moderinstitut i en medlemsstat": et institut i en medlemsstat, der som
datterselskab har et institut eller et finansieringsinstitut, eller som har
kapitalinteresser i et institut, et finansieringsinstitut eller en accessorisk
servicevirksomhed, og som ikke selv er datterselskab af et andet institut, der er
meddelt tilladelse i samme medlemsstat, eller et finansielt holdingselskab eller
blandet finansielt holdingselskab, der er etableret i samme medlemsstat".
i) Følgende indsættes som nr. 33a) og 33b):
"33a) "selvstændigt institut i Unionen": et institut, der ikke er underlagt
konsolideringsregler i henhold til første del, afsnit II, kapitel 2, i Unionen, og
som ikke har noget moderselskab i Unionen, der er underlagt sådanne
konsolideringsregler
33b) "selvstændigt datterinstitut i en medlemsstat": et institut, der opfylder alle
følgende kriterier:
a) instituttet er et datterselskab af et moderinstitut i Unionen, et finansielt
moderholdingselskab i Unionen eller et blandet finansielt
moderholdingselskab i Unionen
b) instituttet er beliggende i en anden medlemsstat end sit moderinstitut,
finansielle moderholdingselskab eller blandede finansielle
moderholdingselskab
c) instituttet har ikke selv noget datterselskab og har ikke kapitalinteresser i
et institut eller finansieringsinstitut".
j) I nr. 37) ændres henvisningen til "artikel 1 i direktiv 83/349/EØF" til en
henvisning til "artikel 22 i direktiv 2013/34/EU".
k) Nr. 52) affattes således:
"52) "operationel risiko": risiko for tab som følge af mangelfulde eller
svigtende interne procedurer, menneskelige fejl og systemfejl eller som følge
af eksterne hændelser, herunder juridisk risiko, modelrisiko og IKT-risiko, men
ikke strategisk og omdømmemæssig risiko".
l) Følgende indsættes som nr. 52a)-52i):
DA 51 DA
"52a) "juridisk risiko": tab, herunder udgifter, bøder, sanktioner eller pønalt
begrundet erstatning, som skyldes hændelser, der fører til retssager, herunder
følgende:
a) tilsynsmæssige foranstaltninger og private forlig
b) en undladelse af at handle, hvor handling er nødvendig for at opfylde en
retlig forpligtelse
c) en handling, som har til formål at undgå at opfylde en retlig forpligtelse
d) forsømmelseshændelser, som er hændelser, der skyldes en forsømmelse,
som begås forsætlig eller uagtsomt, herunder uhensigtsmæssig levering
af finansielle tjenesteydelser
e) manglende opfyldelse af krav, der følger af nationale eller internationale
forvaltnings- eller lovbestemmelser
f) manglende opfyldelse af krav, der udspringer af kontraktlige aftaler, eller
af interne regler og adfærdskodekser, som er i overensstemmelse med
nationale og internationale normer og praksisser
g) manglende overholdelse af etiske regler.
Juridisk risiko omfatter ikke refusioner til tredjepart eller ansatte samt betaling
for goodwill som følge af forretningsmuligheder, hvis der ikke har fundet
overtrædelse af regler eller etisk adfærd sted, og hvis instituttet rettidigt har
opfyldt sine forpligtelser, og eksterne juridiske omkostninger, hvis den
hændelse, der giver anledning til disse eksterne omkostninger, ikke er en
hændelse knyttet til operationel risiko
52b) "modelrisiko": et instituts tab som konsekvens af beslutninger, der
hovedsagelig baseres på output fra interne modeller, på grund af fejl i
udviklingen, gennemførelsen eller anvendelsen af sådanne modeller, herunder
følgende:
a) ikke korrekt udformning af en valgt intern model og dens karakteristika
b) utilstrækkelig kontrol af en valgt intern models egnethed til det
finansielle instrument, der skal evalueres, eller det produkt, der skal
prissættes, eller af den valgte interne models egnethed til de gældende
markedsvilkår
c) fejl i implementeringen af en valgt intern model
d) ukorrekte værdiansættelser til markedsværdi og ukorrekt risikomåling
som følge af fejl ved indlæggelsen af en handel i handelssystemet
e) anvendelse af en valgt intern model eller af dens output til et formål, som
modellen ikke var beregnet eller udformet til, herunder manipulation af
modelparametrene
f) utidig og ineffektiv overvågning af modellens funktion for at vurdere, om
den valgte interne model fortsat er egnet til formålet
52c) "IKT-risiko": risiko for tab eller potentielle tab i forbindelse med
brugen af netværksinformationssystemer eller kommunikationsteknologi,
herunder brud på fortrolighed, systemfejl, manglende rådighed over data og
systemer eller datas og systemers manglende integritet samt cyberrisiko
DA 52 DA
52d) "miljømæssig, social eller ledelsesmæssig risiko": risiko for tab på
grund af negativ finansiel indvirkning på instituttet som følge af miljømæssige,
sociale eller ledelsesmæssige faktorers nuværende eller fremtidige indvirkning
på instituttets modparter eller investerede aktiver
52e) "miljørisiko": risiko for tab på grund af negativ finansiel indvirkning på
instituttet som følge af miljøfaktorers nuværende eller fremtidige indvirkning
på instituttets modparter eller investerede aktiver, herunder faktorer i
forbindelse med omstillingen til følgende miljømål:
a) modvirkning af klimaændringer
b) tilpasning til klimaændringer
c) bæredygtig anvendelse og beskyttelse af vand- og havressourcer
d) omstilling til en cirkulær økonomi
e) forebyggelse og bekæmpelse af forurening
f) beskyttelse og genopretning af biodiversitet og økosystemer.
Miljørisiko omfatter både fysisk risiko og omstillingsrisiko
52f) "fysisk risiko": som del af den samlede miljørisiko, risikoen for tab på
grund af negativ finansiel indvirkning på instituttet som følge af nuværende
eller fremtidig indvirkning af miljøfaktorers fysiske virkninger på instituttets
modparter eller investerede aktiver
52g) "omstillingsrisiko": som del af den samlede miljørisiko, risikoen for tab
på grund af negativ finansiel indvirkning på instituttet som følge af nuværende
eller fremtidig indvirkning af forretningsaktiviteters eller erhvervssektorers
omstilling til en miljømæssig bæredygtig økonomi på instituttets modparter
eller investerede aktiver
52h) "social risiko": risiko for tab på grund af negativ finansiel indvirkning
på instituttet som følge af sociale faktorers nuværende eller fremtidige
indvirkning på instituttets modparter eller investerede aktiver
52i) "ledelsesmæssig risiko": risiko for tab på grund af negativ finansiel
indvirkning på instituttet som følge af ledelsesmæssige faktorers nuværende
eller fremtidige indvirkning på instituttets modparter eller investerede aktiver".
m) Nr. 54), 55) og 56) affattes således:
"54) "sandsynlighed for misligholdelse" eller "PD": sandsynligheden for en
låntagers misligholdelse over en etårig perioder og, i forbindelse med
udvandingsrisiko, sandsynligheden for udvanding over denne etårige periode
55) "tab givet misligholdelse" eller "LGD": det forventede forhold mellem tab
ved en eksponering vedrørende en enkelt facilitet som følge af en låntagers
eller facilitets misligholdelse og det udestående beløb ved misligholdelsen og, i
forbindelse med udvandingsrisiko, tab givet udvanding, dvs. det forventede
forhold mellem tabet ved en eksponering som følge af udvanding og det
udestående beløb i henhold til de pantsatte eller erhvervede fordringer.
56) "konverteringsfaktor" eller "kreditkonverteringsfaktor" eller "CCF": det
forventede forhold mellem det nuværende ikketrukne beløb på en forpligtelse
fra en enkelt facilitet, som der kunne blive trukket på fra en enkelt facilitet
inden misligholdelse, og som derfor ville blive et udestående tilgodehavende i
DA 53 DA
tilfælde af misligholdelse, og det nuværende ikketrukne beløb på en
forpligtelse fra den pågældende facilitet, idet størrelsen af forpligtelsen
bestemmes ud fra den meddelte grænse, medmindre den ikkemeddelte grænse
er højere".
n) Følgende indsættes som nr. 56a):
"56a) "realiseret CCF": forholdet mellem det trukne beløb på en forpligtelse fra
en enkelt facilitet, som ikke var blevet udnyttet på en given referencedato forud
for misligholdelse, og som derfor er et udestående tilgodehavende i tilfælde af
misligholdelse, og det ikketrukne beløb på forpligtelsen fra den pågældende
facilitet på referencedatoen".
o) Nr. 58), 59) og 60) affattes således:
"58) "finansieret kreditrisikoafdækning eller "FCP": en teknik til
kreditrisikoreduktion, hvor reduktionen af kreditrisikoen ved et instituts
eksponering er baseret på instituttets ret til – i tilfælde af låntagerens
misligholdelse, eller hvis en af de øvrige nærmere angivne kredithændelser, der
vedrører låntageren, indtræffer – at realisere eller overføre eller erhverve eller
tilbageholde visse aktiver eller beløb eller at mindske eksponeringens størrelse
til eller erstatte dette beløb med forskellen mellem eksponeringens størrelse og
størrelsen af fordringen på instituttet
59) "ufinansieret kreditrisikoafdækning" eller "UFCP": en teknik til
kreditrisikoreduktion, hvor reduktionen af kreditrisikoen ved et instituts
eksponering er baseret på tredjemands forpligtelse til at betale et beløb i
tilfælde af låntagers misligholdelse eller andre nærmere angivne
kredithændelser
60) "kontantlignende instrument": et indskudsbevis, en obligation, herunder en
dækket obligation eller ethvert andet ikkeefterstillet instrument, der er udstedt
af et långivende institut, og for hvilket det långivende institut allerede har
modtaget fuld betaling, og som tilbagebetales uden betingelser af det
långivende institut til dets nominelle værdi".
p) Følgende indsættes som nr. 60a):
"60a) "fysisk guld": guld i form af en råvare, herunder guldbarrer og -mønter,
der er almindeligt accepteret af markedet for fysik guld, hvor der findes likvide
markeder for fysisk guld, og hvis værdi bestemmes af værdien af
guldindholdet, defineret ved renhed og masse, snarere end af dets interesse for
møntsamlere".
q) Følgende indsættes som nr. 74a):
"74a) "ejendomsværdi": værdien af en fast ejendom fastsat i overensstemmelse
med artikel 229, stk. 1".
r) Nr. 75) affattes således:
"75) "beboelsesejendom": en af følgende:
a) en fast ejendom, der har karakter af en bolig og opfylder alle gældende
love og bestemmelser, der gør det muligt at anvende ejendommen til
boligformål
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b) en fast ejendom, der har karakter af en bolig, og som stadig er under
opførelse, forudsat at der er en forventning om, at ejendommen vil
opfylde alle gældende love og bestemmelser, der gør det muligt at
anvende ejendommen til boligformål
c) retten til at bebo en lejlighed i en andelsboligforening beliggende i
Sverige
d) jord, der knytter sig til en ejendom som omhandlet i litra a), b) eller c)".
s) Følgende indsættes som nr. 75a)-75g):
"75a) "erhvervsejendom": enhver fast ejendom, der ikke er beboelsesejendom,
herunder anden jord end jord som omhandlet i nr. 75), litra d), og nr. 79)
75b) "eksponering, der er sikret ved indkomstgenererende fast ejendom"
(IPRE-eksponering): en eksponering sikret ved en eller flere
beboelsesejendomme eller erhvervsejendomme, hvor opfyldelsen af
gældsforpligtelserne i forbindelse med eksponeringen i væsentlig grad
afhænger af de pengestrømme, der genereres af disse faste ejendomme, der
sikrer denne eksponering, snarere end af låntagerens evne til at opfylde
gældsforpligtelserne fra andre kilder
75c) "eksponering, der er sikret ved ikkeindkomstgenererende fast ejendom"
(ikke-IPRE-eksponering): enhver eksponering sikret ved en eller flere
beboelsesejendomme eller erhvervsejendomme, som ikke er en IPRE-
eksponering
75d) "ikke-ADC-eksponering": enhver eksponering sikret ved en eller flere
beboelsesejendomme eller erhvervsejendomme, som ikke er en ADC-
eksponering
75e) "eksponering sikret ved beboelsesejendom" eller "eksponering sikret ved
pant i beboelsesejendom" eller "eksponering sikret ved sikkerhed i
beboelsesejendom" eller "eksponering sikret ved pant i fast ejendom til
beboelse": en eksponering, der er sikret ved pant i beboelsesejendom eller
sikret ved andre mekanismer end pant, men som økonomisk set svarer til pant
og anerkendes som sikkerhed i beboelsesejendom i henhold til gældende
national ret, der fastsætter betingelserne for etablering af disse mekanismer
75f) "eksponering sikret ved erhvervsejendom" eller "eksponering sikret ved
pant i erhvervsejendom" eller "eksponering sikret ved sikkerhedsstillelse i
erhvervsejendom": en eksponering, der er sikret ved pant i erhvervsejendom
eller sikret ved andre mekanismer end pant, men som økonomisk set svarer til
pant og anerkendes som sikkerhed i erhvervsejendom i henhold til gældende
national ret, der fastsætter betingelserne for etablering af disse mekanismer
75f) "eksponering sikret ved fast ejendom" eller "eksponering sikret ved pant i
fast ejendom" eller "eksponering sikret ved sikkerhed i fast ejendom": en
eksponering, der er sikret ved pant i beboelsesejendom eller erhvervsejendom
eller sikret ved andre mekanismer end pant, men som økonomisk set svarer til
pant og anerkendes som sikkerhed i fast ejendom i henhold til gældende
national ret, der fastsætter betingelserne for etablering af disse mekanismer".
t) Nr. 78) og 79) affattes således:
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"78) "etårig misligholdelsesfrekvens": forholdet mellem antallet af
misligholdelser i en periode, som begynder et år før observationsdatoen T, og
antallet af låntagere eller antallet af faciliteter, hvor klassificeringen som
misligholdt anvendes på facilitetsniveau i henhold til artikel 178, og som er
klassificeret i denne risikogruppe eller pulje et år forud for observationsdatoen
T
79) "ADC-eksponeringer" eller "eksponeringer vedrørende erhvervelse af,
byggemodning af og opførelse på jord": eksponeringer mod selskaber eller
enheder med særligt formål, der finansierer erhvervelse af jord med henblik på
byggemodning og opførelse, eller som finansierer byggemodning og opførelse
af beboelsesejendom eller erhvervsejendom".
u) Nr. 114) affattes således:
"114) "indirekte besiddelse": enhver eksponering mod en mellemliggende
enhed, der er eksponeret mod kapitalinstrumenter udstedt af en enhed i den
finansielle sektor eller mod passiver udstedt af et institut, hvor en eventuel
permanent nedskrivning af de kapitalinstrumenter, der er udstedt af enheden i
den finansielle sektor, eller de passiver, der er udstedt af instituttet, ville påføre
instituttet et tab, der ikke ville være væsentligt forskelligt fra det tab, som
instituttet ville lide i tilfælde af en direkte besiddelse af de kapitalinstrumenter,
som er udstedt af enheden i den finansielle sektor, eller af de passiver, der er
udstedt af instituttet".
v) Nr. 126) affattes således:
"126) "syntetisk besiddelse": et instituts investering i et finansielt instrument,
hvis værdi er direkte knyttet til værdien af de kapitalinstrumenter, som er
udstedt af en enhed i den finansielle sektor, eller til værdien af passiver, der er
udstedt af et institut".
w) Nr. 144) affattes således:
"144) "handelsenhed": en velidentificeret gruppe af dealere, som instituttet har
etableret til i fællesskab at forvalte en portefølje af positioner i
handelsbeholdningen eller de positioner uden for handelsbeholdningen, der er
omhandlet i artikel 104b, stk. 5 og 6, i overensstemmelse med en veldefineret
og konsistent forretningsstrategi og under den samme risikostyringsstruktur".
x) I nr. 145) indsættes følgende afsnit:
"Med henblik på litra e) kan et institut udelukke derivatpositioner, som det har
indgået med sine ikkefinansielle kunder, og de derivatpositioner, det anvender
til at afdække disse positioner, forudsat at den kombinerede værdi af de
udelukkede positioner beregnet i overensstemmelse med artikel 273a, stk. 3,
ikke overstiger 10 % af instituttets samlede balanceførte og ikkebalanceførte
aktiver". y) Følgende tilføjes som nr. 151) og 152):
"151) "revolverende eksponering": en eksponering, hvorved låntagerens
udestående kan variere, alt efter hvor meget denne låntager vælger at låne og
tilbagebetale, op til en aftalt grænse
152) "transaktionseksponering": en revolverende eksponering, som har en
tilbagebetalingshistorik på mindst 12 måneder, og som er en af følgende:
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a) en eksponering, for hvilken den saldo, der skal tilbagebetales på den
næste planlagte tilbagebetalingsdato, regelmæssigt og mindst hver 12.
måned fastsættes som det trukne beløb på en forud fastsat referencedato
med en planlagt tilbagebetalingsdato senest efter 12 måneder, forudsat at
saldoen er tilbagebetalt fuldt ud på hver planlagt tilbagebetalingsdato i de
foregående 12 måneder
b) en overtræksfacilitet, hvor der ikke har været nogen kreditudnyttelse i
løbet af de foregående 12 måneder."
(2) I artikel 5 foretages følgende ændringer:
a) Nr. 3) affattes således:
"3) "forventet tab" eller "EL": det beløb, vedrørende en enkelt facilitet, der
forventes tabt i forbindelse med en eksponering som følge af en af følgende:
i) en låntagers potentielle misligholdelse over en etårig periode i forhold til
det udestående beløb ved misligholdelsen
ii) en potentiel udvandingshændelse over en etårig periode i forhold til det
udestående beløb på datoen for udvandingshændelsen."
b) Følgende tilføjes som nr. 4)-10):
"4) "gældsforpligtelse": enhver forpligtelse, der opstår som følge af en
kreditaftale, herunder hovedstol, påløbne renter og gebyrer, som en låntager
skylder et institut, eller, hvis instituttet fungerer som garantistiller, som en
låntager skylder en tredjepart
5) "krediteksponering": enhver balanceført post, herunder ethvert beløb
vedrørende hovedstol, påløbne renter og gebyrer, som låntager skylder
instituttet, og enhver ikkebalanceført post, som medfører eller kan medføre en
gældsforpligtelse
6) "facilitet": en krediteksponering, der opstår som følge af en aftale eller et sæt
af aftaler mellem en låntager og et institut
7) "forsigtighedsmargen": et additivt eller multiplikativt tillæg, der indgår i
risikoestimater, og som er tilstrækkeligt forsigtigt til at tage højde for de
estimeringsfejl, der må forventes, og som skyldes identificerede mangler i data,
metoder, modeller og ændringer af kreditgivningspolitik, risikovillighed og
inddrivelsespolitikker og enhver anden kilde til yderligere usikkerhed samt
generelle estimeringsfejl
8) "små og mellemstore virksomheder" eller "SMV'er": selskaber, foretagender
eller virksomheder, som ifølge det seneste konsoliderede regnskab har en
årsomsætning på højst 50 000 000 EUR
9) "tilsagn": enhver kontraktlig ordning, som et institut tilbyder en kunde, og
som den pågældende kunde accepterer, med henblik på at yde kredit, købe
aktiver eller udstede kreditsubstitutter. Enhver ordning, som instituttet kan
opsige uden betingelser når som helst uden forudgående varsel af låntageren,
eller enhver ordning, som instituttet kan opsige, hvis låntageren ikke opfylder
de betingelser, der er fastsat i facilitetsdokumentationen, herunder betingelser,
som låntageren skal opfylde forud for enhver indledende eller efterfølgende
kreditudnyttelse i henhold til ordningen, er et tilsagn;
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kontraktlige ordninger, der opfylder samtlige følgende betingelser, er ikke
tilsagn:
a) kontraktlige ordninger, hvor instituttet ikke modtager gebyrer eller
provisioner for at fastlægge eller opretholde disse kontraktlige ordninger
b) kontraktlige ordninger, hvor der stilles krav om, at kunden ansøger
instituttet om den første og hver efterfølgende kreditudnyttelse i henhold
til disse kontraktlige ordninger
c) kontraktlige ordninger, hvor instituttet har fuld bemyndigelse til at
gennemføre de enkelte kreditudnyttelser, uanset om kunden opfylder de
betingelser, der er fastsat i dokumentationen for den kontraktlige ordning
d) kontraktlige ordninger, hvor der stilles krav om, at instituttet vurderer
kundens kreditværdighed, umiddelbart inden der træffes afgørelse om
gennemførelsen af hver kreditudnyttelse
e) kontraktlige ordninger, der tilbydes en virksomhedsenhed, herunder en
SMV, som løbende overvåges nøje
10) "tilsagn, der kan opsiges uden betingelser": ethvert tilsagn, hvis vilkår
sætter instituttet i stand til på et hvilket som helst tidspunkt uden forudgående
varsel af låntageren at opsige dette tilsagn i det omfang, det er tilladt i medfør
af forbrugerbeskyttelseslovgivningen og lovgivning i tilknytning hertil, eller
som effektivt sikrer automatisk opsigelse i tilfælde af en forringelse af
låntagers kreditværdighed."
(3) Artikel 6, stk. 3, affattes således:
"3. Et institut, der enten er et moderselskab eller et datterselskab, og et institut, der
indgår i konsolideringen i henhold til artikel 18, er ikke forpligtet til på individuelt
niveau at overholde de bestemmelser, der er fastsat i artikel 92, stk. 5 og 6, og
ottende del."
(4) Artikel 10a, eneste stykke, affattes således:
"Med henblik på anvendelsen af dette kapitel betragtes investeringsselskaber og
investeringsholdingselskaber som finansielle moderholdingselskaber i en
medlemsstat eller finansielle moderholdingselskaber i Unionen, hvis sådanne
investeringsselskaber eller investeringsholdingselskaber er moderselskab for et
institut eller for et investeringsselskab i henhold til nærværende forordning, som der
henvises til i artikel 1, stk. 2 eller 5, i forordning (EU) 2019/2033."
(5) Artikel 11, stk. 1, første punktum, affattes således:
"Moderinstitutter i en medlemsstat opfylder i det omfang og på den måde, der er
fastsat i artikel 18, kravene i anden, tredje, fjerde og syvende del og del syv A på
grundlag af deres konsoliderede situation, bortset fra artikel 92, stk. 3, litra a), og
artikel 430, stk. 1, litra d)."
(6) I artikel 18 foretages følgende ændringer:
a) Stk. 2 udgår.
b) Stk. 7., første afsnit, første punktum, affattes således:
"Hvis et institut har et datterselskab, som er en anden virksomhed end et
institut eller et finansieringsinstitut, eller har kapitalinteresser i en sådan
DA 58 DA
virksomhed, anvender det for dette datterselskab eller disse kapitalinteresser
den indre værdis metode."
c) Følgende indsættes som stk. 10:
"10. EBA aflægger senest den [Publikationskontoret: Her indsættes datoen = 1
år efter denne forordnings ikrafttræden] rapport til Kommissionen om
fuldstændigheden og hensigtsmæssigheden af denne forordnings definitioner
og bestemmelser vedrørende tilsyn med alle typer risici, som institutter er
eksponeret for på konsolideret niveau. EBA vurderer navnlig eventuelle
resterende uoverensstemmelser i disse definitioner og bestemmelser sammen
med deres samspil med de gældende regnskabsregler og eventuelle resterende
aspekter, der kan medføre utilsigtede begrænsninger for et konsolideret tilsyn,
der er omfattende og kan tilpasses nye kilder eller typer af risici eller
strukturer, som kan føre til regelarbitrage. EBA ajourfører regelmæssigt sin
rapport to gange om året.
I lyset af EBA's resultater kan Kommissionen, hvis det er relevant, vedtage
delegerede retsakter i overensstemmelse med artikel 462 med henblik på at
tilpasse de relevante definitioner eller anvendelsesområdet for
konsolideringsregler."
(7) I artikel 20 foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) Litra a) affattes således:
"a) i forbindelse med ansøgningerne om de i artikel 143, stk. 1, artikel
151, stk. 4 og 9, artikel 283 og artikel 363 omhandlede tilladelser, der
indgives af et moderinstitut i Unionen og dets datterselskaber eller i
fællesskab af datterselskaberne af et finansielt moderholdingselskab i
Unionen eller blandet finansielt moderholdingselskab i Unionen, og der
skal træffes afgørelse om, hvorvidt den tilladelse, der ansøges om, skal
gives, og fastsættes eventuelle betingelser, som tilladelsen skal være
underlagt".
ii) Tredje afsnit udgår.
b) Stk. 6 affattes således:
"6. Anvender et moderinstitut i Unionen og dets datterselskaber,
datterselskaberne af et finansielt moderholdingselskab i Unionen eller et
blandet finansielt moderholdingselskab i Unionen den i artikel 143 omhandlede
IRB-metode på fælles grundlag, tillader de kompetente myndigheder, at
moderselskabet og dets datterselskaber samlet set opfylder kriterierne i tredje
del, afsnit II, kapitel 3, afdeling 6, på en måde, som er konsistent med
koncernens struktur og dens risikostyringssystemer, -processer og -metoder."
(8) Artikel 27, stk. 1, litra a), nr. v) udgår.
(9) I artikel 34 tilføjes følgende stykker:
"Uanset denne artikels stk. 1 kan institutterne under særlige omstændigheder, hvis
forekomst fastlægges ved en udtalelse fra EBA, reducere de samlede yderligere
værdijusteringer ved beregningen af det samlede beløb, der skal fratrækkes den
egentlige kernekapital.
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Med henblik på at afgive den i stk. 2 omhandlede udtalelse overvåger EBA
markedsvilkårene for at vurdere, om der foreligger usædvanlige omstændigheder, og
underretter øjeblikkelig Kommissionen.
EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på at
præcisere de indikatorer og betingelser, som EBA vil anvende til at fastlægge de
særlige omstændigheder, der er omhandlet i stk. 2, og for at præcisere reduktionen af
de samlede yderligere værdijusteringer, der er omhandlet i nævnte stykke.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 2 år efter
denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at supplere denne forordning ved at vedtage de
i stk. 3 omhandlede reguleringsmæssige tekniske standarder i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
(10) I artikel 36 foretages følgende ændringer:
a) Stk. 1, litra d), affattes således:
"d) for institutter, der beregner størrelsen af risikovægtede
eksponeringsbeløb ved hjælp af den interne ratingbaserede metode (IRB-
metoden), IRB-underskuddet, hvis det er relevant, der er beregnet i
overensstemmelse med artikel 159".
b) Stk. 1, litra k), nr. v), udgår.
(11) Artikel 46, stk. 1, litra a), nr. ii), affattes således:
"ii) de i artikel 36, stk. 1, litra a)-g), litra k), nr. ii), iii) og iv), og litra l), m) og n),
nævnte fradrag, undtagen det beløb, der skal fratrækkes for udskudte skatteaktiver,
som afhænger af fremtidig rentabilitet, og som skyldes midlertidige forskelle".
(12) I artikel 48, stk. 1, foretages følgende ændringer:
a) Litra a), nr. ii), affattes således:
"ii) artikel 36, stk. 1, litra a)-h), litra k), nr. ii), iii) og iv), og litra l), m) og n),
undtagen udskudte skatteaktiver, som afhænger af fremtidig rentabilitet og
skyldes midlertidige forskelle".
b) Litra b), nr. ii), affattes således:
"ii) artikel 36, stk. 1, litra a)-h), litra k), nr. ii), iii) og iv), og litra l), m) og n),
undtagen udskudte skatteaktiver, som afhænger af fremtidig rentabilitet og
skyldes midlertidige forskelle."
(13) Artikel 49, stk. 4, affattes således:
"4. De besiddelser, der ikke er fratrukket i overensstemmelse med stk. 1 kvalificeres
som eksponeringer og risikovægtes i overensstemmelse med tredje del, afsnit II,
kapitel 2.
De besiddelser, der ikke er fratrukket i overensstemmelse med stk. 2 eller 3,
kvalificeres som eksponeringer og risikovægtes med 100 %."
(14) Artikel 60, stk. 1, litra a), nr. ii), affattes således:
DA 60 DA
"ii) artikel 36, stk. 1, litra a)-g), litra k), nr. ii), iii) og iv), og litra l), m) og n),
undtagen udskudte skatteaktiver, som afhænger af fremtidig rentabilitet og skyldes
midlertidige forskelle".
(15) Artikel 62, første afsnit, litra d), affattes således:
"d) for institutter, der beregner de risikovægtede eksponeringsbeløb efter
bestemmelserne i tredje del, afsnit II, kapitel 3, IRB-overskuddet, hvis det er
relevant, før indregning af skatteeffekten, der er beregnet i overensstemmelse med
artikel 159, på op til 0,6 % af de risikovægtede eksponeringsbeløb, der er beregnet
efter bestemmelserne i tredje del, afsnit II, kapitel 3."
(16) Artikel 70, stk. 1, litra a), nr. ii), affattes således:
"ii) artikel 36, stk. 1, litra a)-g), litra k), nr. ii), iii) og iv), og litra l), m) og n),
undtagen det beløb, der skal fratrækkes for udskudte skatteaktiver, som afhænger af
fremtidig rentabilitet, og som skyldes midlertidige forskelle".
(17) Artikel 72, stk. 3, første afsnit, indledningen, affattes således:
Ud over passiverne, jf. nærværende artikels stk. 2, kan afviklingsmyndigheden
tillade, at passiver betragtes som nedskrivningsrelevante passivinstrumenter op til et
samlet beløb, som ikke overstiger 3,5 % af det samlede risikoeksponeringsbeløb
beregnet i overensstemmelse med artikel 92, stk. 3, såfremt:".
(18) Artikel 72i, stk. 1, litra a), nr. ii), affattes således:
"ii) artikel 36, stk. 1, litra a)-g), litra k), nr. ii), iii), og litra k), nr. iv), og litra l), m)
og n), undtagen det beløb, der skal fratrækkes for udskudte skatteaktiver, som
afhænger af fremtidig rentabilitet, og som skyldes midlertidige forskelle".
(19) Artikel 84, stk. 1, litra a), affattes således:
"a) datterselskabets egentlige kernekapital minus den laveste værdi af følgende:
i) værdien af datterselskabets egentlige kernekapital, som kræves for at
opfylde følgende:
– hvis datterselskabet er et institut, summen af det i artikel 92, stk. 1,
litra a), fastsatte krav, kravene i artikel 458 og 459, de specifikke
kapitalgrundlagskrav omhandlet i artikel 104 i direktiv
2013/36/EU, det kombinerede bufferkrav defineret i artikel 128, nr.
6), i nævnte direktiv eller eventuelle krav i lokale
tilsynsbestemmelser i tredjelande, i det omfang disse krav skal
opfyldes ved hjælp af egentlig kernekapital, alt efter hvad der er
relevant
– hvis datterselskabet er et investeringsselskab, summen af det i
artikel 11 i forordning (EU) 2019/2033 fastsatte krav, de specifikke
kapitalgrundlagskrav omhandlet i artikel 39, stk. 2, litra a), i
direktiv (EU) 2019/2034 eller eventuelle krav i lokale
tilsynsbestemmelser i tredjelande, i det omfang disse krav skal
opfyldes ved hjælp af egentlig kernekapital, alt efter hvad der er
relevant
ii) værdien af den konsoliderede egentlige kernekapital, som datterselskabet
tegner sig for, og som kræves på konsolideret niveau for at opfylde
summen af det i artikel 92, stk. 1, litra a), fastsatte krav, kravene i artikel
DA 61 DA
458 og 459, de specifikke kapitalgrundlagskrav omhandlet i artikel 104 i
direktiv 2013/36/EU og det kombinerede bufferkrav defineret i artikel
128, nr. 6), i nævnte direktiv".
(20) Artikel 85, stk. 1, litra a), affattes således:
"a) datterselskabets kernekapital minus den laveste af følgende værdier:
i) værdien af datterselskabets kernekapital, som kræves for at opfylde
følgende:
– hvis datterselskabet er et institut, summen af det i artikel 92, stk. 1,
litra b), fastsatte krav, kravene i artikel 458 og 459, de specifikke
kapitalgrundlagskrav omhandlet i artikel 104 i direktiv
2013/36/EU, det kombinerede bufferkrav defineret i artikel 128, nr.
6), i nævnte direktiv eller eventuelle krav i lokale
tilsynsbestemmelser i tredjelande, i det omfang disse krav skal
opfyldes ved hjælp af kernekapital, alt efter hvad der er relevant
– hvis datterselskabet er et investeringsselskab, summen af det i
artikel 11 i forordning (EU) 2019/2033 fastsatte krav, de specifikke
kapitalgrundlagskrav omhandlet i artikel 39, stk. 2, litra a), i
direktiv (EU) 2019/2034 eller eventuelle krav i lokale
tilsynsbestemmelser i tredjelande, i det omfang disse krav skal
opfyldes ved hjælp af kernekapital, alt efter hvad der er relevant
ii) værdien af den konsoliderede kernekapital, som datterselskabet tegner sig
for, og som kræves på konsolideret niveau for at opfylde summen af det i
artikel 92, stk. 1, litra b), fastsatte krav, kravene i artikel 458 og 459, de
specifikke kapitalgrundlagskrav omhandlet i artikel 104 i direktiv
2013/36/EU og det kombinerede bufferkrav defineret i artikel 128, nr. 6),
i nævnte direktiv".
(21) Følgende indsættes som artikel 88b:
"Artikel 88b
Virksomheder i tredjelande
I dette afsnit II forstås ved betegnelserne "investeringsselskab" og "institut" også
virksomheder, der er etableret i tredjelande, og som, hvis de havde været etableret i
Unionen, ville være omfattet af definitionerne af disse betegnelser i artikel 4, stk. 1,
nr. 2) og 3)."
(22) Artikel 89, stk. 1, affattes således:
"1. En kvalificerende kapitalandel, som udgør over 15 % af instituttets justerede
kapitalgrundlag, i en virksomhed, som ikke er en enhed i den finansielle sektor, er
omfattet af bestemmelserne i stk. 3."
(23) I artikel 92 foretages følgende ændringer:
a) Stk. 3 og 4 affattes således:
"3. Den samlede risikoeksponering beregnes på følgende måde:
a) et selvstændigt institut i Unionen og, med henblik på at overholde
bestemmelserne i denne forordning på grundlag af dets konsoliderede
situation i overensstemmelse med første del, afsnit II, kapitel 2, et
moderinstitut i Unionen, et finansielt moderholdingselskab i Unionen og
DA 62 DA
et blandet finansielt moderholdingselskab i Unionen beregner det
samlede risikoeksponeringsbeløb på følgende måde:
TREA = max {U-TREA; x ∙ S-TREA}
hvor:
TREA = enhedens samlede risikoeksponeringsbeløb
U-TREA= enhedens samlede risikoeksponeringsbeløb uden gulv
beregnet i overensstemmelse med stk. 4
S-TREA = enhedens standardiserede risikoeksponeringsbeløb beregnet i
overensstemmelse med stk. 5
x = 72,5 %
b) med henblik på formålene i nr. i) og ii) beregnes det samlede
risikoeksponeringsbeløb i overensstemmelse med stk. 6:
i) hvis der er tale om et selvstændigt datterinstitut i en medlemsstat,
med henblik på at opfylde forpligtelserne i denne forordning på
dets individuelle grundlag
ii) hvis der er tale om et moderinstitut i en medlemsstat, et finansielt
moderholdingselskab i en medlemsstat eller et blandet finansielt
moderholdingselskab i en medlemsstat, med henblik på at opfylde
forpligtelserne i denne forordning på grundlag af dets
konsoliderede situation
c) med henblik på at opfylde forpligtelserne i denne forordning på
individuelt grundlag er det samlede risikoeksponeringsbeløb for et
institut, som hverken er et selvstændigt institut i Unionen eller et
selvstændigt datterinstitut i en medlemsstat, det samlede
risikoeksponeringsbeløb uden gulv beregnet i overensstemmelse med stk.
4.
4. Det samlede risikoeksponeringsbeløb uden gulv beregnes som summen af
litra a)-f) i nærværende stykke, efter at der er taget hensyn til stk. 7:
a) de risikovægtede eksponeringsbeløb for kreditrisiko, herunder
modpartsrisiko, og udvandingsrisiko beregnet efter bestemmelserne i
afsnit II og artikel 379 for så vidt angår alle instituttets
forretningsaktiviteter, undtagen risikovægtede eksponeringsbeløb for
modpartsrisiko i instituttets handelsbeholdningsaktiviteter
b) kapitalgrundlagskravene vedrørende et instituts
handelsbeholdningsaktiviteter for så vidt angår følgende:
i) markedsrisiko beregnet i overensstemmelse med afsnit IV i
nærværende del
ii) store eksponeringer, der overstiger de i artikel 395-401 fastsatte
grænser, i det omfang et institut har fået tilladelse til at overskride
disse grænser, som fastsat i henhold til fjerde del
c) kapitalgrundlagskravene vedrørende markedsrisiko beregnet i
overensstemmelse med afsnit IV i nærværende del for alle
forretningsaktiviteter, der er udsat for valutakursrisiko eller råvarerisiko
DA 63 DA
ca) kapitalgrundlagskravene vedrørende afviklingsrisiko beregnet i
overensstemmelse med afsnit V i nærværende del med undtagelse af
artikel 379
d) kapitalgrundlagskravene vedrørende kreditværdijusteringsrisiko beregnet
i overensstemmelse med afsnit VI i nærværende del
e) kapitalgrundlagskravene vedrørende operationel risiko beregnet i
overensstemmelse med afsnit III i nærværende del
f) de risikovægtede eksponeringsbeløb for den modpartsrisiko, der opstår i
forbindelse med instituttets handelsbeholdningsaktiviteter vedrørende
følgende typer transaktioner og aftaler, beregnet i overensstemmelse med
afsnit II i nærværende del:
i) de i bilag II omhandlede kontrakter og kreditderivater
ii) genkøbstransaktioner og udlåns- eller indskudstransaktioner baseret
på værdipapirer eller råvarer
iii) margenudlånstransaktioner baseret på værdipapirer eller råvarer
iv) terminsforretninger."
b) Følgende tilføjes som stk. 5, 6 og 7:
"5. Det standardiserede samlede risikoeksponeringsbeløb beregnes som
summen af stk. 4, litra a)-f), efter at der er taget hensyn til stk. 7 og følgende
krav:
a) de risikovægtede eksponeringsbeløb for kreditrisiko og udvandingsrisiko
som omhandlet i stk. 4, litra a), og for modpartsrisici, der opstår i
forbindelse med handelsbeholdningsaktiviteter som omhandlet i nævnte
stykkes litra f), beregnes uden anvendelse af følgende metoder:
i) metoden med interne modeller i forbindelse med rammeaftaler om
netting, jf. artikel 221
ii) den interne ratingbaserede metode, jf. kapitel 3
iii) den interne ratingbaserede metode for securitisering (SEC-IRBA),
jf. artikel 258-260, og den interne vurderingsmetode (IAA), jf.
artikel 265
iv) den metode, der er fastsat i denne del, afsnit II, kapitel 6, afdeling 6
b) kapitalgrundlagskravene vedrørende markedsrisiko for de
handelsbeholdningsaktiviteter, der er omhandlet i stk. 3, litra b), nr. i), og
for alle forretningsaktiviteter, der er udsat for valutakursrisiko eller
råvarerisiko som omhandlet i nævnte stykkes litra c), beregnes uden
anvendelse af den alternative metode med interne modeller, der er fastsat
i tredje del, afsnit IV, kapitel 1b.
6. Det samlede risikoeksponeringsbeløb vedrørende enhed "i" med henblik på
stk. 3, litra b), beregnes på følgende måde:
TREAi = U-TREAi + DIconso
∗ Contribi
conso
hvor:
i i = indekset for enheden
DA 64 DA
TREAi = enhed i's samlede risikoeksponeringsbeløb
U-TREAi = enhed i's samlede risikoeksponeringsbeløb uden gulv beregnet i
overensstemmelse med stk. 4
DIconso
= enhver positiv forskel mellem det samlede
risikoeksponeringsbeløb og det samlede risikoeksponeringsbeløb uden gulv for
den konsoliderede situation for moderinstituttet i Unionen, det finansielle
moderholdingselskab i Unionen eller det blandede finansielle
moderholdingselskab i Unionen for den koncern, som enhed i er en del af,
beregnet på følgende måde:
DIconso
= TREA − U-TREA
hvor:
U-TREA = det samlede risikoeksponeringsbeløb uden gulv beregnet i
overensstemmelse med stk. 4 for det pågældende moderinstitut i Unionen, det
finansielle moderholdingselskab i Unionen eller det blandede finansielle
moderholdingselskab i Unionen på grundlag af dets konsoliderede situation
TREA = det samlede risikoeksponeringsbeløb beregnet i
overensstemmelse med stk. 3, litra a), for det pågældende moderinstitut i
Unionen, det finansielle moderholdingselskab i Unionen eller det blandede
finansielle moderholdingselskab i Unionen på grundlag af dets konsoliderede
situation.
Contribconso
i = enhed i's bidrag beregnet på følgende måde:
Contribi
conso
= {
(F-TREA𝑖
− U-TREA𝑖)
∑ (
𝑗 F-TREA𝑗 − U-TREA𝑗)
, 𝑖𝑓 ∑(
𝑗
F-TREA𝑗 − U-TREAj) > 0
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
hvor:
j = indekset for alle enheder, der er en del af den samme koncern
som enhed i, for den konsoliderede situation for moderinstituttet i Unionen, det
finansielle moderholdingselskab i Unionen eller det blandede finansielle
moderholdingselskab i Unionen
U-TREAj = det samlede risikoeksponeringsbeløb uden gulv beregnet af enhed
j i overensstemmelse med stk. 4 på grundlag af dens konsoliderede situation
eller, hvis enhed j er et selvstændigt datterinstitut i en medlemsstat, på
individuelt niveau
F-TREAj = det samlede risikoeksponeringsbeløb med gulv for enhed j
beregnet på grundlag af dens konsoliderede situation på følgende måde:
F-TREAj = max {U-TREAj ; x ∙ S-TREAj}
hvor:
F-TREAj = det samlede risikoeksponeringsbeløb med gulv beregnet af enhed
j på grundlag af dens konsoliderede situation eller, hvis enhed j er et
selvstændigt datterinstitut i en medlemsstat, på individuelt niveau
DA 65 DA
S-TREAj = det standardiserede samlede risikoeksponeringsbeløb beregnet af
enhed j i overensstemmelse med stk. 5 på grundlag af dens konsoliderede
situation eller, hvis enhed j er et selvstændigt datterinstitut i en medlemsstat, på
individuelt niveau
x = 72,5 %.
7. Følgende bestemmelser finder anvendelse på beregningerne af det samlede
risikoeksponeringsbeløb uden gulv, der er omhandlet i stk. 4, og af den
standardiserede risikoeksponering, der er omhandlet i stk. 5:
a) De kapitalgrundlagskrav, der er omhandlet i stk. 4, litra c), ca), d) og e),
omfatter de krav, der opstår i forbindelse med alle et instituts
forretningsaktiviteter.
b) Institutterne skal gange kapitalgrundlagskravene i stk. 4, litra b)-e), med
12,5."
(24) Artikel 92a, stk. 1, litra a), affattes således:
a) en risikobaseret sats på 18 %, som repræsenterer instituttets kapitalgrundlag og
nedskrivningsrelevante passiver udtrykt som en procentdel af det samlede
risikoeksponeringsbeløb beregnet i henhold til artikel 92, stk. 3".
(25) Artikel 102, stk. 4, affattes således:
"4. Med henblik på beregning af kapitalgrundlagskravene vedrørende markedsrisiko
efter metoden i artikel 325, stk. 1, litra b), henregnes positioner i
handelsbeholdningen til handelsenheder, som er etableret i henhold til artikel 104b."
(26) Artikel 104 affattes således:
"Artikel 104
Indregning i handelsbeholdningen
1. Et institut skal have klart definerede politikker og procedurer ved fastlæggelsen af,
hvilke positioner der skal indregnes i handelsbeholdningen med henblik på
beregningen af dets kapitalgrundlagskrav, i overensstemmelse med artikel 102 og
under hensyntagen til instituttets risikoforvaltningskapacitet og -praksis. Instituttet
dokumenterer i fuldt omfang, at disse politikker og procedurer overholdes, og
underkaster dem en intern revision mindst en gang om året og stiller resultaterne af
denne revision til rådighed for de kompetente myndigheder.
2. Institutterne medtager positioner i følgende instrumenter i handelsbeholdningen:
a) instrumenter, der opfylder kriterierne i artikel 325, stk. 6, 7 og 8, for indregning
i den alternative korrelationshandelsportefølje ("ACTP")
b) instrumenter, der ville give anledning til en kort nettokredit- eller
nettoaktieposition uden for handelsbeholdningen, med undtagelse af instituttets
egne passiver, medmindre sådanne positioner opfylder kriterierne i stk. 2, litra
e)
c) instrumenter, der følger af tegningstilsagn for værdipapirer, når disse
tegningstilsagn kun vedrører værdipapirer, som instituttet faktisk forventes at
købe på afviklingsdatoen
d) finansielle aktiver eller passiver, der utvetydigt klassificeres som havende et
handelsformål i henhold til de regnskabsregler, der gælder for instituttet
DA 66 DA
e) instrumenter, der følger af market making-aktiviteter
f) kollektive investeringsordninger, der besiddes med handelshensigt, forudsat at
disse kollektive investeringsordninger opfylder mindst en af betingelserne i stk.
7
g) noterede aktier
h) handelsrelaterede værdipapirfinansieringstransaktioner
i) optioner eller andre derivater, der er indbygget i instituttets egne passiver, eller
fra andre instrumenter uden for handelsbeholdningen, som vedrører kredit-
eller aktierisici.
Med henblik på litra b) skal et institut have en kort nettoaktieposition, hvor et fald i
aktiekursen giver instituttet en gevinst. Et institut skal have en kort
nettokreditposition, hvis stigningen i kreditspændet eller forringelsen af
kreditværdigheden for udstederen eller gruppen af udstedere giver instituttet en
gevinst. Institutterne foretager løbende overvågning, hvis instrumenter giver
anledning til en kort nettokredit- eller aktieposition uden for handelsbeholdningen.
Med henblik på litra i) adskiller et institut den indbyggede option fra sit eget passiv
eller fra det andet instrument uden for handelsbeholdningen, der vedrører kredit-
eller aktierisici, og lader sit eget passiv eller det andet instrument indgå i
handelsbeholdningen eller uden for handelsbeholdningen, alt efter hvad der er
relevant, i overensstemmelse med denne artikel.
3. Institutterne lader ikke positioner i følgende instrumenter indgå i
handelsbeholdningen:
a) instrumenter udpeget til securitiseringswarehousing
b) instrumenter vedrørende besiddelse af fast ejendom
c) unoterede aktier
d) detail- og SMV-kreditrelaterede instrumenter
e) andre kollektive investeringsordninger end dem, der er anført i stk. 2, litra f)
f) derivatkontrakter og kollektive investeringsordninger med et eller flere af de
underliggende instrumenter, der er omhandlet i litra a)-d)
g) instrumenter, der besiddes med henblik på at afdække en bestemt risiko
tilknyttet en eller flere positioner i et instrument, der er omhandlet i litra a)-f)
h) instituttets egne passiver, medmindre sådanne instrumenter opfylder kriterierne
i stk. 2, litra e).
4. Uanset stk. 2 kan et institut lade en position i et instrument omhandlet i litra d)-i) i
nævnte stykke indgå uden for handelsbeholdningen med forbehold af dets
kompetente myndigheds godkendelse. Den kompetente myndighed giver sin
godkendelse, hvis instituttet over for myndigheden har godtgjort, at positionen ikke
besiddes med handelshensigt eller ikke afdækker positioner, der besiddes med
handelshensigt.
5. Hvis et institut har ladet en position i et andet instrument end de instrumenter, der
er omhandlet i stk. 2, litra a), b) eller c), indgå i handelsbeholdningen, kan instituttets
kompetente myndighed anmode instituttet om at fremlægge dokumentation for dette.
Hvis instituttet ikke fremlægger passende dokumentation, kan dets kompetente
DA 67 DA
myndighed kræve, at instituttet omplacerer positionen til uden for
handelsbeholdningen.
6. Hvis et institut har ladet en position i et andet instrument end de instrumenter, der
er omhandlet i stk. 3, indgå uden for handelsbeholdningen, kan instituttets
kompetente myndighed anmode instituttet om at fremlægge dokumentation for dette.
Hvis instituttet ikke fremlægger passende dokumentation, kan dets kompetente
myndighed kræve, at instituttet omplacerer positionen til handelsbeholdningen.
7. Et institut skal lades en position i en kollektiv investeringsordning, som besiddes
med handelshensigt, indgå i handelsbeholdningen, hvis instituttet opfylder en af
følgende betingelser:
a) instituttet kan indhente tilstrækkelige oplysninger om CIU'ens enkelte
underliggende eksponeringer
b) instituttet kan ikke indhente tilstrækkelige oplysninger om CIU'ens enkelte
underliggende eksponeringer, men instituttet har kendskab til indholdet af
CIU'ens mandat og kan opnå daglige prisnoteringer for CIU'en.
8. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
yderligere at præcisere den proces, som institutterne skal anvende til at beregne og
overvåge korte nettokredit- eller aktiepositioner uden for handelsbeholdningen, jf.
stk. 2, litra b).
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 24 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelse til at supplere denne forordning ved at vedtage de
i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(27) I artikel 104a foretages følgende ændringer:
a) Stk. 1, andet afsnit, affattes således:
"EBA overvåger omfanget af tilsynspraksisser og udsteder senest den 28. juni
2024 retningslinjer for, hvad særlige omstændigheder indebærer, med henblik
på stk. 5, første afsnit. Disse retningslinjer vedtages i overensstemmelse med
artikel 16 i forordning (EU) nr. 1093/2010. Indtil EBA udsteder disse
retningslinjer, underretter de kompetente myndigheder EBA om og begrunder
deres afgørelser om, hvorvidt et institut tillades at omklassificere en position,
jf. nærværende artikels stk. 2."
b) Stk. 5 affattes således:
"5. Omklassificeringen af en position i henhold til denne artikel er
uigenkaldelig, undtagen under de særlige omstændigheder, der er omhandlet i
stk. 1."
c) Følgende tilføjes som stk. 6:
"6. Uanset stk. 1 kan et institut omklassificere en position uden for
handelsbeholdningen til en position i handelsbeholdningen i overensstemmelse
med artikel 104, stk. 2, litra d), uden at anmode om tilladelse fra dets
kompetente myndighed. I så fald finder kravene i stk. 3 og 4 fortsat anvendelse
DA 68 DA
på instituttet. Instituttet underretter øjeblikkelig sin kompetente myndighed,
hvis en sådan omklassificering har fundet sted."
(28) I artikel 104b foretages følgende ændringer:
a) Stk. 1 affattes således:
"1. Med henblik på at beregne kapitalgrundlagskravene vedrørende
markedsrisiko efter den metode, der er omhandlet i artikel 325, stk. 1, litra b),
etablerer institutterne handelsenheder og henregner hver af deres positioner i
handelsbeholdningen og deres positioner uden for handelsbeholdningen som
omhandlet i stk. 5 og 6 til en af disse handelsenheder. Positioner i
handelsbeholdningen henføres kun til samme handelsenhed, hvis disse
positioner overholder den fastlagte forretningsstrategi for denne handelsenhed
og løbende forvaltes og overvåges i henhold til nærværende artikels stk. 2."
b) Følgende tilføjes som stk. 5 og 6:
"5. For at beregne kapitalgrundlagskravene vedrørende markedsrisiko
henregner institutterne hver af deres positioner uden for handelsbeholdningen,
som er udsat for valutakursrisiko eller råvarerisiko, til handelsenheder, der er
oprettet i overensstemmelse med stk. 1, og som forvalter risici, der svarer til
disse positioner.
6. Uanset stk. 5 kan institutterne ved beregningen af deres kapitalgrundlagskrav
vedrørende markedsrisiko etablere en eller flere handelsenheder, til hvilke de
udelukkende henregner de positioner uden for handelsbeholdningen, der er
udsat for valutakursrisiko eller råvarerisiko. Disse handelsenheder er ikke
omfattet af kravene i stk. 1, 2 og 3."
(29) Følgende indsættes som artikel 104c:
"Artikel 104c
Behandling af valutakursrisikoafdækninger af kapitalprocenter
1. Et institut, der bevidst har taget en risikoposition for i det mindste delvist at
afdække sine kapitalprocenter mod negative bevægelser i valutakurserne, jf.
artikel 92, stk. 1, litra a), b) og c), kan med de kompetente myndigheders tilladelse
udelukke denne risikoposition fra kapitalgrundlagskravene vedrørende valutarisiko,
jf. artikel 325, stk. 1, forudsat at samtlige følgende betingelser er opfyldt:
a) Maksimumsbeløbet for den risikoposition, der er udelukket fra
kapitalgrundlagskravene vedrørende markedsrisiko, er begrænset til det
risikopositionsbeløb, der neutraliserer kapitalprocenternes følsomhed over for
de negative bevægelser i valutakurserne.
b) Risikopositionen er udelukket fra kapitalgrundlagskravene vedrørende
markedsrisiko i mindst 6 måneder.
c) Instituttet har etableret en passende risikostyringsramme til afdækning af dets
kapitalprocenter mod de negative bevægelser i valutakurserne, herunder en klar
risikoafdækningsstrategi og ledelsesstruktur.
d) Instituttet har forelagt de kompetente myndigheder en begrundelse for at
udelukke en risikoposition fra kapitalgrundlagskravene vedrørende
markedsrisiko, de nærmere detaljer om denne risikoposition og det beløb, der
skal udelukkes fra kapitalgrundlagskravene vedrørende markedsrisiko.
DA 69 DA
2. Enhver udelukkelse af risikopositioner fra kapitalgrundlagskravene vedrørende
markedsrisiko i overensstemmelse med stk. 1 anvendes konsistent.
3. De kompetente myndigheder godkender instituttets eventuelle ændringer af den
risikostyringsramme, der er omhandlet i stk. 1, litra c), og af de nærmere detaljer om
de risikopositioner, der er omhandlet i stk. 1, litra d).
4. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere:
a) hvilke risikopositioner et institut bevidst kan tage for i det mindste delvist at
afdække et instituts kapitalprocenter mod de negative bevægelser i
valutakurserne, jf. stk. 1, første afsnit
b) hvordan det maksimumsbeløb, der er omhandlet i stk. 1, litra a), fastsættes, og
hvordan et institut skal udelukke dette beløb for hver af de metoder, der er
omhandlet i artikel 325, stk. 1
c) hvilke kriterier et instituts risikostyringsramme, jf. stk. 1, litra c), skal opfylde
for at blive anset for hensigtsmæssig med henblik på denne artikel.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 2 år efter
denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010."
(30) I artikel 106 foretages følgende ændringer:
a) Stk. 3, sidste afsnit, affattes således:
"Både en intern afdækning anerkendt i henhold til første afsnit og
kreditderivatet indgået med den eksterne udbyder medtages i
handelsbeholdningen for at beregne kapitalgrundlagskravene vedrørende
markedsrisiko. For at beregne kapitalgrundlagskravene vedrørende
markedsrisiko ved hjælp af metoden i artikel 325, stk. 1, litra b), henføres
begge positioner til den samme handelsenhed, der er oprettet i
overensstemmelse med artikel 104b, stk. 1, og som forvalter lignende risici."
b) Stk. 4, sidste afsnit, affattes således:
"Både en intern afdækning anerkendt i henhold til første afsnit og
aktiederivatet indgået med den anerkendte eksterne udbyder af risikoafdækning
medtages i handelsbeholdningen med henblik på beregning af
kapitalgrundlagskravene vedrørende markedsrisiko. Med henblik på beregning
af kapitalgrundlagskravene vedrørende markedsrisici ved hjælp af metoden i
artikel 325, stk. 1, litra b), henføres begge positioner til den samme
handelsenhed, der er oprettet i overensstemmelse med artikel 104b, stk. 1, og
som forvalter lignende risici."
c) Stk. 5 affattes således:
"5. "Hvis et institut afdækker en renterisikoeksponering, der ligger uden for
handelsbeholdningen, med en renterisikoposition, der indgår i
handelsbeholdningen, anses denne renterisikoposition for at være en intern
afdækning med henblik på at vurdere den renterisiko, der følger af positioner
DA 70 DA
uden for handelsbeholdningen i henhold til artikel 84 og 98 i direktiv
2013/36/EU, hvis følgende betingelser er opfyldt:
a) for at beregne kapitalgrundlagskravene vedrørende markedsrisiko ved
hjælp af de metoder, der er omhandlet i artikel 325, stk. 1, litra a), b) og
c), er renterisikopositionen blevet henregnet til en separat portefølje i
forhold til de andre positioner i handelsbeholdningen, hvis
forretningsstrategi udelukkende har til formål at styre og afbøde
markedsrisikoen ved interne afdækninger af renterisikoeksponering, med
henblik herpå,
b) med henblik på beregning af kapitalgrundlagskravene vedrørende
markedsrisiko ved hjælp af de metoder, der er omhandlet i artikel 325,
stk. 1, litra b), er positionen blevet henregnet til en handelsenhed, som er
etableret i henhold til artikel 104b, hvis forretningsstrategi udelukkende
har til formål at styre og afbøde markedsrisikoen ved interne afdækninger
af renterisikoeksponering
c) instituttet har udførligt dokumenteret, hvordan positionen afbøder den
renterisiko, der følger af positioner uden for handelsbeholdningen, med
henblik på kravene i artikel 84 og 98 i direktiv 2013/36/EU."
d) Følgende indsættes som stk. 5a og 5b:
"5a. "Med henblik på stk. 5, litra a), kan instituttet henregne andre
renterisikopositioner indgået med eksterne udbydere eller med dets egen
handelsbeholdning til denne portefølje, såfremt instituttet dækker hele
markedsrisikoen forbundet med disse renterisikopositioner, der er indgået med
dets egen handelsbeholdning, ved at indgå modsatrettede renterisikopositioner
med eksterne udbydere.
5b. Følgende krav gælder for den handelsenhed, der er omhandlet i stk. 5, litra
b):
a) Den pågældende handelsenhed kan omfatte andre renterisikopositioner
indgået med tredjeparter eller med instituttets andre handelsenheder,
såfremt disse positioner opfylder kravene for indregning i
handelsbeholdningen, jf. artikel 104, og disse andre handelsenheder fuldt
ud udligner markedsrisikoen ved disse andre renterisikopositioner ved at
indgå modsatrettede renterisikopositioner med tredjeparter.
b) Den pågældende handelsenhed henregnes ikke til andre positioner i
handelsbeholdningen end dem, der er omhandlet i litra a).
c) Uanset artikel 104b er disse handelsenheder ikke omfattet af kravene i
nævnte artikels stk. 1, 2 og 3."
e) Stk. 6 og 7 affattes således:
"6. Kapitalgrundlagskravene vedrørende markedsrisiko for alle de positioner,
der er henført til den separate portefølje, der er omhandlet i stk. 5, litra a), eller
til handelsenheden, der er omhandlet i nævnte stykkes litra b), beregnes
særskilt som tillæg til kapitalgrundlagskravene vedrørende de øvrige positioner
i handelsbeholdningen.
7. Hvis et institut afdækker en kreditværdijusteringsrisiko ved hjælp af et afledt
instrument, der er indgået med dets handelsbeholdning, indregnes positionen i
DA 71 DA
dette derivatinstrument som en intern afdækning af
kreditværdijusteringsrisikoeksponeringen med henblik på beregning af
kapitalgrundlagskravene vedrørende kreditværdijusteringsrisiko i
overensstemmelse med metoderne i artikel 383 eller 384, hvis følgende
betingelser er opfyldt:
a) derivatpositionen indregnes som afdækning, der kan indregnes, i
overensstemmelse med artikel 386
b) hvis derivatpositionen er omfattet af et af kravene i artikel 325c, stk. 2,
litra b) eller c), eller i artikel 325e, stk. 1, litra c), dækker instituttet hele
markedsrisikoen forbundet med denne derivatposition ved at indgå
modsatrettede positioner med tredjeparter.
Den modsatrettede position i handelsbeholdningen for den interne afdækning,
der er indregnet i overensstemmelse med første afsnit, indregnes i instituttets
handelsbeholdning med henblik på at beregne kapitalgrundlagskravene
vedrørende markedsrisiko."
(31) Artikel 107, stk. 1, 2 og 3, affattes således:
"1. Institutterne anvender enten standardmetoden, der er omhandlet i kapitel 2, eller,
hvis det tillades af de kompetente myndigheder i overensstemmelse med artikel 143,
den interne ratingbaserede metode, der er omhandlet i kapitel 3, til beregning af de
risikovægtede eksponeringsbeløb med henblik på artikel 92, stk. 4, litra a) og f).
2. For så vidt angår handelseksponeringer og bidrag til misligholdelsesfonde til en
central modpart anvender institutterne behandlingen i kapitel 6, afdeling 9, til at
beregne deres risikovægtede eksponeringsbeløb med henblik på artikel 92, stk. 4,
litra a) og f). For så vidt angår alle andre typer eksponeringer mod en central modpart
behandler institutterne sådanne eksponeringer som følger:
a) som eksponeringer mod et institut for så vidt angår andre typer eksponeringer
mod en kvalificerende CCP
b) som eksponeringer mod et selskab for så vidt angår andre typer eksponeringer
mod en ikkekvalificerende CCP.
3. Med henblik på denne forordning behandles eksponeringer mod
investeringsselskaber i tredjelande og eksponeringer mod kreditinstitutter i
tredjelande og eksponeringer mod clearinginstitutter og børser i tredjelande samt
eksponeringer mod finansieringsinstitutter i tredjelande, der er meddelt tilladelse og
underlagt tilsyn af tredjelandsmyndigheder, og som med hensyn til soliditet er
omfattet af tilsynsmæssige krav, der svarer til dem, som gælder for institutter, kun
som eksponeringer mod et institut, hvis tredjelandet anvender tilsynsmæssige krav til
en sådan enhed, der som minimum svarer til de krav, der anvendes i Unionen."
(32) Artikel 108 affattes således:
"Artikel 108
Anvendelse af kreditrisikoreduktionsteknikker efter standardmetoden og IRB-metoden
til kreditrisiko og udvandingsrisiko
1. Et institut, der til en eksponering anvender standardmetoden i kapitel 2 eller IRB-
metoden i kapitel 3, men ikke anvender sine egne estimater af tab givet
misligholdelse (LGD) i henhold til artikel 143, kan tage hensyn til virkningen af FCP
DA 72 DA
i overensstemmelse med kapitel 4 ved beregningen af risikovægtede
eksponeringsbeløb med henblik på artikel 92, stk. 4, litra a) og f), eller, hvis det er
relevant, værdi af forventede tab (EL) med henblik på den i artikel 36, stk. 1, litra d),
og artikel 62, litra c), omhandlede beregning.
2. Et institut, der til en eksponering, anvender IRB-metoden ved at anvende sine egne
estimater af LGD i henhold til artikel 143, kan tage hensyn til virkningen af FCP i
risikovægtede eksponeringsbeløb og værdi af forventede tab i overensstemmelse med
kapitel 3.
2a. Hvis et institut anvender IRB-metoden ved at anvende sine egne estimater af
LGD i henhold til artikel 143 til både oprindelig eksponering og sammenlignelige
direkte eksponeringer mod udstederen af kreditrisikoafdækning, kan det tage hensyn
til virkningen af UFCP i risikovægtede eksponeringsbeløb og værdi af forventede tab
i overensstemmelse med kapitel 3. I alle andre tilfælde kan instituttet tage hensyn til
virkningen af UFCP i risikovægtede eksponeringsbeløb og værdi af forventede tab i
overensstemmelse med kapitel 4.
3. Med forbehold af betingelserne i stk. 4 kan detailkreditter betragtes som
eksponeringer sikret ved pant i beboelsesejendom i stedet for at blive behandlet som
garanterede eksponeringer med henblik på tredje del, afsnit II, kapitel 2, 3 og 4, alt
efter hvad der er relevant, hvis følgende betingelser for disse detailkreditter er
opfyldt i en medlemsstat:
a) Størstedelen af lånene til fysiske personer til køb af beboelsesejendomme i den
pågældende medlemsstat ydes ikke som pant i retlig form.
b) Størstedelen af lån til enkeltpersoner til køb af beboelsesejendomme i den
pågældende medlemsstat er garanteret af en garantstiller med en
kreditvurdering fra et udpeget ECAI svarende til kreditkvalitetstrin 1 eller 2,
som skal tilbagebetale instituttet fuldt ud, hvis den oprindelige låntager
misligholder sine forpligtelser.
c) Instituttet har ret til at optage pant i beboelsesejendommen, i tilfælde af at den i
litra b) omhandlede garantistiller undlader at betale forfaldne beløb.
De kompetente myndigheder underretter EBA, hvis betingelserne i litra a), b) og c)
er opfyldt i deres jurisdiktioners nationale områder, og oplyser navnene på
garantistillere, der er anerkendt med henblik på denne behandling, og som opfylder
betingelserne i nærværende stykke og stk. 4.
EBA offentliggør listen over alle sådanne anerkendte garantistillere på sit websted og
ajourfører listen hvert år.
4. Med henblik på stk. 3 kan de lån, der er omhandlet i nævnte stykke, behandles
som eksponeringer sikret ved pant i beboelsesejendom i stedet for at blive behandlet
som garanterede eksponeringer, hvis samtlige følgende betingelser er opfyldt:
a) For en eksponering, der behandles efter standardmetoden, opfylder
eksponeringen alle krav for at blive henført til eksponeringsklassen
"eksponeringer sikret ved pant i fast ejendom "efter standardmetoden i henhold
til artikel 124 og 125 med den undtagelse, at det institut, der yder lånet, ikke
har pant i beboelsesejendommen.
b) For en eksponering, der behandles efter IRB-metoden, opfylder eksponeringen
alle krav for at blive henført til IRB-eksponeringsklassen "eksponeringer sikret
DA 73 DA
ved beboelsesejendom" omhandlet i artikel 147, stk. 2, litra d), nr. ii), med den
undtagelse, at det institut, der yder lånet, ikke har pant i ejendommen.
c) Der er ikke stiftet pant i beboelsesejendommen, når lånet ydes, og låntager er
forpligtet ved kontrakt til ikke at indrømme sådanne panterettigheder uden
samtykke fra det institut, der oprindeligt ydede lånet.
d) Garantistilleren er anerkendt udbyder af kreditrisikoafdækning som omhandlet
i artikel 201, og garantistilleren har en kreditvurdering fra et ECAI svarende til
kreditkvalitetstrin 1 eller 2.
e) Garantistilleren er et institut eller en enhed i den finansielle sektor, der er
underlagt kapitalkrav, der mindst svarer til de kapitalkrav, der gælder for
institutter eller forsikringsselskaber.
f) Garantistilleren har oprettet en fuldt finansieret gensidig garantifond eller
tilsvarende beskyttelse for forsikringsselskaber til at dække kreditrisikotab,
hvis kalibrering regelmæssigt tages op til overvejelse af den kompetente
myndighed og underkastes en årlig stresstest.
g) Det er kontraktligt og retligt muligt for instituttet at optage pant i
beboelsesejendommen, i tilfælde af at garantistiller ikke opfylder sine
forpligtelser.
h) Det institut, der beslutter at gøre brug af muligheden i stk. 3 for en given
anerkendt garantistiller i henhold til den i stk. 3 omhandlede mekanisme, skal
gøre dette for alle sine detaileksponeringer, som garanteres af den pågældende
garantistiller i henhold til denne mekanisme."
(33) Følgende indsættes som artikel 110a:
"Artikel 110a
Overvågning af kontraktlige ordninger, der ikke er tilsagn
Institutterne overvåger kontraktlige ordninger, der opfylder alle betingelserne i
artikel 5, nr. 9), andet afsnit, litra a)-e), og dokumenterer til deres kompetente
myndigheders tilfredshed, at de opfylder alle disse betingelser."
(34) Artikel 111 affattes således:
"Artikel 111
Eksponeringsværdi
"1. En aktivposts eksponeringsværdi er den resterende regnskabsmæssige værdi efter
specifikke kreditrisikojusteringer i overensstemmelse med artikel 110, yderligere
værdijusteringer i overensstemmelse med artikel 34 vedrørende instituttets aktiviteter
uden for handelsbeholdningen, beløb fradraget i overensstemmelse med artikel 36,
stk. 1, litra m), og andre reduktioner af kapitalgrundlaget i forbindelse med
aktivposten.
2. Eksponeringsværdien af en ikkebalanceført post opført i bilag I er følgende
procentdel af postens nominelle værdi efter fradrag af specifikke
kreditrisikojusteringer i overensstemmelse med artikel 110 og beløb fratrukket i
overensstemmelse med artikel 36, stk. 1, litra m):
a) 100 % for poster i undergruppe 1
b) 50 % for poster i undergruppe 2
c) 40 % for poster i undergruppe 3
DA 74 DA
d) 20 % for poster i undergruppe 4
e) 10 % for poster i undergruppe 5.
3. Eksponeringsværdien af et tilsagn vedrørende en ikkebalanceført post som
omhandlet i stk. 2 er den laveste af følgende procentdele af tilsagnets nominelle
værdi efter fradrag af specifikke kreditrisikojusteringer og beløb fratrukket i
overensstemmelse med artikel 36, stk. 1, litra m):
a) den procentdel, der er omhandlet i stk. 2, og som finder anvendelse på den
post, som tilsagnet vedrører
b) den procentdel, der er omhandlet i stk. 2, og som finder anvendelse på typen af
tilsagn.
4. For kontraktlige ordninger, som tilbydes af et institut, men som endnu ikke er
accepteret af kunden, og som ville blive tilsagn, hvis de blev accepteret af kunden, og
kontraktlige ordninger, der ville kunne betragtes som tilsagn, men som opfylder
betingelserne for ikke at blive behandlet som tilsagn, skal den procentdel, der finder
anvendelse på denne type kontraktlige ordninger, være den, der er fastsat i
overensstemmelse med stk. 2.
5. Anvender et institut den udvidede metode for finansiel sikkerhedsstillelse
("Financial Collateral Comprehensive Method"), der er omhandlet i artikel 223, øges
eksponeringsværdien af værdipapirer eller råvarer, der sælges, stilles som sikkerhed
eller udlånes i forbindelse med en genkøbstransaktion eller en transaktion vedrørende
udlån eller indskud i værdipapirer eller råvarer og margenlånetransaktioner, med den
volatilitetsjustering, der anvendes for sådanne værdipapirer eller råvarer i
overensstemmelse med artikel 223 og 224.
6. Eksponeringsværdien af et derivatinstrument opført i bilag II fastsættes i
overensstemmelse med kapitel 6, idet der tages højde for virkningen af kontrakter om
nyordning og andre nettingaftaler som anført i nævnte kapitel. Eksponeringsværdien
af genkøbstransaktioner, transaktioner vedrørende udlån eller indskud i værdipapirer
eller råvarer, transaktioner med lang afviklingstid og margenlånetransaktioner kan
fastsættes enten i overensstemmelse med kapitel 4 eller kapitel 6.
7. Er en eksponering dækket af en finansieret kreditrisikoafdækning, kan
eksponeringsværdien ændres i overensstemmelse med kapitel 4.
8. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere:
a) hvilke kriterier institutterne skal anvende til at henføre ikkebalanceførte poster,
med undtagelse af poster, der allerede er opført i bilag I, til undergruppe 1-5
som omhandlet i bilag I
b) hvilke faktorer der kan begrænse institutternes mulighed for at opsige de i bilag
I omhandlede tilsagn, der kan opsiges uden betingelser
c) proceduren for underretning af EBA om institutternes klassificering af andre
ikkebalanceførte poster med tilsvarende risici som dem, der er omhandlet i
bilag I.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 1 år efter
denne forordnings ikrafttræden].
DA 75 DA
Kommissionen tillægges beføjelse til at supplere denne forordning ved at vedtage de
i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(35) Artikel 112, litra k), affattes således:
"k) eksponeringer mod efterstillet gæld".
(36) I artikel 113 foretages følgende ændringer:
a) Stk. 1 affattes således:
"1. Ved beregning af risikovægtede eksponeringsbeløb anvendes risikovægte
for alle eksponeringer, medmindre disse eksponeringer er blevet fratrukket i
kapitalgrundlaget, i overensstemmelse med afdeling 2, baseret på den
eksponeringsklasse, som disse eksponeringer henføres til, og i det omfang, der
er angivet i afdeling 2, baseret på disse eksponeringers kreditkvalitet.
Kreditkvaliteten kan bestemmes ud fra kreditvurderinger fra ECAI'er eller
kreditvurderinger fra eksportkreditagenturer efter bestemmelserne i afdeling 3.
Med undtagelse af eksponeringer, der henføres til de eksponeringsklasser, der
er fastsat i artikel 112, litra a), b), c) og e), anvender instituttet, hvis
vurderingen i henhold til artikel 79, litra b), i direktiv 2013/36/EU afspejler
højere risikokarakteristika end dem, der følger af det udpegede ECAI's eller
eksportkreditinstituttets kreditvurdering, en risikovægt, der er mindst ét
kreditkvalitetstrin højere end den risikovægt, der følger af det udpegede ECAI's
eller eksportkreditinstituttets kreditvurdering."
b) Stk. 3 affattes således:
"3. Er en eksponering genstand for en kreditrisikoafdækning, kan
eksponeringsværdien eller den gældende risikovægt for denne eksponering, alt
efter hvad der er relevant, ændres i overensstemmelse med nærværende kapitel
og kapitel 4."
(37) Artikel 119, stk. 2 og 3, udgår.
(38) Artikel 120, stk. 1 og 2, affattes således:
"1. Eksponeringer, for hvilke der foreligger en kreditvurdering fra et udpeget ECAI,
tildeles en risikovægt i henhold til tabel 3, som svarer til ECAI'ets kreditvurdering i
henhold til artikel 136.
Tabel 3
Kreditkvalitetstrin 1 2 3 4 5 6
Risikovægt 20 %30 %50 %100 %100 %150 %
2. Eksponeringer med en oprindelig løbetid på tre måneder eller derunder, for hvilke
der foreligger en kreditvurdering fra et udpeget ECAI, og eksponeringer, der skyldes
varebevægelser på tværs af nationale grænser, med en oprindelig løbetid på højst
seks måneder, og for hvilke der foreligger en kreditvurdering fra et udpeget ECAI,
tildeles en risikovægt i overensstemmelse med tabel 4, som svarer til ECAI'ets
kreditvurdering i henhold til artikel 136.
Tabel 4
Kreditkvalitetstrin 1 2 3 4 5 6
DA 76 DA
Risikovægt 20 % 20 % 20 % 50 % 50 % 150 %".
(39) Artikel 121 affattes således:
"Artikel 121
Eksponeringer mod institutter, der ikke er kreditvurderet
1. Eksponeringer mod institutter, for hvilke der ikke foreligger en kreditvurdering fra
et udpeget ECAI, henføres til en af følgende klasser:
a) Hvis samtlige følgende betingelser er opfyldt, henføres eksponeringer mod
institutter til klasse A:
i) Instituttet har tilstrækkelig kapacitet til rettidigt at opfylde sine finansielle
forpligtelser, herunder afdrag på hovedstol og tilbagebetalinger af renter,
i aktivernes eller eksponeringernes forventede levetid og uanset
konjunkturudvikling og forretningsbetingelser.
ii) Instituttet opfylder eller overstiger det krav, der er fastsat i artikel 92,
stk. 1, de specifikke kapitalgrundlagskrav, der er omhandlet i artikel 104a
i direktiv 2013/36/EU, det kombinerede bufferkrav, som er defineret i
artikel 128, nr. 6), i direktiv 2013/36/EU, og eventuelle tilsvarende eller
supplerende lokale tilsyns- eller reguleringskrav i tredjelande, for så vidt
disse krav offentliggøres og skal opfyldes med egentlig kernekapital,
kernekapital eller kapitalgrundlag.
iii) Oplysninger om de krav, der er omhandlet i nr. ii), offentliggøres eller
gøres tilgængelige på anden måde.
iv) Vurderingen i overensstemmelse med artikel 79 i direktiv 2013/36/EU
har ikke afsløret, at instituttet ikke opfylder betingelserne i nr. i) og ii).
b) Hvis samtlige følgende betingelser er opfyldt, og mindst en af betingelserne i
litra a) ikke er opfyldt, henføres eksponeringer mod institutter til klasse B:
i) Instituttet er udsat for en betydelig kreditrisiko, herunder
tilbagebetalingskapacitet, der er afhængig af stabile eller gunstige
økonomiske eller forretningsmæssige betingelser.
ii) Instituttet opfylder eller overstiger det krav, der er fastsat i artikel 92,
stk. 1, de krav, der er omhandlet i artikel 458 og 459, de specifikke
kapitalgrundlagskrav, der er omhandlet i artikel 104a i direktiv
2013/36/EU, og eventuelle tilsvarende eller supplerende lokale tilsyns-
eller reguleringskrav i tredjelande, for så vidt disse krav offentliggøres og
skal opfyldes med egentlig kernekapital, kernekapital og kapitalgrundlag.
iii) Oplysninger om de krav, der er omhandlet i nr. ii), offentliggøres eller
gøres tilgængelige på anden måde.
iv) Den vurdering, der foretages i overensstemmelse med artikel 79 i direktiv
2013/36/EU, har ikke afsløret, at instituttet ikke opfylder betingelserne i
nr. i) og ii).
Med henblik på nr. ii) omfatter tilsvarende eller supplerende lokale tilsyns-
eller reguleringskrav ikke kapitalbuffere svarende til dem, der er defineret i
artikel 128 i direktiv 2013/36/EU.
DA 77 DA
c) Hvis betingelserne for henførsel til klasse A eller B ikke er opfyldt, eller hvis
en af følgende betingelser er opfyldt, henføres eksponeringer mod institutter til
klasse C:
i) Instituttet har væsentlige misligholdelsesrisici og begrænsede
sikkerhedsmargener.
ii) Ugunstige forretningsmæssige, finansielle eller økonomiske betingelser
kan med stor sandsynlighed føre til eller har ført til, at instituttet ikke er i
stand til at opfylde sine finansielle forpligtelser.
iii) Hvis der i henhold til lovgivningen kræves reviderede regnskaber for
instituttet, har den eksterne revisor afgivet en negativ revisionserklæring
eller har i regnskaberne eller de reviderede beretninger inden for de
foregående 12 måneder udtrykt væsentlig tvivl om instituttets evne til at
fortsætte som et institut i fortsat drift (going concern).
2. Eksponeringer henført til klasse A, B eller C i henhold til stk. 1 tildeles en
risikovægt på følgende måde:
a) Eksponeringer henført til klasse A, B eller C, som opfylder en af følgende
betingelser, tildeles en risikovægt for kortfristede eksponeringer i
overensstemmelse med tabel 5:
i) Eksponeringen har en oprindelig løbetid på højst tre måneder.
ii) Eksponeringen har en oprindelig løbetid på højst seks måneder og
skyldes varebevægelser på tværs af nationale grænser.
b) Eksponeringer henført til klasse A, som ikke er kortfristede, tildeles en
risikovægt på 30 %, hvis samtlige følgende betingelser er opfyldt:
i) Eksponeringen opfylder ikke nogen af betingelserne i litra a).
ii) Instituttets egentlige kernekapitalprocent er lig med eller højere end
14 %.
iii) Instituttets gearingsgrad er højere end 5 %.
c) Eksponeringer henført til klasse A, B eller C, som ikke opfylder betingelserne i
litra a) eller b), tildeles en risikovægt i overensstemmelse med tabel 5.
Hvis en eksponering mod et institut ikke er denomineret i den nationale valuta i den
jurisdiktion, hvor instituttet er stiftet, eller hvis instituttet har bogført
gældsforpligtelsen i en filial i en anden jurisdiktion, og eksponeringen ikke er i den
nationale valuta i den jurisdiktion, hvor filialen driver virksomhed, må den
risikovægt, der i overensstemmelse med litra a), b) eller c), tildeles andre
eksponeringer end eksponeringer med en løbetid på højst et år, der stammer fra
selvlikviderende handelsrelaterede eventualposter, som skyldes varebevægelser på
tværs af nationale grænser, ikke være lavere end risikovægten for en eksponering
mod centralregeringen i det land, hvor instituttet er stiftet.
Tabel 5
Vurdering af kreditrisiko Klasse AKlasse BKlasse C
Risikovægt for kortfristede eksponeringer20 % 50 % 75 %
Risikovægt 40 % 75 % 150 %
DA 78 DA
".
(40) I artikel 122 foretages følgende ændringer:
a) I stk. 1 affattes tabel 6 således:
"Tabel 6
Kreditkvalitetstrin1 2 3 4 5 6
Risikovægt 20 %50 %75 %100 %150 %150 %
".
b) Stk. 2 affattes således:
"Eksponeringer, for hvilke der ikke foreligger en sådan kreditvurdering, tildeles en
risikovægt på 100 %."
(41) Følgende indsættes som artikel 122a:
"Artikel 122a
Specialiseret långivning
1. Inden for den erhvervseksponeringsklasse, som er fastlagt i artikel 112, litra g),
skal institutter separat identificere eksponeringer med følgende karakteristika som
specialiseret långivning:
a) Eksponeringen er mod en enhed, som er oprettet specifikt for at finansiere eller
drive fysiske aktiver eller er en eksponering, der økonomisk set er
sammenlignelig med en sådan eksponering.
b) Eksponeringen er ikke sikret ved fast ejendom eller på anden måde knyttet til
finansiering af fast ejendom.
c) De kontraktlige ordninger for forpligtelsen vedrørende eksponeringen giver
instituttet en betydelig kontrol over aktiverne og den indkomst, som de
genererer.
d) Den primære kilde til tilbagebetaling af forpligtelsen vedrørende
eksponeringen er indkomsten fra de finansierede aktiver og ikke en bredere
erhvervsmæssig virksomheds separate tilbagebetalingsevne.
2. Specialiseret långivning, for hvilken der foreligger en umiddelbart anvendelig
kreditvurdering fra et udpeget ECAI, tildeles en risikovægt i overensstemmelse med
tabel 6aa:
Tabel 6aa
Kreditkvalitet
strin
1 2 3 4 5
Risikovægt 20 % 50 % 75 % 100 % 150 %
3. Specialiseret långivning, for hvilken der ikke foreligger en umiddelbart anvendelig
kreditvurdering, risikovægtes som følger:
a) Hvis formålet med en specialiseret långivning er at finansiere erhvervelsen af
fysiske aktiver, herunder skibe, luftfartøjer, satellitter, motorvogne og
flåder/bilparker, og den indkomst, der skal genereres af disse aktiver, har form
af pengestrømme, der genereres af de specifikke fysiske aktiver, der er blevet
DA 79 DA
finansieret og pantsat eller overført til långiveren af en eller flere tredjeparter
("objektfinansieringseksponeringer"), anvender institutterne følgende
risikovægte:
i) 80 %, hvis eksponeringen anses for at være af høj kvalitet under
hensyntagen til alle følgende kriterier:
– låntageren kan opfylde sine finansielle forpligtelser selv i
situationer med alvorlig stress som følge af tilstedeværelsen af alle
følgende forhold:
 hensigtsmæssig eksponering i forhold til værdi for
eksponeringen
 konservativ tilbagebetalingsprofil for eksponeringen
 passende resterende levetid for aktiverne efter fuld udbetaling
af eksponeringen eller alternativt anvendelse af en udbyder af
kreditrisikoafdækning med høj kreditværdighed
 refinansieringsrisikoen for eksponeringen er lav for
låntageren eller denne risiko er tilstrækkeligt afbødet af en
passende restværdi af aktiverne eller anvendelse af en
udbyder af kreditrisikoafdækning med høj kreditværdighed
 låntageren har kontraktmæssige begrænsninger i forhold til
sin aktivitet og finansieringsstruktur
 låntageren anvender kun derivater med henblik på
risikoreduktion
 betydelige driftsrisici styres forsvarligt
– de kontraktlige ordninger for aktiverne sikrer långiverne en høj
beskyttelse, herunder følgende:
 långiverne har en juridisk bindende førsteret til de
finansierede aktiver og, hvor det er relevant, til den indkomst,
de genererer
 der er kontraktmæssige begrænsninger på låntagerens
mulighed for at ændre noget ved aktivet, som ville have en
negativ indvirkning på dets værdi
 hvis aktivet er under opførelse, har långiverne en juridisk
bindende førsteret til aktiverne og de underliggende
entreprisekontrakter
– de finansierede aktiver opfylder alle følgende standarder for at
kunne fungere på en fosvarlig og effektiv måde:
 aktivets teknologi og design er gennemprøvet
 alle nødvendige tilladelser og godkendelser for driften af
aktiverne er blevet indhentet
 hvis aktivet er under opførelse, har låntageren indført
passende beskyttelsesforanstaltninger med hensyn til de
specifikationer, det budget eller den afslutningsdato, der er
DA 80 DA
aftalt for aktivet, herunder stærke garantier for gennemførelse
eller inddragelse af en erfaren entreprenør og passende
kontraktlige bestemmelser om konventionalbod
ii) 100 %, hvis eksponeringen ikke anses for at være af høj kvalitet som
omhandlet i nr. i).
b) Hvis formålet med en specialiseret långivning er at sikre kortfristet finansiering
af reserver, lagre eller tilgodehavender i forbindelse med børshandlede råvarer,
herunder råolie, metaller eller afgrøder, og den indkomst, der genereres af disse
reserver, lagre eller tilgodehavender, er provenuet fra salget af råvaren
("råvarefinansieringseksponeringer"), anvender institutterne en risikovægt på
100 %.
c) Hvis formålet med en specialiseret långivning er at finansiere et projekt til
udvikling eller erhvervelse af store, komplekse og dyre anlæg, herunder
kraftværker, kemiske forarbejdningsanlæg, miner, transportinfrastrukturer eller
miljø og telekommunikationsinfrastruktur, og den indkomst, der skal genereres
af projektet, er de penge, der genereres af kontrakterne for anlæggets output fra
en eller flere parter, som ikke er under det organiserende instituts
ledelseskontrol ("projektfinansieringseksponeringer"), anvender institutterne
følgende risikovægte:
i) 130 %, hvis det projekt, som eksponeringen vedrører, endnu ikke er i
driftsfasen
ii) forudsat at justeringen af kapitalgrundlagskravene vedrørende
kreditrisiko, jf. artikel 501a, ikke finder anvendelse, 80 %, hvis det
projekt, som eksponeringen vedrører, er i driftsfasen, og eksponeringen
opfylder alle følgende kriterier:
– der er kontraktmæssige begrænsninger på låntagerens muligheder
for at udføre aktiviteter, der kan skade långiverne, herunder
begrænsninger, som indebærer, at der ikke kan optages ny gæld
uden de eksisterende långiveres tilladelse
– låntageren har tilstrækkelige reserver, der er fuldt finansieret med
likvide midler eller andre finansielle ordninger med garantistillere
med høj kreditvurdering, til at dække kravene til nødfinansiering og
arbejdskapital i levetiden for det finansierede projekt
– låntageren genererer pengestrømme, der er forudsigelige og dækker
alle fremtidige afdrag på lån
– kilden til tilbagebetaling af forpligtelsen afhænger af én
hovedmodpart, og denne hovedmodpart er en af følgende:
 en centralbank, en centralregering, en regional myndighed
eller en lokal myndighed, forudsat at de er tildelt en
risikovægt på 0 % i henhold til artikel 114 og 115 eller er
tildelt et ECAI-kreditkvalitetstrin på mindst 3
 en offentlig enhed, forudsat at den er tildelt en risikovægt på
20 % eller derunder i henhold til artikel 116 eller er tildelt et
ECAI-kreditkvalitetstrin på mindst 3
DA 81 DA
 en virksomhedsenhed, som er tildelt et ECAI-
kreditkvalitetstrin på mindst 3
– de kontraktlige bestemmelser, der regulerer eksponeringen mod
låntageren, sikrer en høj grad af beskyttelse af det långivende
institut i tilfælde af låntagerens misligholdelse
– de kontraktlige bestemmelser beskytter effektivt det långivende
institut mod tab som følge af, at projektet bringes til ophør
– alle aktiver og kontrakter, der er nødvendige for at drive projektet,
er pantsat til det långivende institut i det omfang, det er tilladt i
henhold til gældende ret
– det långivende institut har sikkerhed i egenkapital, så det kan
overtage kontrollen med den låntagende enhed i tilfælde af
misligholdelse
iii) 100 %, hvis det projekt, som eksponeringen vedrører, er operationelt, og
eksponeringen ikke opfylder betingelserne i nr. ii) i dette afsnit.
d) Med henblik på litra c), nr. ii), tredje led, anses de genererede pengestrømme
ikke for forudsigelige, medmindre en betydelig del af indtægterne opfylder en
eller flere af følgende betingelser:
i) indtægterne er baseret på tilgængelighed
ii) indtægterne er underlagt afkastregulering
iii) indtægterne er underlagt en take-or-pay-kontrakt.
e) Med henblik på litra c) forstås ved driftsfasen den fase, hvor den enhed, der
specifikt blev oprettet til at finansiere projektet, opfylder begge følgende
betingelser:
i) enheden har en positiv nettopengestrøm, der er tilstrækkelig til at dække
eventuelle resterende kontraktlige forpligtelser
ii) enheden har en faldende langfristet gæld.
4. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere, under hvilke betingelser kriterierne i stk. 3, litra a), nr. i), og litra c), nr.
ii), er opfyldt.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 1 år efter
denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010."
(42) Artikel 123 affattes således:
"Artikel 123
Detaileksponeringer
1. Eksponeringer, der opfylder alle følgende kriterier, betragtes som
detaileksponeringer:
a) Eksponeringen er en af følgende:
DA 82 DA
i) en eksponering mod en eller flere fysiske personer
ii) en eksponering mod en SMV som omhandlet i artikel 5, nr. 8), hvor det
samlede beløb, som en låntager eller en gruppe af indbyrdes forbundne
kunder skylder instituttet, dets moderselskaber og datterselskaber,
herunder misligholdte eksponeringer, men med undtagelse af
eksponeringer sikret ved beboelsesejendom op til ejendomsværdien, ikke
overstiger 1 mio. EUR, så vidt det er instituttet bekendt, og instituttet
tager rimelige skridt til at få bekræftet situationen.
b) Eksponeringen repræsenterer en af mange eksponeringer med ensartede
karakteristika, således at risiciene i tilknytning til en sådan eksponering er
væsentlig reduceret.
c) Det pågældende institut behandler eksponeringen i sin risikostyringsramme og
forvalter eksponeringen internt som en detaileksponering på en måde, som er
konsistent over tid, og som svarer til instituttets behandling af andre
detaileksponeringer.
Den aktuelle værdi af minimumsbetalinger på detailleasingmarkedet kan godkendes
til detaileksponeringsklassen.
EBA udsteder i overensstemmelse med artikel 16 i forordning (EU) nr. 1093/2010
retningslinjer med henblik på at præcisere forholdsmæssigt afpassede
diversificeringsmetoder, hvorefter en eksponering skal betragtes som en af et
betydeligt antal lignende eksponeringer, jf. litra b), senest den [Publikationskontoret:
Her indsættes datoen = 1 år efter denne forordnings ikrafttræden].
2. Følgende eksponeringer betragtes ikke som detaileksponeringer:
a) ikkegældsbaserede eksponeringer, der udgør en efterstillet restfordring på
udstederens aktiver eller indkomst
b) gældsbaserede eksponeringer og andre værdipapirer, partnerskaber, derivater
eller andre instrumenter, hvis økonomiske substans svarer til de eksponeringer,
der er anført i litra a)
c) alle andre eksponeringer i form af værdipapirer.
3. Detaileksponeringer som omhandlet i stk. 1 tildeles en risikovægt på 75 % med
undtagelse af transaktionseksponeringer, som tildeles en risikovægt på 45 %.
4. Uanset stk. 3 tildeles eksponeringer som følge af lån, der ydes af et institut til
pensionister eller arbejdstagere med en tidsubegrænset kontrakt mod ubetinget
overførsel af en del af låntagerens pension eller løn til det pågældende institut, en
risikovægt på 35 %, forudsat at alle følgende betingelser er opfyldt:
a) for at tilbagebetale lånet giver låntageren pensionskassen eller arbejdsgiveren
ubetinget beføjelse til at foretage direkte betalinger til instituttet ved at trække
de månedlige afdrag på lånet fra låntagers månedlige pension eller løn
b) låntagerens risici for død, uarbejdsdygtighed, arbejdsløshed eller reduktion af
den månedlige nettopension eller nettoløn er tilstrækkeligt dækket via en
forsikringspolice til fordel for instituttet
c) de månedlige betalinger, som låntageren skal foretage på alle lån, der opfylder
betingelserne i litra a) og b), overstiger ikke tilsammen 20 % af låntagerens
månedlige nettopension eller nettoløn
DA 83 DA
d) lånets maksimale oprindelige løbetid er lig med eller mindre end ti år."
(43) Følgende indsættes som artikel 123a:
"Artikel 123a
Eksponeringer med valutamismatch
1. For eksponeringer mod fysiske personer, der henføres til en af de
eksponeringsklasser, der er fastsat i artikel 112, litra h) eller i), multipliceres den
risikovægt, der tildeles i henhold til kapitel 2, med en faktor på 1,5, hvorved den
resulterende risikovægt ikke må være højere end 150 %, hvis følgende betingelser er
opfyldt:
a) eksponeringen skyldes et lån, der er denomineret i en anden valuta end
valutaen for låntagerens indtægtskilde
b) låntageren har ikke en afdækning for sin betalingsrisiko som følge af
valutamismatch, hverken gennem et finansielt instrument eller indkomst i
udenlandsk valuta, der er den samme som eksponeringens valuta, eller det
samlede beløb af sådanne afdækninger, som låntageren har til rådighed, dækker
mindre end 90 % af en rate for denne eksponering.
Hvis et institut ikke er i stand til at udskille disse eksponeringer med valutamismatch,
finder risikovægten på 1,5 anvendelse på alle ikkeafdækkede eksponeringer, hvis
eksponeringernes valuta er forskellig fra den nationale valuta i det land, hvor
låntageren har hjemsted.
2. Med henblik på denne artikel forstås ved indtægtskilde enhver kilde, der genererer
pengestrømme til låntageren, herunder fra pengeoverførsler, lejeindtægter eller løn,
med undtagelse af provenu fra salg af aktiver eller anvendelse af lignende
regresforanstaltninger fra instituttets side."
(44) Artikel 124 affattes således:
"Artikel 124
Eksponeringer sikret ved pant i fast ejendom
1. En ikke-ADC-eksponering, der ikke opfylder alle betingelserne i stk. 3, behandles
på følgende måde:
a) En ikke-IPRE-eksponering behandles som en eksponering, der ikke er sikret
ved den pågældende faste ejendom.
b) En IPRE-eksponering risikovægtes med 150 %.
2. En ikke-ADC-eksponering sikret ved fast ejendom, hvor alle betingelserne i stk. 3
er opfyldt, behandles på følgende måde:
a) Hvis eksponeringen er sikret ved pant i beboelsesejendom, betragtes
eksponeringen ikke som en IPRE-eksponering og behandles i
overensstemmelse med artikel 125, stk. 1, hvis eksponeringen opfylder en af
følgende betingelser:
i) Den faste ejendom, der sikrer eksponeringen, er låntagerens primære
bopæl, enten hvis den faste ejendom som helhed udgør en enkelt
boligenhed, eller hvis den faste ejendom, der sikrer eksponeringen, er en
boligenhed, der er en separat del af en fast ejendom.
ii) Eksponeringen er mod en person og er sikret ved en indkomstgenerende
boligenhed, enten hvis den faste ejendom som helhed udgør en enkelt
DA 84 DA
boligenhed, eller hvis boligenheden er en separat del af den faste
ejendom, og instituttets samlede eksponeringer mod denne person ikke er
sikret ved mere end fire faste ejendomme, herunder dem, der ikke er
beboelsesejendomme, eller som ikke opfylder nogen af kriterierne i dette
litra, eller separate boligenheder inden for fast ejendom
iii) Den eksponering, der er sikret ved beboelsesejendom, er mod foreninger
eller kooperativer af enkeltpersoner, der er reguleret ved lov, og som
udelukkende eksisterer for at give deres medlemmer ret til at benytte en
primær bolig i den ejendom, der sikrer lånene.
iv) Den eksponering, der er sikret ved beboelsesejendom, er mod offentlige
boligselskaber eller almennyttige foreninger, der er reguleret ved lov og
eksisterer for at tjene sociale formål og for at tilbyde lejere boliger til
langtidsleje.
b) Hvis eksponeringen er sikret ved beboelsesejendom, og eksponeringen ikke
opfylder nogen af betingelserne i litra a), nr. i) -iv), behandles eksponeringen i
overensstemmelse med artikel 125, stk. 2.
c) Hvis eksponeringen er sikret ved erhvervsejendom, behandles eksponeringen
på følgende måde:
i) en ikke-IPRE-eksponering behandles i overensstemmelse med artikel
126, stk. 1
ii) en IPRE-eksponering behandles i overensstemmelse med artikel 126, stk.
2.
3. For at være anerkendt med hensyn til den behandling, der er fastsat i stk. 2, skal en
eksponering, der er sikret ved fast ejendom, opfylde samtlige følgende betingelser:
a) Den faste ejendom, der sikrer eksponeringen, opfylder en af følgende
betingelser:
i) Den faste ejendom er fuldt ud færdigopført.
ii) Den faste ejendom er skov eller landbrugsjord.
iii) Den faste ejendom er en beboelsesejendom under opførelse eller jord,
hvorpå en beboelsesejendom planlægges opført, hvor planen er godkendt
af alle berørte myndigheder, og hvor en af følgende betingelser er
opfyldt:
– Ejendommen har højst fire boligenheder og vil være låntagerens
primære bopæl, og långivningen til enkeltpersonen finansierer ikke
indirekte ADC-eksponeringer.
– En centralregering eller en regional eller lokal myndighed eller en
offentlig enhed, mod hvilke eksponeringer behandles i
overensstemmelse med henholdsvis artikel 115, stk. 2, og artikel
116, stk. 4, har retlige beføjelser til og muligheder for at sikre, at
den ejendom, der er under opførelse, vil blive færdiggjort inden for
en rimelig tidsfrist, og skal gøre eller har forpligtet sig til på retlig
bindende vis at gøre dette, hvis opførelsen ellers ikke ville være
afsluttet inden for en rimelig tidsfrist.
DA 85 DA
b) Eksponeringen er sikret ved en første panterettighed, som instituttet har i den
faste ejendom, eller instituttet har en første panterettighed og alle sekventielt
lavere rangordnede panterettigheder for så vidt angår den pågældende ejendom.
c) Ejendommens værdi er ikke i væsentlig grad afhængig af låntagerens
kreditværdighed.
d) Alle de oplysninger, der kræves ved eksponeringens indgåelse og med henblik
på overvågning, er behørigt dokumenteret, herunder oplysninger om
låntagerens tilbagebetalingsevne og om værdiansættelsen af ejendommen.
e) Kravene i artikel 208 er opfyldt, og værdiansættelsesreglerne i artikel 229, stk.
1, er overholdt.
Med henblik på litra c) kan institutterne udelukke situationer, hvor rent
makroøkonomiske faktorer påvirker både ejendommens værdi og låntagerens
betalingsevne.
4. Uanset stk. 3, litra b), gælder det, at i jurisdiktioner, hvor efterstillede
panterettigheder giver indehaveren en fordring, der kan håndhæves juridisk og udgør
en effektiv kreditrisikoreduktion, kan efterstillede panterettigheder, som indehaves af
et andet institut end det, der er indehaver af de foranstillede panterettigheder, også
indregnes, herunder når instituttet ikke er indehaver af den foranstillede
panterettighed eller ikke har en panterettighed, der i rangorden ligger mellem en
mere foranstillet panterettighed og en mere efterstillet panterettighed, som begge
indehaves af instituttet.
Med henblik på første afsnit sikrer reglerne for panterettigheder følgende:
a) Hvert institut, der er indehaver af en panterettighed i en ejendom, kan indlede
salget af ejendommen uafhængigt af andre enheder, der har en panterettighed i
ejendommen.
b) Hvis salget af ejendommen ikke finder sted ved offentlig auktion, tager
enheder, der er indehaver af en foranstillet panterettighed, rimelige skridt til at
opnå en rimelig markedsværdi eller den bedste pris, der kan opnås under de
givne omstændigheder, når de udøver en beføjelse til salg på egen hånd.
5. Med henblik på artikel 125, stk. 2, og artikel 126, stk. 2, beregnes eksponering i
forhold til værdi ("ETV") ved at dividere bruttoeksponeringsbeløbet med
ejendomsværdien på følgende betingelser:
a) Bruttoeksponeringsbeløbet beregnes som det udestående beløb af
gældsforpligtelsen i forbindelse med den eksponering, der er sikret ved den
faste ejendom, og eventuelle ikketrukne, men forpligtede beløb, som, når de er
trukket, vil øge eksponeringsværdien af den eksponering, der er sikret ved den
faste ejendom.
b) Bruttoeksponeringsbeløbet beregnes uden hensyntagen til
kreditrisikojusteringer og andre reduktioner af kapitalgrundlaget i forbindelse
med eksponeringen eller enhver form for finansieret eller ufinansieret
kreditrisikoafdækning, bortset fra pantsatte indskudskonti i det långivende
institut, som opfylder alle krav til balanceført netting, enten i henhold til
rammeaftaler om netting i overensstemmelse med artikel 196 og 206 eller i
henhold til andre balanceførte nettingaftaler i overensstemmelse med artikel
195 og 205, og som er blevet betingelsesløst og uigenkaldeligt pantsat alene
DA 86 DA
med henblik på at opfylde den gældsforpligtelse, der er knyttet til den
eksponering, der er sikret ved den faste ejendom.
c) For eksponeringer, der skal behandles i overensstemmelse med artikel 125,
stk. 2, eller artikel 126, stk. 2, hvor en anden part end instituttet er indehaver af
en foranstillet panterettighed, og en efterstillet panterettighed, som indehaves
af instituttet, indregnes i henhold til stk. 4, beregnes bruttoeksponeringsbeløbet
som summen af bruttoeksponeringsbeløbet for instituttets panterettighed og
bruttoeksponeringsbeløbet for alle andre panterettigheder med samme prioritet
som eller højere prioritet end instituttets panterettighed. Hvis der ikke er
tilstrækkelige oplysninger til at fastslå de andre panterettigheders rangorden,
bør instituttet behandle disse panterettigheder som sidestillede med den
efterstillede panterettighed, der indehaves af instituttet. Instituttet fastsætter
først risikovægten i overensstemmelse med artikel 125, stk. 2, eller artikel 126,
stk. 2 ("basisrisikovægt"), alt efter hvad der er relevant. Det justerer derefter
denne risikovægt med en multiplikator på 1,25 med henblik på beregning af de
risikovægtede beløb for efterstillede panterettigheder. Hvis basisrisikovægten
svarer til den laveste ETV-undergruppe, anvendes multiplikatoren ikke. Den
risikovægt, der fremkommer ved at multiplicere basisrisikovægten med 1,25,
begrænses til den risikovægt, der ville blive anvendt på eksponeringen, hvis
kravene i stk. 3 ikke var opfyldt.
Med henblik på litra a) gælder det, at hvis et institut har mere end én eksponering
sikret ved den samme faste ejendom, og disse eksponeringer er sikret ved
panterettigheder i denne faste ejendom, som er sekventielle med hensyn til
rangorden, uden at panterettigheder, som indehaves af en tredjepart, er rangordnet
derimellem, behandles eksponeringerne som en enkelt kombineret eksponering, og
bruttoeksponeringsbeløbene for de enkelte eksponeringer summeres med henblik på
at beregne bruttoeksponeringsbeløbet for den enkelte kombinerede eksponering.
6. Medlemsstaterne udpeger en myndighed, som skal være ansvarlig for anvendelsen
af stk. 7. Denne myndighed er den kompetente myndighed eller den udpegede
myndighed.
Hvis den myndighed, der er udpeget af en medlemsstat med henblik på anvendelse af
denne artikel, er den kompetente myndighed, sørger den for, at de relevante nationale
organer og myndigheder, der har et makroprudentielt mandat, underrettes behørigt
om, at den kompetente myndighed har til hensigt at gøre brug af denne artikel, og
inddrages på passende vis i vurderingen af bekymringer om den finansielle stabilitet i
dens medlemsstat, jf. stk. 6.
Hvis den myndighed, der er udpeget af en medlemsstat med henblik på anvendelse af
denne artikel, ikke er den kompetente myndighed, vedtager medlemsstaten de
nødvendige bestemmelser for at sikre passende koordinering og udveksling af
oplysninger mellem den kompetente myndighed og den udpegede myndighed med
henblik på korrekt anvendelse af denne artikel. Myndighederne skal navnlig
pålægges at arbejde tæt sammen og udveksle alle de oplysninger, der kan være
nødvendige for en fyldestgørende udførelse af de opgaver, der er pålagt den
udpegede myndighed i henhold til denne artikel. Dette samarbejde skal sigte mod at
undgå enhver form for overlappende eller inkonsistente handlinger mellem den
kompetente myndighed og den udpegede myndighed samt at sikre, at samspillet med
andre foranstaltninger, navnlig foranstaltninger, som er truffet i henhold til artikel
DA 87 DA
458 i denne forordning og artikel 133 i direktiv 2013/36/EU, tages behørigt i
betragtning.
7. På grundlag af de data, der er indsamlet i henhold til artikel 430a, om andre
relevante indikatorer, vurderer den myndighed, der er udpeget i overensstemmelse
med denne artikels stk. 6, regelmæssigt og mindst en gang om året, om de vægte, der
er fastsat i artikel 125 og artikel 126 for eksponeringer sikret ved fast ejendom
beliggende på deres område, er passende ud fra:
a) tabserfaringer for eksponeringer sikret ved fast ejendom
b) fremadrettet markedsudvikling for fast ejendom.
Hvis den myndighed, der er udpeget i overensstemmelse med første afsnit, på
grundlag af den vurdering, der er omhandlet i denne artikels stk. 6, konkluderer, at de
risikovægte, der er omhandlet i artikel 125 eller artikel 126, ikke i tilstrækkelig grad
afspejler den reelle risiko, der er forbundet med et eller flere ejendomssegmenter af
eksponeringer, som er sikret ved pant i beboelsesejendom eller i erhvervsejendom
beliggende i en eller flere dele af den relevante myndigheds medlemsstats område,
og hvis den mener, at utilstrækkeligheden af risikovægtene kan indvirke negativt på
den nuværende eller fremtidige finansielle stabilitet i dens medlemsstat, kan den øge
risikovægtene for disse eksponeringer inden for de intervaller, der er fastsat i
nærværende stykkes fjerde afsnit, eller indføre strengere kriterier end dem, der er
fastsat i denne artikels stk. 3.
Den myndighed, der er udpeget i overensstemmelse med denne artikels stk. 6,
underretter EBA og ESRB om eventuelle tilpasninger af de risikovægte og kriterier,
der anvendes i henhold til dette stykke. Inden for en måned fra modtagelsen af denne
underretning afgiver EBA og ESRB udtalelse til den pågældende medlemsstat. EBA
og ESRB offentliggør risikovægtene og kriterierne for de eksponeringer, der er
omhandlet i artikel 125 og 126 og artikel 199, stk. 1, litra a), som gennemført af den
relevante myndighed.
Med henblik på dette stykkes andet afsnit kan den myndighed, der er udpeget i
henhold til stk. 6, forhøje de risikovægte, der er fastsat i artikel 125, stk. 1, litra a),
eller artikel 126, stk. 1, litra a). Myndigheden må ikke forhøje disse til mere end
150 %.
8. Hvis den myndighed, der er udpeget i henhold til stk. 6, fastsætter højere
risikovægte eller strengere kriterier i henhold til stk. 2, andet afsnit, har institutterne
har en overgangsperiode på seks måneder til at anvende dem.
9. EBA udarbejder i tæt samarbejde med ESRB udkast til reguleringsmæssige
tekniske standarder med henblik på at præcisere, hvilke type faktorer der skal tages
hensyn til ved vurdering af hensigtsmæssigheden af de risikovægte, der er omhandlet
i stk. 7.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2024.
Kommissionen tillægges beføjelse til at supplere denne forordning ved at vedtage de
i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010.
10. ESRB kan i form af henstillinger i overensstemmelse med artikel 16 i forordning
(EU) nr. 1092/2010 og i tæt samarbejde med EBA give de myndigheder, der er
DA 88 DA
udpeget i overensstemmelse med denne artikels stk. 6, vejledning om begge
følgende:
a) faktorer, der kan "indvirke negativt på den nuværende eller fremtidige
finansielle stabilitet", jf. stk. 7, andet afsnit
b) vejledende benchmarks, som den myndighed, der er udpeget i henhold til stk.
6, skal tage hensyn til ved fastsættelsen af højere risikovægte.
11. Institutter, der er etableret i en medlemsstat, anvender de risikovægte og kriterier,
som en anden medlemsstats myndigheder har fastsat i overensstemmelse med stk. 7,
på alle deres hertil svarende eksponeringer sikret ved pant i beboelsesejendom eller
erhvervsejendom og beliggende i en eller flere dele af denne medlemsstat."
(45) Artikel 125 affattes således:
"Artikel 125
Eksponeringer sikret ved pant i fast ejendom til beboelse
1. Eksponeringer, der er sikret ved en beboelsesejendom, og som opfylder en af
betingelserne i artikel 124, stk. 2, litra a), nr. i) -iv), behandles på følgende måde:
a) Den del af eksponeringen på op til 55 % af ejendomsværdien, der resterer efter
fradrag af foranstillede eller sidestillede panterettigheder, der ikke indehaves af
instituttet, tildeles en risikovægt på 20 %.
Med henblik på dette litra gælder det, at hvis den kompetente eller udpegede
myndighed, alt efter hvad der er relevant, i overensstemmelse med artikel 124,
stk. 7, har fastsat en højere risikovægt eller en lavere procentdel af
ejendomsværdien end dem, der er omhandlet i dette litra, anvender institutterne
den risikovægt og procentdel, der er fastsat i overensstemmelse med
artikel 124, stk. 7.
b) Den eventuelle resterende del af eksponeringen behandles som en eksponering,
der ikke er sikret ved beboelsesejendom.
2. En eksponering, der er sikret ved en beboelsesejendom, som ikke opfylder nogen
af betingelserne i artikel 124, stk. 2, litra a), nr. i) -iv), tildeles den højeste af den
risikovægt, der er fastsat i overensstemmelse med følgende tabel 6aaa, og den
risikovægt, der er fastsat i henhold til artikel 124, stk. 7:
Tabel 6aaa
ETV ETV ≤
50 %
50 % <
ETV
≤ 60 %
60 % <
ETV
≤ 80 %
80 % <
ETV
≤ 90 %
90 % <
ETV
≤ 100 %
ETV >
100 %
Risiko
vægt
30 % 35 % 45 % 60 % 75 % 105 %
Uanset dette stykkes første afsnit kan institutterne anvende den behandling, der er
omhandlet i stk. 1, på eksponeringer sikret ved beboelsesejendom, som er beliggende
på en medlemsstats område, hvis tabsprocenterne for sådanne eksponeringer
offentliggjort af de kompetente myndigheder i den pågældende medlemsstat i
overensstemmelse med artikel 430a, stk. 3, ikke overstiger en af følgende grænser for
tab, der er aggregeret for alle institutter med sådanne eksponeringer i det foregående
år:
DA 89 DA
a) Tabene på den del af eksponeringerne, der er på op til 55 % af
ejendomsværdien, overstiger ikke 0,3 % af det samlede beløb, for alle disse
eksponeringer, for udestående gældsforpligtelser, i det pågældende år.
Med henblik på dette litra gælder det, at hvis den kompetente eller udpegede
myndighed, alt efter hvad der er relevant, i overensstemmelse med artikel 124,
stk. 7, har fastsat en lavere procentdel af ejendomsværdien end den, der er
omhandlet i dette litra, anvender institutterne den procentdel, der er fastsat i
overensstemmelse med artikel 124, stk. 7.
b) Tabene på den del af eksponeringerne, der er på op til 100 % af
ejendomsværdien, overstiger ikke 0,5 % af det samlede beløb, for alle disse
eksponeringer, for udestående gældsforpligtelser i det pågældende år."
(46) Artikel 126 affattes således:
"Artikel 126
Eksponeringer sikret ved pant i erhvervsejendom
1. En eksponering som omhandlet i artikel 124, stk. 2, litra c), nr. i), behandles på
følgende måde:
a) Den del af eksponeringen, der er på op til 55 % af ejendomsværdien minus
eventuelle foranstillede eller sidestillede panterettigheder, der ikke besiddes af
instituttet, tildeles en risikovægt på 60 %, medmindre denne del af
eksponeringen tildeles en højere risikovægt eller en lavere procentdel af
ejendomsværdien, hvis dette besluttes i overensstemmelse med artikel 124,
stk. 7.
b) Den eventuelle resterende del af eksponeringen behandles som en eksponering,
der ikke er sikret ved denne faste ejendom.
2. En eksponering som omhandlet i artikel 124, stk. 2, litra c), nr. ii), tildeles den
højeste af den risikovægt, der er fastsat i overensstemmelse med tabel 6c, og den
risikovægt, der er fastsat i henhold til artikel 124, stk. 7:
Tabel 6c
ETV ≤ 60 % 60 % < ETV ≤ 80 % ETV > 80 %
Risikovægt 70 % 90 % 110 %
Uanset dette stykkes første afsnit kan institutterne anvende den behandling, der er
omhandlet i stk. 1, på en eksponering sikret ved en erhvervsejendom, som er
beliggende i en medlemsstats område, hvis tabsprocenterne for sådanne
eksponeringer offentliggjort af de kompetente myndigheder i den pågældende
medlemsstat i overensstemmelse med artikel 430a, stk. 3, ikke overstiger en af
følgende grænser for tab, der er aggregeret for alle sådanne eksponeringer i det
foregående år:
a) Tabene på den del af eksponeringerne, der er på op til 55 % af
ejendomsværdien, overstiger ikke 0,3 % af det samlede beløb for alle
udestående gældsforpligtelser, i det pågældende år.
DA 90 DA
Med henblik på dette litra gælder det, at hvis den kompetente eller udpegede
myndighed, alt efter hvad der er relevant, i overensstemmelse med artikel 124,
stk. 7, har fastsat en lavere procentdel af ejendomsværdien end den, der er
omhandlet i dette litra, anvender institutterne den procentdel, der er fastsat i
overensstemmelse med artikel 124, stk. 7.
b) Tabene på den del af eksponeringerne, der er på op til 100 % af
ejendomsværdien, overstiger ikke 0,5 % af det samlede beløb for alle
udestående gældsforpligtelser, i det pågældende år.
(47) Følgende indsættes som artikel 126a:
"Artikel 126a
Eksponering vedrørende erhvervelse af, byggemodning af og opførelse på jord
1. En ADC-eksponering tildeles en risikovægt på 150 %.
2. ADC-eksponeringer mod beboelsesejendom kan dog risikovægtes med 100 %,
forudsat at instituttet, hvor det er relevant, anvender forsvarlige standarder for
indgåelse og overvågning, der opfylder kravene i artikel 74 og 79 i direktiv
2013/36/EU, og hvor mindst en af følgende betingelser er opfyldt:
a) retligt bindende kontrakter om forhåndssalg eller -leje, for hvilke køberen eller
lejeren har indbetalt et betydeligt kontantindskud, som fortabes, hvis
kontrakten opsiges, udgør en betydelig del af de samlede kontrakter
b) låntageren har en betydelig risikoeksponeret egenkapital, der er repræsenteret
ved en passende egenkapital indskudt af låntager i forhold til
beboelsesejendommens skønsmæssige værdi efter færdiggørelsen.
3. EBA udsteder senest den [Publikationskontoret: Her indsættes datoen = 1 år efter
denne forordnings ikrafttræden] retningslinjer, der præciserer udtrykkene "betydelige
kontantindskud", "passende egenkapital indskudt af låntager", "betydelig del af de
samlede kontrakter" og "betydelig risikoeksponeret egenkapital".
Disse retningslinjer vedtages i overensstemmelse med artikel 16 i forordning (EU)
nr. 1093/2010.
(48) I artikel 127 foretages følgende ændringer:
a) I stk. 1 tilføjes følgende afsnit:
"Med henblik på beregning af summen af justeringerne af den specifikke
kreditrisiko, der er omhandlet i dette stykke, medtager institutterne enhver
positiv difference mellem på den ene side det beløb, som låntageren skylder på
eksponeringen, og på den anden side summen af:
i) reduktionen af det yderligere kapitalgrundlag, hvis eksponeringen blev
afskrevet fuldt ud og
ii) allerede eksisterende reduktioner af kapitalgrundlaget i forbindelse med
denne eksponering."
b) Stk. 2 affattes således:
"2. Med henblik på at fastlægge den sikrede del af en misligholdt eksponering,
anvendes sikkerhedsstillelse og garanti til reduktion af kreditrisiko i
overensstemmelse med kapitel 4."
c) Stk. 3 affattes således:
DA 91 DA
"3. Den resterende eksponeringsværdi efter justeringerne af den specifikke
kreditrisiko for ikke-IPRE-eksponeringer, som er sikret ved beboelsesejendom
eller erhvervsejendom i overensstemmelse med henholdsvis artikel 125 og 126,
risikovægtes med 100 %, hvis der foreligger misligholdelse i henhold til artikel
178."
d) Stk. 4 udgår.
(49) Artikel 128 affattes således:
"Artikel 128
Eksponeringer mod efterstillet gæld
1. Følgende eksponeringer betragtes som eksponeringer mod efterstillet gæld:
a) gældsbaserede eksponeringer, der er efterstillet en anden kreditors fordringer
b) kapitalgrundlagsinstrumenter, i det omfang disse instrumenter ikke betragtes
som aktieeksponeringer i overensstemmelse med artikel 133, stk. 1 og
c) passivinstrumenter, der opfylder betingelserne i artikel 72b.
2. Eksponeringer mod efterstillet gæld tildeles en risikovægt på 150 %, medmindre
disse eksponeringer mod efterstillet gæld skal fratrækkes i henhold til denne
forordnings anden del."
(50) I artikel 129, stk. 3, indsættes følgende afsnit:
"Uanset første afsnit kan de kompetente myndigheder, der er udpeget i henhold til
artikel 18, stk. 2, i direktiv (EU) 2019/2162, med henblik på vurdering af fast
ejendom tillade, at denne faste ejendom værdiansættes til eller under
markedsværdien, eller i de medlemsstater, der i love eller administrative
bestemmelser har fastsat strenge kriterier for vurderingen af belåningsværdien, den
pågældende ejendoms belåningsværdi uden at anvende de grænser, der er fastsat i
artikel 208, stk. 3, litra b)."
(51) Tabel 7 i artikel 131 affattes således:
"Tabel 7
Kreditkvalitetstrin1 2 3 4 5 6
Risikovægt 20 %20 %20 %50 %50 %150 %
".
(52) Artikel 133 affattes således:
"Artikel 133
Aktieeksponeringer
1. Alle følgende klassificeres som aktieeksponeringer:
a) Enhver eksponering, der opfylder samtlige følgende betingelser:
i) eksponeringen kan ikke indfries i den forstand, at afkastet af investerede
midler kun kan opnås ved salg af investeringen eller salg af rettighederne
til investeringen eller ved udstederens likvidation
ii) eksponeringen indebærer ikke en forpligtelse for udstederen og
DA 92 DA
iii) eksponeringen udgør en restfordring på udstederens aktiver eller
indkomst.
b) Instrumenter, der betragtes som kernekapitalposter, hvis de er udstedt af et
institut.
c) Instrumenter, der indebærer en forpligtelse for udstederen, og som opfylder en
af følgende betingelser:
i) udsteder kan udskyde afviklingen af forpligtelsen på ubestemt tid
ii) forpligtelsen kræver eller tillader, efter udstederens skøn, afvikling ved
udstedelse af et fast antal af udsteders aktier
iii) forpligtelsen kræver eller tillader, efter udstederens skøn, afvikling ved
udstedelse af et variabelt antal af udsteders aktier, og alt andet lige
gælder for enhver ændring i forpligtelsens værdi, at den kan tilskrives,
sammenlignes med, og at den går i samme retning som ændringen i
værdien af et fast antal af udstederens aktier
iv) indehaveren af instrumentet har mulighed for at kræve, at forpligtelsen
afvikles med aktier, medmindre en af følgende betingelser er opfyldt:
– hvis der er tale om et handlet instrument, har instituttet over for den
kompetente myndighed godtgjort, at instrumentet i højere grad
handles på markedet som udstederens gæld end som udstederens
egenkapital
– hvis der er tale om ikke-handlede instrumenter, har instituttet over
for den kompetente myndighed godtgjort, at instrumentet bør
behandles som en gældsposition.
Med henblik på litra c), nr. iii), medtages forpligtelser, der kræver eller tillader
afvikling ved udstedelse af et variabelt antal af udsteders aktier, for hvilke
ændringen i forpligtelsens pengeværdi svarer til ændringen i dagsværdien af et
fast antal aktier multipliceret med en bestemt faktor, hvor både faktoren og det
omhandlede antal aktier er faste.
Med henblik på nr. iv) kan instituttet, hvis en af betingelserne i nævnte litra er
opfyldt, foretage en opdeling af risiciene i reguleringsøjemed med forbehold af
forudgående tilladelse fra den kompetente myndighed.
d) Gældsforpligtelser og andre værdipapirer, partnerskaber, derivater eller andre
instrumenter, der er struktureret på en sådan måde, at den økonomiske substans
svarer til de eksponeringer, der er omhandlet i litra a), b) og c), herunder
passiver, fra hvilke afkastet er knyttet til afkastet af aktier.
e) Aktieeksponeringer, der registreres som et lån, men hidrører fra en gælds-
/aktieswap, der er indgået som led i en velordnet realisering eller
omstrukturering af gælden.
2. Egenkapitalinvesteringer behandles ikke som aktieeksponeringer i følgende
tilfælde:
a) Egenkapitalinvesteringerne er struktureret på en sådan måde, at deres
økonomiske substans svarer til den økonomiske substans i gældsbeholdninger,
som ikke opfylder kriterierne i nogen af punkterne i stk. 1.
b) Egenkapitalinvesteringerne udgør securitiseringseksponeringer.
DA 93 DA
3. Andre aktieeksponeringer end dem, der er omhandlet i stk. 4-7, tildeles en
risikovægt på 250 %, medmindre disse eksponeringer skal fratrækkes eller
risikovægtes i overensstemmelse med anden del.
4. Følgende aktieeksponeringer mod unoterede selskaber tildeles en risikovægt på
400 %, medmindre disse eksponeringer skal fratrækkes eller risikovægtes i
overensstemmelse med anden del:
a) investeringer med henblik på videresalg på kort sigt
b) investeringer i venturekapitalselskaber eller lignende investeringer, der
erhverves i forventning om betydelige kapitalgevinster på kort sigt.
Uanset første afsnit tildeles langsigtede egenkapitalinvesteringer, herunder
investeringer i aktier tilhørende erhvervskunder, som instituttet har eller har til
hensigt at etablere en langsigtet forretningsforbindelse med, samt
venturekapitalselskaber og gælds-/aktieswap med henblik på
virksomhedsomstrukturering en risikovægt i overensstemmelse med stk. 3 eller 5, alt
efter hvad der er relevant. Med henblik på denne artikel forstås ved en langsigtet
egenkapitalinvestering en egenkapitalinvestering, der besiddes i mindst tre år eller
længere, eller som er foretaget med henblik på besiddelse i mindst tre år som
godkendt af instituttets øverste ledelse.
5. Institutter, der har fået forudgående tilladelse fra de kompetente myndigheder, kan
tildele aktieeksponeringer, der er indgået i henhold til lovgivningsprogrammer til
fremme af bestemte sektorer i økonomien, en risikovægt på 100 %, hvis
programmerne opfylder samtlige følgende betingelser:
(a) lovgivningsprogrammerne tilvejebringer betydelige støttemidler, herunder i
form af garantier fra multilaterale udviklingsbanker, offentlige
udviklingskreditinstitutter som defineret i artikel 429a, stk. 2, eller
internationale organisationer, til investeringen i instituttet
(b) lovgivningsprogrammerne omfatter en form for statslig kontrol
(c) sådanne aktieeksponeringer overstiger tilsammen ikke 10 % af institutternes
kapitalgrundlag.
6. Aktieeksponeringer mod centralbanker tildeles en risikovægt på 100 %.
7. Aktieeksponeringer, der registreres som et lån, men hidrører fra en gælds-
/aktieswap, der er indgået som led i en velordnet realisering eller omstrukturering af
gælden, tildeles ikke en risikovægt, der er lavere end den risikovægt, der ville finde
anvendelse, hvis aktiebeholdningen forblev i gældsporteføljen."
(53) I artikel 134 foretages følgende ændringer:
a) Stk. 3 affattes således:
"3. Indgående likvide midler tildeles en risikovægt på 20 %. Likvide midler,
der ejes og besiddes af instituttet eller er i transit, og tilsvarende kontante
poster tildeles en risikovægt på 0 %."
b) Følgende tilføjes som stk. 8:
"8. Eksponeringsværdien af enhver anden post, for hvilken der ikke er fastsat
nogen risikovægt i henhold til kapitel 2, tildeles en risikovægt på 100 %."
(54) I artikel 135 tilføjes følgende som stk. 3:
DA 94 DA
"3. EBA, EIOPA og ESMA udarbejder senest den [Publikationskontoret: Her
indsættes datoen = 1 år efter denne forordnings ikrafttræden] en rapport om
hindringerne for adgangen til kreditvurderinger foretaget af ECAI', navnlig for
virksomheder, og om mulige foranstaltninger til at afhjælpe disse hindringer under
hensyntagen til forskelle mellem økonomiske sektorer og geografiske områder."
(55) I artikel 138 foretages følgende ændringer:
a) Følgende tilføjes som litra g):
"g) Et institut må ikke anvende en ECAI-kreditvurdering i forbindelse med et
institut, der indeholder antagelser om implicit statsstøtte, medmindre den
pågældende ECAI-kreditvurdering vedrører et institut, der ejes af eller er
oprettet og støttes af centralregeringer, regionale eller lokale myndigheder."
b) Følgende afsnit tilføjes:
"Med henblik på litra g) behandles eksponeringer mod institutter bortset fra
institutter, der ejes af eller er oprettet og støttes af centralregeringer, regionale
eller lokale myndigheder, for hvilke der kun foreligger ECAI-
kreditvurderinger, som indeholder antagelser om implicit statsstøtte, som
eksponeringer mod institutter, der ikke er kreditvurderet i overensstemmelse
med artikel 121.
Ved implicit statslig støtte forstås, at centralregeringen, den regionale eller
lokale myndighed skal træffe foranstaltninger for at forhindre instituttets
kreditorer i at lide tab i tilfælde af instituttets misligholdelse, eller hvis det
kommer i vanskeligheder."
(56) Artikel 139, stk. 2, litra a) og b), affattes således:
"a) kreditvurderingen resulterer i en højere risikovægt, end der ville opnås, når
eksponeringen behandles som ikke-kreditvurderet, og den pågældende eksponering:
i) er ikke en specialiseret långivning
ii) rangerer i alle henseender på samme niveau eller lavere end
emissionsprogrammet eller emissionsfaciliteten eller i givet fald udstederens
privilegerede usikrede eksponeringer
b) kreditvurderingen resulterer i en lavere risikovægt og eksponeringen:
i) er ikke en specialiseret långivning
ii) rangerer i alle henseender på samme niveau eller højere end
emissionsprogrammet eller emissionsfaciliteten eller i givet fald udstederens
privilegerede usikrede eksponeringer."
(57) Artikel 141 affattes således:
"Artikel 141
Poster i national og udenlandsk valuta
1. En kreditvurdering, som vedrører en post, der er denomineret i låntagers nationale
valuta, må ikke anvendes til beregning af en risikovægt for en eksponering mod
samme låntager, når denne eksponering er denomineret i udenlandsk valuta.
2. Uanset stk. 1 gælder det, at hvis en eksponering opstår som følge af et instituts
deltagelse i et lån, som er bevilget eller er blevet garanteret mod konvertibilitets- og
overførselsrisici af en multilateral udviklingsbank opført i artikel 117, stk. 2, der har
DA 95 DA
status af privilegeret kreditor på markedet, kan kreditvurderingen af låntagerens post
i national valuta anvendes til at udlede en risikovægt for en eksponering mod samme
låntager, som er denomineret i en udenlandsk valuta.
Hvis eksponeringen, der er denomineret i en fremmed valuta, er garanteret mod
konvertibilitets- og overførselsrisici, kan kreditvurderingen af låntagerens post i
national valuta med henblik på første afsnit kun anvendes til risikovægtning af den
garanterede del af eksponeringen. Den del af eksponeringen, der ikke er garanteret,
risikovægtes på grundlag af en kreditvurdering af låntageren, som vedrører en post,
der er denomineret i den pågældende udenlandske valuta."
(58) Artikel 142, stk. 1, ændres således:
a) Følgende indsættes som nr. 1a)-1e):
"1a) "eksponeringsklasse": en af de eksponeringsklasser, der er omhandlet i
artikel 147, stk. 2, litra a), litra a1), nr. i) og ii), litra b), litra c), nr. i), ii) og iii),
litra d), nr. i), ii), iii) og iv), litra e), litra e1), litra f) og litra g)
1b) "erhvervseksponeringsklasse": en af de eksponeringsklasser, der er
omhandlet i artikel 147, stk. 2, litra c), nr. i), ii) og iii)
1c) "erhvervseksponering": enhver eksponering, der henføres til de
eksponeringsklasser, der er omhandlet i artikel 147, stk. 2, litra c), nr. i), ii) og
iii)
1d) "detaileksponeringsklasse": en af de eksponeringsklasser, der er omhandlet
i artikel 147, stk. 2, litra d), nr. i), ii), iii) og iv)
1e) "detaileksponeringsklasse": enhver eksponering, der henføres til de
eksponeringsklasser, der er omhandlet i artikel 147, stk. 2, litra d), nr. i), ii), iii)
og iv)".
b) Nr. 2) affattes således:
"2)"eksponeringstype": en gruppe homogent forvaltede eksponeringer inden
for en eksponeringsklasse, som kan være begrænset til en enkelt enhed eller en
enkelt undergruppe af enheder inden for en koncern, såfremt den samme
eksponeringstype forvaltes forskelligt i andre af koncernens enheder".
c) Nr. 4) og 5) affattes således:
"4) "stor reguleret enhed i den finansielle sektor": en enhed i den
finansielle sektor, der opfylder alle følgende betingelser:
a) enhedens samlede aktiver eller dens moderselskabs samlede aktiver
beregnet på individuelt eller konsolideret grundlag har en værdi, der er
højere end eller lig med 70 mia. EUR, når det seneste reviderede
årsregnskab eller konsoliderede årsregnskab anvendes til at opgøre
aktivernes størrelse
b) enheden er underlagt tilsynskrav direkte på individuelt eller konsolideret
grundlag eller indirekte fra konsolideringsreglerne for dens moderselskab
i overensstemmelse med denne forordning, forordning (EU) 2019/2033,
direktiv 2009/138/EF eller et tredjelands retlige tilsynsmæssige krav, der
mindst svarer til disse EU-retsakter
5) "ureguleret enhed i den finansielle sektor": en enhed i den finansielle sektor,
som ikke opfylder betingelsen i nr. 4), litra b)".
DA 96 DA
d) Følgende indsættes som nr. 5a):
"5a) "stort selskab": en virksomhed, der har et konsolideret årligt salg på
over 500 mio. EUR, eller som tilhører en koncern, hvor den konsoliderede
koncerns samlede årlige salg overstiger 500 mio. EUR."
e) Følgende tilføjes som nr. 8)-12):
"8) "PD/LGD-modelleringsjusteringsmetode": modellering af en justering af
LGD eller modellering af en justering af både PD og LGD for den
underliggende eksponering i overensstemmelse med artikel 183, stk. 1a
9) "RW-gulv for udbyder af kreditrisikoafdækning": den risikovægt, der finder
anvendelse på en sammenlignelig direkte eksponering mod udbyderen af
kreditrisikoafdækning
10) "indregnet" ufinansieret kreditrisikoafdækning: for en eksponering, som et
institut anvender IRB-metoden på ved at anvende sine egne estimater af LGD i
henhold til artikel 143, en ufinansieret kreditrisikoafdækning, hvis virkning på
beregningen af risikovægtede eksponeringsbeløb eller værdi af forventede tab
på den underliggende eksponering tages i betragtning ved hjælp af en af
følgende metoder i overensstemmelse med artikel 108, stk. 2a:
a) PD/LGD-modelleringsjusteringsmetoden
b) metoden med substitution af risikoparametre i henhold til A-IRB i
overensstemmelse med artikel 192, nr. 8)
11) "SA-CCF": den procentdel, der finder anvendelse i henhold til kapitel 2,
hvormed en ikkebalanceført posts nominelle værdi multipliceres for at beregne
dens eksponeringsværdi i overensstemmelse med artikel 111, stk. 2
12) "IRB-CCF": egne estimater af CCF."
(59) I artikel 143 foretages følgende ændringer:
a) Stk. 2 affattes således:
"2. Der kræves forudgående tilladelse til at anvende IRB-metoden, herunder
egne estimater af LGD'er og CCF'er, for hver eksponeringsklasse og for hvert
ratingsystem og for hver metode til estimering af de anvendte LGD'er og
CCF'er."
b) Stk. 3, første afsnit, litra a) og b), affattes således:
"a) væsentlige ændringer i anvendelsesområde for et ratingsystem, som
instituttet har fået tilladelse til at anvende
b) væsentlige ændringer i et ratingsystem, som instituttet har fået tilladelse til
at anvende."
c) Stk. 4 og 5 affattes således:
"4. Institutterne underretter de kompetente myndigheder om alle ændringer i
ratingsystemer.
5. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere betingelserne for at vurdere væsentligheden af
anvendelse af et eksisterende ratingsystem på yderligere eksponeringer, der
ikke allerede er omfattet af dette ratingsystem, og ændringer i ratingsystemerne
efter IRB-metoden.
DA 97 DA
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18
måneder efter denne ændringsforordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige
tekniske standarder, der er omhandlet i første afsnit, i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
(60) I artikel 144, stk. 1, første afsnit, foretages følgende ændringer:
a) Litra f) affattes således:
"f) instituttet har valideret hvert ratingsystem i en passende periode forud
for tilladelsen til at anvende dette ratingsystem, har i denne periode vurderet,
om ratingsystemet er egnet til anvendelsesområdet for ratingsystemet, og har
foretaget de nødvendige ændringer af disse ratingsystemer, som følger af denne
vurdering".
b) Litra h) affattes således:
"h) instituttet har fordelt og fortsætter med at fordele hver eksponering i
anvendelsesområdet for et ratingsystem i en ratingklasse eller -pulje i dette
ratingsystem."
c) Stk. 2 affattes således:
"2. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere den vurderingsmetode, som de kompetente
myndigheder skal følge, når de vurderer, om et institut overholder kravene om
at anvende IRB-metoden.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2025.
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige
tekniske standarder, der er omhandlet i første afsnit, i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
(61) I artikel 147 foretages følgende ændringer:
a) Stk. 2 affattes således:
"2. Hver eksponering fordeles i en af følgende eksponeringsklasser:
a) eksponeringer mod centralregeringer og centralbanker
a1) eksponeringer mod regionale og lokale myndigheder og offentlige
enheder ("RGLA-PSE"), som opdeles i følgende eksponeringsklasser:
i) eksponeringer mod regionale og lokale myndigheder ("RGLA'er")
ii) eksponeringer mod offentlige enheder ("PSE'er")
b) eksponeringer mod institutter
c) eksponeringer mod selskaber, som opdeles i følgende
eksponeringsklasser:
i) almindelige erhvervseksponeringer
ii) specialiseret långivning ("SL")
iii) erhvervede erhvervsfordringer
DA 98 DA
d) detaileksponeringer, som opdeles i følgende eksponeringsklasser:
i) kvalificerede revolverende detaileksponeringer ("QRRE'er")
ii) detaileksponeringer sikret ved beboelsesejendom
iii) erhvervede detailfordringer
iv) andre detaileksponeringer
e) aktieeksponeringer
e1) eksponeringer i form af andele eller aktier i en CIU
f) poster, der repræsenterer securitiseringspositioner
g) andre aktiver, der ikke er gældsforpligtelser."
b) Stk. 3, litra a), udgår.
c) Følgende indsættes som stk. 3a:
"3a. Eksponeringer mod regionale og lokale myndigheder eller offentlige
enheder henføres alle til den eksponeringsklasse, der er omhandlet i stk. 2, litra
a1), uanset hvordan sådanne eksponeringer behandles i henhold til artikel 115
eller 116."
d) Stk. 4, litra a) og b), udgår.
e) I stk. 5 foretages følgende ændringer:
i) Litra a), nr. ii), affattes således:
"ii) eksponeringer mod en SMV, jf. artikel 5, nr. 8), forudsat – i det
tilfælde – at det samlede beløb, som låntager eller en gruppe af indbyrdes
forbundne låntagere skylder instituttet og moderselskaber og dets
datterselskaber, herunder misligholdte eksponeringer, men med
undtagelse af eksponeringer sikret ved beboelsesejendom op til
ejendomsværdien, ikke overstiger 1 mio. EUR, så vidt det er instituttet
bekendt, og instituttet har taget rimelige skridt til at kontrollere
eksponeringens størrelse
iii) eksponeringer sikret ved beboelsesejendom, herunder første og
efterfølgende panterettigheder, terminslån, revolverende kreditfaciliteter i
friværdien i fast ejendom og eksponeringer som omhandlet i artikel 108,
stk. 3 og 4, uanset eksponeringens størrelse, forudsat at eksponeringen er
en af følgende:
– en eksponering mod en fysisk person
– en eksponering mod foreninger eller kooperativer af
enkeltpersoner, der er reguleret i henhold til national ret, og som
eksisterer med det eneste formål at give deres medlemmer ret til at
benytte en primær bolig i den ejendom, der sikrer lånet".
ii) Følgende afsnit tilføjes:
"Eksponeringer, der opfylder alle betingelserne i litra a), nr. iii), og litra
b), c) og d), henføres til eksponeringsklassen "detaileksponeringer sikret
ved beboelsesejendom" som omhandlet i stk. 2, litra d), nr. ii).
DA 99 DA
Uanset tredje afsnit kan de kompetente myndigheder udelukke
"detaileksponeringer sikret ved pant i beboelsesejendom" som omhandlet
i stk. 2, litra d), nr. ii), lån til fysiske personer, der har pantsat mere end
fire ejendomme eller boligenheder, fra eksponeringsklassen, og henføre
disse lån til erhvervseksponeringsklassen."
iii) Følgende indsættes som stk. 5a:
"5a. Detaileksponeringer, der tilhører en type eksponeringer, der
opfylder alle følgende betingelser, kan henføres til QRRE-
eksponeringsklassen:
a) eksponeringerne af den pågældende eksponeringstype er rettet mod
enkeltpersoner
b) eksponeringerne af den pågældende eksponeringstype er
revolverende og usikrede, og de kan opsiges af instituttet, såfremt
de ikke udnyttes straks og uden betingelser
c) den maksimale eksponering af den pågældende eksponeringstype
mod en enkelt person er højst 100 000 EUR
d) tabsraterne for den pågældende eksponeringstype har udvist lav
volatilitet sammenlignet med dens gennemsnitlige tabsrater, især
inden for små PD-intervaller
e) behandlingen som en kvalificeret revolverende detaileksponering er
konsistent med de underliggende risikokarakteristika for den
eksponeringstype, som den tilhører.
Uanset litra b) finder kravet om, at eksponeringen skal være usikret, ikke
anvendelse, når det drejer sig om sikrede kreditfaciliteter i tilknytning til
en lønkonto. I så fald medregnes de beløb, der stammer fra sikkerheden,
ikke i LGD-estimatet.
Institutter skal inden for QRRE-eksponeringsklassen identificere
transaktionseksponeringer ("QRRE-transaktionseksponeringer") som
defineret i artikel 4, stk. 1, nr. 152), og eksponeringer, der ikke er
transaktionseksponeringer, ("QRRE-revolverende eksponeringer").
Navnlig skal QRRE'er med en tilbagebetalingshistorik på under 12
måneder identificeres som QRRE-revolverende eksponeringer."
f) Stk. 6 og 7 affattes således:
"6. Medmindre de henføres til eksponeringsklassen i stk. 2, litra e1),
henføres de eksponeringer, der er omhandlet i artikel 133, stk. 1, til
aktieeksponeringsklassen i stk. 2, litra e).
7. Enhver kreditforpligtelse, der ikke er henført til eksponeringsklasserne i stk.
2, litra a), a1), b), d), e) og f), henføres til en de eksponeringsklasser, der er
omhandlet i stk. 2, litra c)."
g) I stk. 8 tilføjes følgende afsnit:
"Disse eksponeringer henføres til den eksponeringsklasse, der er omhandlet i
stk. 2, litra c), nr. ii), og fordeles i følgende kategorier: "projektfinansiering"
(PF), "objektfinansiering" (OF), "råvarefinansiering" (CF) og
"indkomstgenerende fast ejendom" (IPRE).
DA 100 DA
EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik
på at præcisere følgende:
a) kategoriseringen af PF, OF og SF i overensstemmelse med definitionerne
i kapitel 2
b) fastlæggelsen af IPRE-kategorien, navnlig med hensyn til hvilke ADC-
eksponeringer og eksponeringer sikret ved fast ejendom der kan eller skal
kategoriseres som IPRE, hvis disse eksponeringer ikke i væsentlig grad
afhænger af pengestrømme genereret af ejendommen med henblik på
deres tilbagebetaling.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2025.
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige
tekniske standarder, der er omhandlet i første afsnit, i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
h) Følgende tilføjes som stk. 11:
"11. EBA udarbejder udkast til reguleringsmæssige tekniske standarder, der
yderligere præciserer de klasser, der er omhandlet i stk. 2, hvis det er
nødvendigt, og betingelserne og kriterierne for at henføre eksponeringer til
disse klasser.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2026.
Kommissionen tillægges beføjelser til at supplere denne forordning ved at
vedtage de i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(62) I artikel 148 foretages følgende ændringer:
a) Stk. 1 og 2 affattes således:
"1. Et institut, der har tilladelse til at anvende IRB-metoden i overensstemmelse med
artikel 107, stk. 1, skal sammen med et moderselskab og dets datterselskaber
implementere IRB-metoden for mindst en af de eksponeringsklasser, der er
omhandlet i artikel 147, stk. 2, litra a), litra a1), nr. i) og ii), litra b), litra c), nr. i), ii)
og iii), litra d), nr. i), ii), iii) og iv), litra e1), litra f) og litra g) Når et institut
implementerer IRB-metoden for en af disse eksponeringsklasser, skal dette gøres for
alle eksponeringer i den pågældende eksponeringsklasse, medmindre det har fået
tilladelse fra de kompetente myndigheder til permanent at anvende standardmetoden
i overensstemmelse med artikel 150.
Med forbehold af de kompetente myndigheders forudgående tilladelse kan IRB-
metoden implementeres trinvist for de forskellige eksponeringstyper inden for
samme eksponeringsklasse og inden for samme forretningsenhed og for de
forskellige forretningsenheder i samme koncern eller med henblik på anvendelse af
egne estimater af LGD'er eller IRB-CCF'er.
2. De kompetente myndigheder fastsætter en frist, inden for hvilken et institut og
et eventuelt moderselskab og dets datterselskaber skal implementere IRB-metoden
for alle eksponeringer inden for en eksponeringsklasse for de forskellige
forretningsenheder i samme koncern eller med henblik på anvendelse af egne
estimater af LGD'er eller IRB-CCF'er. De kompetente myndigheder fastsætter en
DA 101 DA
frist, som de anser for passende på grundlag af arten og omfanget af de berørte
institutters eller et eventuelt moderselskabs og dets datterselskabers aktiviteter samt
antallet og arten af de ratingsystemer, der skal implementeres."
b) Stk. 4, 5 og 6 udgår.
(63) I artikel 150 foretages følgende ændringer:
a) Stk. 1 affattes således:
"1. Institutterne anvender standardmetoden på alle følgende eksponeringer:
a) eksponeringer henført til den aktieeksponeringsklasse, der er omhandlet i
artikel 147, stk. 2, litra e)
b) eksponeringer henført til eksponeringsklasser, for hvilke institutterne har
besluttet ikke at implementere IRB-metoden til beregning af de
risikovægtede eksponeringsbeløb og værdien af forventede tab
c) eksponeringer, for hvilke institutterne ikke på forhånd har fået tilladelse
fra de kompetente myndigheder til at anvende IRB-metoden til beregning
af de risikovægtede eksponeringsbeløb og værdien af forventede tab.
Et institut, der har tilladelse til at anvende IRB-metoden til beregning af
risikovægtede eksponeringsbeløb og værdi af forventede tab for en given
eksponeringsklasse, kan med forbehold af den kompetente myndigheds
forudgående tilladelse anvende standardmetoden på visse eksponeringstyper i
den pågældende eksponeringsklasse, hvis disse eksponeringstyper er uden
større betydning med hensyn til størrelse og opfattet risikoprofil.
Et institut, der kun har tilladelse til at anvende IRB-metoden til beregning af
størrelsen af risikovægtede eksponeringsbeløb for visse eksponeringstyper
inden for en eksponeringsklasse, anvender standardmetoden for de resterende
eksponeringstyper i den pågældende eksponeringsklasse."
b) Stk. 2, 3 og 4 udgår.
(64) I artikel 151 foretages følgende ændringer:
a) Stk. 4 udgår.
b) Stk. 7, 8 og 9 affattes således:
"7. For detaileksponeringer anvender institutterne egne estimater af LGD'er og
IRB-CCF, hvor det er relevant i henhold til artikel 166, stk. 8 og 8b, i
overensstemmelse med artikel 143 og afdeling 6. Institutterne anvender SA-
CCF, hvis artikel 166, stk. 8 og 8b, ikke giver mulighed for anvendelse af IRB-
CCF.
8. For følgende eksponeringer anvender institutterne LGD-værdierne i
artikel 161, stk. 1, og SA-CCF i overensstemmelse med artikel 166, stk. 8, 8a
og 8b:
a) eksponeringer henført til eksponeringsklassen "eksponeringer mod
institutter", der er omhandlet i artikel 147, stk. 2, litra b)
b) eksponeringer mod enheder den finansielle sektor
c) eksponeringer mod store selskaber.
DA 102 DA
For eksponeringer, der tilhører eksponeringsklasserne i artikel 147, stk. 2, litra
a), a1) og c), med undtagelse af de eksponeringer, der er omhandlet i
nærværende stykkes første afsnit, anvender institutterne LGD-værdierne i
artikel 161, stk. 1, og SA-CCF'en i overensstemmelse med artikel 166, stk. 8,
8a og 8b, medmindre de har fået tilladelse til at anvende deres egne estimater
af LGD'er og CCF'er for disse eksponeringer i overensstemmelse med
nærværende artikels stk. 9.
9. For eksponeringer, der er omhandlet i stk. 8, andet afsnit, tillader den
kompetente myndighed, at institutterne anvender egne estimater af LGD'er og
IRB-CCF, hvor det er relevant i henhold til artikel 166, stk. 8 og 8b, i
overensstemmelse med artikel 143 og afdeling 6."
c) Følgende tilføjes som stk. 11, 12 og 13:
"11. Institutterne anvender de krav, der er fastsat for eksponeringer, der tilhører
eksponeringsklassen "almindelige erhvervseksponeringer", der er omhandlet i
artikel 147, stk. 2, litra c), nr. i), på eksponeringer, der tilhører
eksponeringsklassen "RGLA-PSE", der er omhandlet i artikel 147, stk. 2, litra
a1). Med henblik på dette stykke finder den tærskel, der er fastsat i definitionen
af store selskaber, og de bestemmelser, der finder anvendelse på store selskaber
i stk. 8, første afsnit, litra c), ikke anvendelse, og behandlingen i artikel 501
finder ikke anvendelse.
12. For eksponeringer i form af aktier eller andele i en CIU, der tilhører
eksponeringsklassen omhandlet i artikel 147, stk. 2, litra e1), anvender
institutterne den behandling, der er fastsat i artikel 152.
13. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere den behandling, der finder anvendelse på
eksponeringer, der tilhører eksponeringsklassen "erhvervede
erhvervsfordringer", som er omhandlet i artikel 147, stk. 2, litra c), nr. iii), og
eksponeringsklassen "erhvervede detailfordringer", som er omhandlet i
artikel 147, stk. 2, litra d), nr. iii), med henblik på beregning af risikovægtede
eksponeringsbeløb for misligholdelsesrisikoen og udvandingsrisikoen ved disse
eksponeringer, herunder med henblik på anerkendelse af
kreditrisikoreduktionsteknikker.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2025.
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige
tekniske standarder, der er omhandlet i første afsnit, i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
(65) Artikel 152, stk. 4, affattes således:
"4. Institutter, der anvender transparensmetoden i henhold til denne artikels stk. 2 og
3, og som ikke anvender metoderne fastsat i dette kapitel eller i kapitel 5, alt efter
hvad der relevant, for alle eller dele af CIU'ens underliggende eksponeringer,
beregner risikovægtede eksponeringsbeløb og værdi af forventede tab i
overensstemmelse med følgende principper:
a) for underliggende eksponeringer, der ville blive henført til den
aktieeksponeringsklasse, der er omhandlet i artikel 147, stk. 2, litra e),
anvender institutterne standardmetoden i kapitel 2
DA 103 DA
b) for eksponeringer, som er henført til poster, der repræsenterer de
securitiseringspositioner, der er omhandlet i artikel 147, stk. 2, litra f),
anvender institutterne den behandling, der er fastsat i artikel 254, som om disse
eksponeringer var disse institutters direkte besiddelser
c) for alle andre underliggende eksponeringer anvender institutterne
standardmetoden omhandlet i kapitel 2."
(66) I artikel 153 foretages følgende ændringer:
a) Stk. 1, nr. iii), affattes således:
"iii) hvis 0 < PD < 1, er:
RW = (LGD ⋅ 𝑁 (
1
√1 − 𝑅
⋅ 𝐺(PD) + √
𝑅
1 − 𝑅
⋅ 𝐺(0,999)) − LGD ⋅ PD)
⋅
1 + (M − 2,5) ⋅ 𝑏
1 − 1,5 ⋅ 𝑏
⋅ 12,5
hvor:
N = den kumulative fordelingsfunktion for en standardiseret normalfordelt
stokastisk variabel dvs. N(x) er lig med sandsynligheden for, at en
normalfordelt stokastisk variabel med middelværdi 0 og varians 1 er mindre
end eller lig med x
G = den inverse kumulative fordelingsfunktion for en standardiseret
normalfordelt stokastisk variabel dvs. hvis x = G(z), er xden værdi, for hvilken
det gælder, at N(x) = z.
R = korrelationskoefficienten, der defineres som:
𝑅 = 0,12 ⋅
1 − 𝑒−50⋅PD
1 − 𝑒−50
+ 0,24 ⋅ (1 −
1 − 𝑒−50⋅PD
1 − 𝑒−50
)
b = løbetidsfaktoren, der defineres som:
𝑏 = [0,11852 − 0,05478 ⋅ 𝑙𝑛(PD)]2
M = løbetiden og udtrykkes i år og beregnes i overensstemmelse med
artikel 162."
b) Stk. 2 affattes således:
"2. For så vidt angår eksponeringer mod store regulerede enheder i den
finansielle sektor og uregulerede enheder i den finansielle sektor multipliceres
korrelationskoefficienten R i stk. 1, nr. iii), eller stk. 4, alt efter hvad der er
relevant, med 1,25 ved beregning af risikovægtene for disse eksponeringer."
c) Stk. 3 udgår.
d) Stk. 9 affattes således:
"9. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere, hvordan institutterne skal tage højde for de faktorer,
som er omhandlet i stk. 5, andet afsnit, når de tildeler specialiseret långivning
risikovægte.
DA 104 DA
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2025.
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige
tekniske standarder, der er omhandlet i første afsnit, i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
(67) I artikel 154 foretages følgende ændringer:
a) Stk. 1, nr. ii), affattes således:
"ii) hvis PD < 1, er:
RW = (LGD ⋅ 𝑁 (
1
√1 − 𝑅
⋅ 𝐺(PD) + √
𝑅
1 − 𝑅
⋅ 𝐺(0,999)) − LGD ⋅ PD) ⋅ 12,5
hvor:
N = den kumulative fordelingsfunktion for en standardiseret normalfordelt
stokastisk variabel dvs. N(x) er lig med sandsynligheden for, at en
normalfordelt stokastisk variabel med middelværdi 0 og varians 1 er mindre
end eller lig med x
G = den inverse kumulative fordelingsfunktion for en standardiseret
normalfordelt stokastisk variabel dvs. hvis x = G(z), er xden værdi, for hvilken
det gælder, at N(x) = z.
R = korrelationskoefficienten, der defineres som:
𝑅 = 0,03 ⋅
1 − 𝑒−35⋅PD
1 − 𝑒−35
+ 0,16 ⋅ (1 −
1 − 𝑒−35⋅PD
1 − 𝑒−35
)
".
b) Stk. 2 udgår.
c) Stk. 3 affattes således:
"3. For detaileksponeringer, som ikke er misligholdt og er helt eller delvist
sikret ved beboelsesejendom, anvendes en korrelationskoefficient R på 0,15 i
stedet for den værdi, der beregnes med korrelationskoefficientformlen i stk. 1.
Den risikovægt, der finder anvendelse i henhold til stk. 1, nr. ii), på
eksponeringer, der er delvist sikret ved beboelsesejendom, finder også
anvendelse på den usikrede del af den underliggende eksponering."
d) Stk. 4 affattes således:
"4. For QRRE'er, som ikke er misligholdt, anvendes en korrelationskoefficient
R på 0,04 i stedet for den værdi, der beregnes med
korrelationskoefficientformlen i stk. 1.
De kompetente myndigheder undersøger den relative volatilitet i
tabsprocenterne for QRRE'er, der tilhører samme eksponeringstype, samt for
den aggregerede QRRE-eksponeringsklasse og udveksler oplysninger om
typiske karakteristika for tabsprocenter for kvalificerede revolverende
detaileksponeringer med de øvrige medlemsstater og med EBA."
(68) Artikel 155 udgår.
DA 105 DA
(69) I artikel 157 tilføjes følgende som stk. 6:
"6. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik
på at præcisere:
a) metoden til beregning af det risikovægtede eksponeringsbeløb for
udvandingsrisiko ved erhvervede fordringer, herunder anerkendelse af
kreditrisikoreduktionsteknikker i overensstemmelse med artikel 160, stk. 4, og
betingelserne for anvendelse af egne estimater og fallbackparametre
b) vurderingen af ubetydelighedskriteriet for den eksponeringstype, der er
omhandlet i stk. 5.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2026.
Kommissionen tillægges beføjelse til at supplere denne forordning ved at vedtage de
i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(70) I artikel 158 foretages følgende ændringer:
a) Stk. 5, sidste afsnit, udgår.
b) Stk. 7, 8 og 9 udgår.
(71) Artikel 159 affattes således:
"Artikel 159
Behandling af værdien af de forventede tab, IRB-underskud og IRB-overskud
Institutterne trækker værdien af de forventede tab på de eksponeringer, der er
omhandlet i artikel 158, stk. 5, 6 og 10, fra summen af følgende:
a) de generelle og specifikke kreditrisikojusteringer i forbindelse med disse
eksponeringer beregnet i overensstemmelse med artikel 110
b) yderligere værdijusteringer i forbindelse med instituttets aktiviteter uden for
handelsbeholdningen fastsat i overensstemmelse med artikel 34 vedrørende
disse eksponeringer
c) andre reduktioner af kapitalgrundlaget i forbindelse med disse eksponeringer
bortset fra fradrag foretaget i overensstemmelse med artikel 36, stk. 1, litra m).
Hvis den beregning, der er foretaget i overensstemmelse med første afsnit, resulterer
i et positivt beløb, kaldes det fremkomne beløb "IRB-overskud". Hvis den
beregningen, der er foretaget i overensstemmelse med første afsnit resulterer i et
negativt beløb, kaldes det fremkomne beløb "IRB-underskud".
Med henblik på den beregning, der er omhandlet i første afsnit, behandler institutter
nedslag eller præmier fastsat i overensstemmelse med artikel 166, stk. 1, i
forbindelse med balanceførte eksponeringer, der er erhvervet som misligholdte
eksponeringer, på samme måde som specifikke kreditrisikojusteringer. Nedslag eller
præmier i forbindelse med balanceførte eksponeringer, der er erhvervet som ikke-
misligholdte eksponeringer, medtages ikke i beregningen af IRB-underskuddet og
IRB-overskuddet. Specifikke kreditrisikojusteringer for misligholdte eksponeringer
må ikke anvendes til at dække værdien af forventede tab på andre eksponeringer.
Værdien af de forventede tab vedrørende securitiserede eksponeringer og de
DA 106 DA
generelle og specifikke kreditrisikojusteringer, der foretages for disse eksponeringer,
indgår ikke i beregningen af IRB-underskuddet og IRB-overskuddet."
(72) I afdeling 4 indsættes følgende som underafdeling 0:
"Underafdeling 0
Eksponeringer, der dækkes af garantier stillet af medlemsstaternes centralregeringer og
centralbanker eller ECB
Artikel 159a
Ikke-anvendelse af PD- og LGD-inputgulve
Med henblik på kapitel 3 og navnlig med hensyn til artikel 160, stk. 1, artikel 161,
stk. 4, artikel 164, stk. 4, og artikel 166, stk. 8c, gælder det, at hvis en eksponering er
dækket af en garanti, der kan indregnes, stillet af en medlemsstats centralregering
eller centralbank eller af ECB, finder PD-, LGD- og CCF-inputgulvene ikke
anvendelse på den del af eksponeringen, der er dækket af garantien. Den del af
eksponeringen, der ikke er dækket af garantien, er dog underlagt de pågældende PD-,
LGD- og CCF-inputgulve."
(73) I artikel 160 foretages følgende ændringer:
a) Stk. 1 affattes således:
"1. For eksponeringer, der er henført til eksponeringsklassen "eksponeringer
mod institutter" som omhandlet i artikel 147, stk. 2, litra b), eller
"eksponeringer mod selskaber" som omhandlet i artikel 147, stk. 2, litra c),
udelukkende med henblik på beregning af risikovægtede eksponeringsbeløb og
værdi af forventede tab på disse eksponeringer, navnlig med henblik på
artikel 153, artikel 157, artikel 158, stk. 1, 5 og 10, må de PD-værdier, der
anvendes i inputtet i formlerne for risikovægte og forventet tab, ikke være
mindre end følgende værdi: 0,05 % ("PD- inputgulv")."
b) Stk. 4 affattes således:
"4. For en eksponering, der er dækket af en UFCP, kan et institut, der anvender
sine egne LGD-estimater i henhold til artikel 143 for både den oprindelige
eksponering og direkte sammenlignelige eksponeringer mod udbyderen af
kreditrisikoafdækning, anerkende den ufinansierede kreditrisikoafdækning i
PD i overensstemmelse med artikel 183."
c) Stk. 5 udgår.
d) Stk. 6 affattes således:
"6. I forbindelse med udvandingsrisici for erhvervede erhvervsfordringer
fastsættes PD, så den svarer til instituttets estimat af det forventede tab
vedrørende udvandingsrisici. Hvis et institut har fået tilladelse af den
kompetente myndighed, jf. artikel 143, til at anvende sine egne LGD-estimater
for erhvervseksponeringer, og det er i stand til at foretage en opdeling, som den
kompetente myndighed anser for pålidelig, af sine estimater af det forventede
tab vedrørende udvandingsrisici for erhvervede erhvervsfordringer i PD og
LGD, kan instituttet anvende det PD-estimat, der er resultatet af nævnte
opdeling. Institutterne kan anerkende finansieret og ufinansieret
kreditrisikoafdækning vedrørende PD i overensstemmelse med kapitel 4."
e) Stk. 7 affattes således:
DA 107 DA
"7. Hvis et institut har fået tilladelse af den kompetente myndighed, jf. artikel
143, til at anvende sine egne LGD-estimater vedrørende udvandingsrisici for
erhvervede erhvervsfordringer, kan det indregne ufinansieret
kreditrisikoafdækning ved at justere PD, jf. dog artikel 161, stk. 3."
(74) I artikel 161 foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) Litra a) affattes således:
"a) privilegerede eksponeringer uden FCP mod centralregeringer og
centralbanker og enheder i den finansielle sektor: 45 %".
ii) Følgende indsættes som litra aa):
"aa) privilegerede eksponeringer uden FCP mod selskaber, der ikke er
enheder i den finansielle sektor: 40 %".
iii) Litra c) udgår.
iv) Litra e) affattes således:
"e) for privilegerede eksponeringer vedrørende erhvervede
erhvervsfordringer, hvor instituttet ikke kan estimere PD, eller hvor
instituttets PD-estimater ikke opfylder kravene i afdeling 6: 40 %".
v) Litra g) affattes således:
"g) for udvandingsrisici vedrørende erhvervede erhvervsfordringer:
100 %".
b) Stk. 3 og 4 affattes således:
"3. For en eksponering, der er dækket af en ufinansieret kreditrisikoafdækning,
kan et institut, der anvender sine egne LGD-estimater i henhold til artikel 143
for både den oprindelige eksponering og direkte sammenlignelige
eksponeringer mod udbyderen af kreditrisikoafdækning, indregne den
ufinansierede kreditrisikoafdækning i LGD i overensstemmelse med
artikel 183.
4. For eksponeringer, der er henført til eksponeringsklassen
"erhvervseksponeringsklasse", som er omhandlet i artikel 147, stk. 2, litra c),
og udelukkende med henblik på beregning af risikovægtede eksponeringsbeløb
og værdi af forventede tab og navnlig med henblik på artikel 153, stk. 1, nr.
iii), artikel 157 og artikel 158, stk. 1, 5 og 10, må de LGD-værdier, der
anvendes i forbindelse med input i formler for risikovægt og forventet tab, hvis
der anvendes egne LGD-estimater, ikke være mindre end følgende inputgulv
for LGD-værdier, og beregnet i overensstemmelse med stk. 5:
Tabel 2a
LGD-inputgulve (LGDfloor) for eksponeringer, der tilhører
eksponeringsklassen "eksponering mod selskaber"
eksponering uden FCP (LGDU-floor)
eksponering fuldt ud sikret ved FCP
(LGDS-floor)
DA 108 DA
25 %
finansiel sikkerhed 0 %
fordringer 10 %
beboelsesejendom
eller
erhvervsejendom
10 %
anden fysisk
sikkerhed
15 %
".
c) Følgende tilføjes som stk. 5 og 6:
"5. Med henblik på stk. 4 finder LGD-inputgulvene i tabel 2a i nævnte stykke
anvendelse for eksponeringer, der er fuldt ud sikret ved FCP, når værdien af
FCP, efter anvendelsen af de berørte volatilitetsjusteringer Hc og Hfx i
overensstemmelse med artikel 230, svarer til eller er større end værdien af den
underliggende eksponering. Desuden finder disse værdier anvendelse på FCP,
der er indregnet i henhold til dette kapitel.
Det LGD- inputgulv (LGDfloor), der kan anvendes for en eksponering, som er
delvist sikret ved FCP, beregnes som det vægtede gennemsnit af LGDU-floor for
eksponeringsdelen uden FCP og LGDS-floor for den fuldt ud sikrede del på
følgende måde:
LGDfloor = LGDU-floor ⋅
EU
E ⋅ (1 + HE)
+ LGDS-floor ⋅
ES
E ⋅ (1 + HE)
hvor:
LGDU-floor og LGDS-floor er de relevante gulvværdier i tabel 1
E , ES , EU og HE bestemmes som angivet i artikel 230.
6. Hvis et institut, der anvender egne LGD-estimater for en given type usikrede
erhvervseksponeringer, ikke kan tage hensyn til virkningen af FCP'en, der
sikrer en af eksponeringerne af denne eksponeringstype i sine egne LGD-
estimater, har instituttet tilladelse til at anvende formlen i artikel 230, bortset
fra at værdien LGDU i denne formel er instituttets eget LGD-estimat. I så fald
indregnes FCP'en i overensstemmelse med kapitel 4, og instituttets eget LGD-
estimat, der anvendes som værdien LGDU, beregnes på grundlag af
underliggende tabsdata, undtagen eventuelle inddrivelser som følge af denne
FCP."
(75) I artikel 162 foretages følgende ændringer:
a) Stk. 1 affattes således:
"1. For eksponeringer, for hvilke et institut ikke har fået tilladelse af den
kompetente myndighed til at anvende egne estimater af LGD, er løbetiden
("M") 2,5 år, undtagen for eksponeringer i tilknytning til
værdipapirfinansieringstransaktioner, hvor løbetiden er på 0,5 år.
Alternativt kan de kompetente myndigheder som led i den tilladelse, der er
omhandlet i artikel 143, beslutte, om instituttet skal anvende løbetiden som
DA 109 DA
fastsat i stk. 2 for alle disse eksponeringer eller for en undergruppe af disse
eksponeringer."
b) I stk. 2 foretages følgende ændringer:
i) I stk. 2 affattes indledningen således:
"For eksponeringer, for hvilke et institut anvender egne estimater af
LGD, beregnes løbetiden ("M") ved hjælp af perioder udtrykt i år som
fastsat i dette stykke og med forbehold af denne artikels stk. 3-5.
Løbetiden må ikke overstige 5 år undtagen i de tilfælde, der er nævnt i
artikel 384, stk. 1, hvor løbetiden som angivet deri anvendes: Løbetiden
beregnes som følger i hvert af følgende tilfælde:"
ii) Følgende indsættes som litra da) og db):
"da) For sikrede udlånstransaktioner, der er omfattet af en rammeaftale
om netting, fastsættes løbetiden ud fra transaktionernes vægtede
gennemsnitlige restløbetid, hvor løbetiden skal være på mindst 20 dage.
Løbetiden vægtes i forhold til den notionelle værdi af hver transaktion.
"db) For en rammeaftale om netting, der omfatter mere end én
transaktionstype svarende til litra c), d) eller da), er løbetiden den
vægtede gennemsnitlige restløbetid for transaktionerne, hvor løbetiden
skal være mindst den længste ihændehaverperiode (udtrykt i år) for
sådanne transaktioner som fastsat i artikel 224, stk. 2 (enten 10 dage eller
20 dage, afhængigt af tilfældet). Løbetiden vægtes i forhold til den
notionelle værdi af hver transaktion."
iii) Litra f) affattes således:
"f) For andre instrumenter end dem, der er nævnt i dette stykke, eller hvis
instituttet ikke er i stand til at beregne løbetiden som anført i litra a),
fastsættes løbetiden til den maksimale resterende periode (målt i år), som
låntageren har fået til at indfri alle sine kontraktlige forpligtelser
(hovedstol, renter og gebyrer), hvor løbetiden skal være på mindst et år".
iv) Litra i) affattes således:
"i) For institutter, der anvender de metoder, der er omhandlet i
artikel 382a, stk. 1, litra a) eller b), til beregning af
kapitalgrundlagskravet vedrørende kreditværdijusteringsrisici i
forbindelse med transaktioner med en given modpart, må løbetiden ikke
overstige 1 i den formel, der er fastsat i artikel 153, stk. 1, med henblik
på beregning af de risikovægtede eksponeringsbeløb for modpartsrisiko
for de samme transaktioner, jf. artikel 92, stk. 4, litra a) eller f), alt efter
hvad der er relevant".
v) Litra j) affattes således:
"j) For revolverende eksponeringer bestemmes løbetiden ved anvendelse
af facilitetens maksimale kontraktlige udløbsdato. Institutterne må ikke
anvende tilbagebetalingsdatoen for det aktuelle træk, hvis denne dato
ikke er facilitetens maksimale udløbsdato."
c) I stk. 3 foretages følgende ændringer:
i) Første afsnit, indledningen, affattes således:
DA 110 DA
"Såfremt dokumentationen indeholder krav om daglig fastsættelse af
margen og daglig værdiansættelse og indeholder bestemmelser, der giver
mulighed for øjeblikkelig realisering eller modregning af
sikkerhedsstillelse i tilfælde af misligholdelse eller manglende
fastsættelse af margen, fastsættes løbetiden ud fra transaktionernes
vægtede gennemsnitlige restløbetid, og løbetiden fastsættes til mindst én
dag for:".
ii) I andet afsnit foretages følgende ændringer:
– Litra b) affattes således:
"b) selvlikviderende kortfristede handelsfinansieringstransaktioner
i tilknytning til udveksling af varer eller tjenesteydelser, herunder
erhvervede erhvervsfordringer, med en restløbetid på op til et år
som omhandlet i artikel 4, stk. 1, nr. 80)".
– Følgende tilføjes som litra e):
"e) udstedte og bekræftede remburser, som er kortfristede, dvs.
med en løbetid på under et år, og selvlikviderende."
d) Stk. 4 affattes således:
"4. For så vidt angår eksponeringer mod selskaber, der er etableret i Unionen,
og som ikke er store selskaber, kan institutterne vælge at fastsætte løbetiden for
alle sådanne eksponeringer som fastsat i stk. 1 i stedet for at anvende stk. 2."
e) Følgende tilføjes som stk. 6:
"6. Med henblik på at udtrykke det minimumsantal af dage, der er omhandlet i
stk. 2, litra c)-db), og stk. 3, i år, divideres minimumsantallet af dage med
365,25."
(76) I artikel 163 foretages følgende ændringer:
a) Stk. 1 affattes således:
"1. Udelukkende med henblik på beregning af størrelsen af risikovægtede
eksponeringsbeløb og værdi af forventede tab i forbindelse med disse
eksponeringer, og navnlig med henblik på artikel 154, artikel 157 og
artikel 158, stk. 1, 5 og 10, må de PD-værdier, der anvendes som input i
formlerne for risikovægt og forventet tab, ikke være mindre end følgende:
a) 0,1 % for QRRE-revolverende eksponeringer
b) 0,05 % for detaileksponeringer, som ikke er QREE-revolverende
eksponeringer."
b) Stk. 4 affattes således:
"4. For en eksponering, der er dækket af en ufinansieret kreditrisikoafdækning,
kan et institut, der anvender sine egne LGD-estimater i henhold til artikel 143
for direkte sammenlignelige eksponeringer mod udbyderen af
kreditrisikoafdækning, anerkende den ufinansierede kreditrisikoafdækning i
PD'en i overensstemmelse med artikel 183."
(77) I artikel 164 foretages følgende ændringer:
a) Stk. 1 og 2 affattes således:
DA 111 DA
"1. Institutterne skal foretage deres egne estimater af LGD'er, forudsat at
kravene i afdeling 6 i dette kapitel er opfyldt, og der er opnået tilladelse fra de
kompetente myndigheder, jf. artikel 143. For udvandingsrisici vedrørende
erhvervede fordringer fastsættes en LGD-værdi på 100 %. Hvis et institut er i
stand til at foretage en pålidelig opdeling af sine estimater af det forventede tab
vedrørende udvandingsrisici for erhvervede fordringer i PD'er og LGD'er, kan
instituttet anvende sit eget LGD-estimat.
2. Institutter, der anvender sine egne LGD-estimater i henhold til artikel 143
for direkte sammenlignelige eksponeringer mod udbyderen af
kreditrisikoafdækning, kan indregne den ufinansierede kreditrisikoafdækning i
LGD'en i overensstemmelse med artikel 183."
b) Stk. 3 udgår.
c) Stk. 4 affattes således:
"4. Med henblik på beregning af størrelsen af risikovægtede eksponeringsbeløb
og værdi af forventede tab i forbindelse med detaileksponeringer, og navnlig
med henblik på artikel 154 stk. 1, artikel 157 og artikel 158, stk. stk. 1 og 10,
må det LGD, der anvendes som input i formlerne for risikovægt og forventet
tab, ikke være mindre end de LGD-inputgulvværdier, der er fastsat i tabel 2aa
og i overensstemmelse med stk. 4a og 4b:
Tabel 2aa
LGD-inputgulve (LGDfloor) for detaileksponeringer
eksponering uden FCP (LGDU-floor)
eksponering sikret ved FCP
(LGDS-floor)
Detaileksponering sikret ved
beboelsesejendom
ikke relevant
Detaileksponering
sikret ved
beboelsesejendom
5 %
QRRE 50 % QRRE ikke relevant
Anden detaileksponering
30 %
Anden
detaileksponering,
for hvilken der er
stillet finansiel
sikkerhed
0 %
Anden
detaileksponering
sikret ved
fordringer
10 %
Anden
detaileksponering
sikret ved
beboelsesejendom
eller
erhvervsejendom
10 %
DA 112 DA
Anden
detaileksponering,
for hvilken der er
stillet anden
fysisk sikkerhed
15 %
".
d) Følgende indsættes som stk. 4a og 4b:
"4a. Med henblik på stk. 4 gælder følgende:
a) LGD-inputgulve i stk. 4, tabel 2aa, finder anvendelse på eksponeringer
sikret ved FCP, når FCP er indregnet i henhold til dette kapitel
b) med undtagelse af detaileksponeringer sikret ved beboelsesejendom
finder LGD-inputgulvene i stk. 4, tabel 2aa, anvendelse på
eksponeringer, der er fuldt ud sikret ved FCP, hvis værdien af FCP efter
anvendelse af de relevante volatilitetsjusteringer i overensstemmelse med
artikel 230 svarer til eller overstiger værdien af den underliggende
eksponering
c) med undtagelse af detaileksponeringer sikret ved pant i
beboelsesejendom beregnes det gældende LGD-inputgulv for en
eksponering, der er delvist sikret ved FCP, i overensstemmelse med
formlen i artikel 161, stk. 5
d) for detaileksponeringer sikret ved beboelsesejendom fastsættes det
gældende LGD-inputgulv til 5 % uanset niveauet for den sikkerhed, der
stilles i form af beboelsesejendommen.
4b. Hvis et institut ikke kan medtage virkningerne af FCP'en, der sikrer en af
eksponeringerne af denne eksponeringstype i sine egne LGD-estimater, har
instituttet tilladelse til at anvende formlen i artikel 230, bortset fra at værdien
LGDU i denne formel er instituttets eget LGD-estimat. I så fald indregnes
FCP'en i overensstemmelse med kapitel 4, og instituttets eget LGD-estimat, der
anvendes som værdien LGDU, beregnes på grundlag af underliggende
tabsdata, undtagen eventuelle inddrivelser som følge af denne FCP."
(78) Tredje del, afsnit II, kapitel 3, afdeling 4, underafdeling 3 udgår.
(79) I artikel 166 foretages følgende ændringer:
a) Stk. 8 affattes således:
"8. Eksponeringsværdien af ikkebalanceførte poster, som ikke er kontrakter
som anført i bilag II, beregnes enten ved hjælp af IRB-CCF eller SA-CCF i
overensstemmelse med stk. 8a og 8b og artikel 151, stk. 8.
Hvis de udnyttede saldi for revolverende faciliteter er blevet securitiseret,
sikrer institutterne, at de fortsat besidder det krævede kapitalgrundlag i forhold
til de uudnyttede saldi, der er knyttet til securitiseringen.
Et institut, der ikke anvender IRB-CCF, beregner eksponeringsværdien som det
forpligtede, men ikketrukne beløb multipliceret med den pågældende SA-CCF.
DA 113 DA
Et institut, der ikke anvender IRB-CCF, beregner eksponeringsværdien for
uudnyttede lånetilsagn som det ikketrukne beløb multipliceret med den
pågældende IRB-CCF."
b) Følgende indsættes som stk. 8a, 8b og 8c:
"8a. For en eksponering, for hvilken IRB-CCF ikke anvendes, er den gældende
CCF den SA-CCF, der er foreskrevet i kapitel 2 for de samme typer poster som
fastsat i artikel 111. Det beløb, som SA-CCF'en skal anvendes på, er den
laveste af værdien af den uudnyttede bevilgede kreditlinje og den værdi, der
afspejler en eventuel begrænsning af facilitetens tilgængelighed, herunder
forekomsten af en øvre grænse for det potentielle lånebeløb, som er knyttet til
låntagerens indberettede pengestrømme. Hvis en facilitet er begrænset på
denne måde, skal instituttet have tilstrækkelige procedurer for overvågning og
forvaltning af kreditlinjen til støtte for forekomsten af denne begrænsning.
8b. Med forbehold af de kompetente myndigheders tilladelse anvender
institutter, der opfylder kravene for anvendelse af IRB-CCF som anført i
afdeling 6, IRB-CCF for eksponeringer, der opstår som følge af uudnyttede
revolverende tilsagn, der behandles efter IRB-metoden, forudsat at disse
eksponeringer ikke ville være underlagt en SA-CCF på 100 % efter
standardmetoden. SA-CCF anvendes til:
a) alle andre ikkebalanceførte poster, navnlig uudnyttede ikkerevolverende
tilsagn
b) eksponeringer, hvor minimumskravene til beregning af IRB-CCF som
anført i afdeling 6 ikke er opfyldt af instituttet, eller hvor den kompetente
myndighed ikke har tilladt anvendelsen af IRB-CCF'er.
Med henblik på denne artikel anses et tilsagn for at være "revolverende", hvis
det giver en låntager mulighed for at opnå et lån, hvor låntageren har
fleksibilitet til at beslutte, hvor ofte der skal hæves midler fra lånet, og med
hvilke tidsintervaller, således at låntageren kan trække på, tilbagebetale og på
ny trække på lån, der er ydet til vedkommende. Kontraktlige ordninger, der
tillader tilbagebetalinger og efterfølgende fornyet træk på disse
tilbagebetalinger, betragtes som revolverende.
8c. Udelukkende med henblik på beregning af risikovægtede
eksponeringsbeløb og værdi af forventede tab i forbindelse med eksponeringer,
der opstår som følge af revolverende tilsagn, hvor IRB-CCF anvendes, navnlig
i henhold til artikel 153, stk. 1, artikel 157, artikel 158, stk. 1, 5 og 10, må den
eksponeringsværdi, der anvendes som input i formlerne for det risikovægtede
eksponeringsbeløb og værdien af forventede tab ikke være mindre end summen
af:
a) det trukne beløb på det revolverende tilsagn
b) 50 % af den ikkebalanceførte eksponering for den resterende uudnyttede
del af det revolverende tilsagn beregnet ved hjælp af den gældende SA-
CCF, jf. artikel 111.
Summen af litra a) og b) benævnes "CCF-inputgulvet"."
c) Stk. 10 udgår.
(80) Artikel 167 udgår.
DA 114 DA
(81) I artikel 169, stk. 3, tilføjes følgende afsnit:
"EBA udsteder retningslinjer for, hvordan kravene til modeldesign,
risikokvantificering, validering og anvendelse af risikoparametre anvendes i praksis
ved hjælp af kontinuerlige eller meget detaljerede ratingskalaer for hver
risikoparameter. Disse retningslinjer vedtages i overensstemmelse med artikel 16 i
forordning (EU) nr. 1093/2010."
(82) Artikel 170, stk. 4, litra b), affattes således:
"b) transaktionernes risikokarakteristika, herunder med hensyn til produkter og
finansieret kreditrisikoafdækning, indregnet ufinansieret kreditrisikoafdækning,
belåningsmål, sæsoneffekter og rangorden. Institutterne tager eksplicit stilling til
tilfælde, hvor flere eksponeringer er omfattet af samme sikkerhedsstillelse. For hver
pulje, hvor instituttet vurderer PD og LGD, analyserer instituttet repræsentativiteten
af faciliteternes alder med hensyn til den tid, der er gået siden indgåelsen, for PD, og
den tid, der er gået siden misligholdelsesdatoen, for LGD i de data, der er anvendt til
at udlede estimaterne af instituttets faktiske faciliteter".
(83) I artikel 171 tilføjes følgende som stk. 3:
"3. Ratingsystemerne udformes på en sådan måde, at idiosynkratiske eller
branchespecifikke ændringer er en faktor for migreringer fra en ratingklasse til en
anden. Desuden skal virkningerne af konjunkturudviklinger tages i betragtning som
en faktor for migrering af låntagere og faciliteter fra en ratingklasse eller pulje til en
anden."
(84) I artikel 172, stk. 1, foretages følgende ændringer:
a) Indledningen affattes således:
"For så vidt angår eksponeringer mod selskaber, institutter, centralregeringer
og centralbanker foretages fordelingen af eksponeringer i overensstemmelse
med følgende kriterier:".
b) Litra d) affattes således:
"d) Alle juridiske enheder, som instituttet er eksponeret mod, skal
kreditvurderes særskilt."
c) Følgende afsnit tilføjes:
"Med henblik på litra d) skal instituttet have en passende politik for behandling
af individuelle låntagerkunder og grupper af indbyrdes forbundne kunder.
Disse politikker skal indeholde en proces til identifikation af specifikke "wrong
way"-risici for hver juridisk enhed, som instituttet er eksponeret for.
Transaktioner med modparter, hvor der er identificeret en specifik "wrong
way"-risiko, behandles forskelligt ved beregningen af deres
eksponeringsværdi."
(85) I artikel 173 foretages følgende ændringer:
a) I stk. 1 affattes indledningen således:
"For så vidt angår eksponeringer mod selskaber, institutter, centralregeringer
og centralbanker skal ratingprocessen opfylde følgende kriterier:".
b) Stk. 3 affattes således:
DA 115 DA
"3. EBA udarbejder udkast til reguleringsmæssige tekniske standarder til
fastlæggelse af de kompetente myndigheders metoder til vurdering af
ratingprocessens integritet og den regelmæssige og uafhængige vurdering af
risici.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2025.
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige
tekniske standarder, der er omhandlet i første afsnit, i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
(86) I artikel 174 foretages følgende ændringer:
a) Indledningen affattes således:
Institutter, der anvender statistiske eller andre matematiske metoder
("modeller") til fordeling af eksponeringer i låntager- eller
facilitetsratingklasser eller -puljer, skal opfylde følgende krav:".
b) Litra a) affattes således:
"a) Modellen skal gøre det muligt at opstille præcise prognoser, og den må ikke
fordreje kapitalkravene."
c) Følgende afsnit tilføjes:
"Med henblik på litra a) skal inputvariablerne udgøre et hensigtsmæssigt og
effektivt grundlag for de prognoser, der frembringes. Modellen må ikke være
behæftet med alvorlige systematiske fejl ("bias"). Der skal være en funktionel
forbindelse mellem modellens input og output, som kan fastsættes ved
ekspertvurdering, hvor det er relevant."
(87) I artikel 176 foretages følgende ændringer:
a) I stk. 2 affattes indledningen således:
"For så vidt angår eksponeringer mod selskaber, institutter, centralregeringer
og centralbanker skal institutterne indsamle og opbevare:".
b) Stk. 3 affattes således:
"3. For så vidt angår eksponeringer, for hvilke dette kapitel gør det muligt at
beregne egne estimater af LGD'er eller IRB-CCF'er, men for hvilke
institutterne ikke anvender egne estimater af LGD'er eller IRB-CCF'er, skal
institutterne indsamle og opbevare data om sammenligninger mellem
realiserede LGD'er og værdierne i artikel 161, stk. 1, og mellem realiserede
CCF'er og SA-CCF'er som fastsat i artikel 166, stk. 8a."
(88) Artikel 177, stk. 3, udgår.
(89) I artikel 178 foretages følgende ændringer:
a) Overskriften affattes således:
"Låntageres eller faciliteters misligholdelse
b) Stk. 1, litra b), affattes således:
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"b) Låntageren har i over 90 dage været i restance med en væsentlig
gældsforpligtelse over for instituttet, moderselskabet eller et af dets
datterselskaber."
c) Stk. 3, litra d), affattes således:
"d) Instituttet indvilliger i en krisebetinget omlægning af gældsforpligtelsen,
hvor en sådan omlægning ventes at formindske den finansielle forpligtelse som
følge af væsentlig eftergivelse eller udsættelse af afdrag, renter eller i givet fald
gebyrer. En krisebetinget omlægning anses for at have fundet sted, når
kreditlempelser som omhandlet i artikel 47b er blevet udvidet til at omfatte
låntageren."
(90) I artikel 180 foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) Indledningen affattes således:
"Institutterne skal opfylde følgende særlige krav vedrørende PD-
estimater for eksponeringer mod selskaber, institutter, centralregeringer
og centralbanker i forbindelse med kvantificeringen af de
risikoparametre, der skal knyttes til ratinggrupper eller -puljer:".
ii) Litra h) affattes således:
"h) Uanset om instituttet anvender eksterne, interne eller fælles datakilder eller
en kombination heraf til estimering af sandsynligheden for misligholdelse
(PD), skal den underliggende historiske observationsperiode strække sig over
mindst fem år for mindst én kilde."
iii) Følgende tilføjes som litra i):
"i) uanset hvilken metode der anvendes til at estimere PD, skal institutterne
estimere en PD for hver ratingklasse baseret på den observerede historiske
gennemsnitlige etårige misligholdelsesfrekvens, som er et simpelt gennemsnit
baseret på antal låntagere (antalsvægtet), og andre metoder, herunder
eksponeringsvægtede gennemsnit, er ikke tilladt."
iv) Følgende afsnit tilføjes:
"Med henblik på litra h), og hvis den omhandlede observationsperiode
strækker sig over længere tid for en kilde, og de pågældende data er
relevante, anvendes den lange periode. Dataene skal omfatte en
repræsentativ blanding af gode og dårlige år, der er relevante for
eksponeringstypen. Institutter, som ikke har fået tilladelse af den
kompetente myndighed, jf. artikel 143, til at benytte egne estimater for
tab givet misligholdelse (LGD) eller konverteringsfaktorer, kan benytte
relevante data, der dækker en periode på to år, når de implementerer
IRB-metoden, forudsat at de får tilladelse af de kompetente myndigheder.
Den periode, der skal dækkes, forlænges hvert år med et år, indtil de
relevante data dækker en periode på fem år."
b) I stk. 2 foretages følgende ændringer:
i) Litra a) affattes således:
"a) Institutterne estimerer PD'er for hver låntager- eller
facilitetsratingklasse eller -pulje på baggrund af langsigtede gennemsnit
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af etårige misligholdelsesfrekvenser, og misligholdelsesfrekvenser
beregnes kun på facilitetsniveau, hvis definitionen af misligholdelse
anvendes på niveauet for individuelle kreditfaciliteter i henhold til
artikel 178, stk. 1, andet afsnit."
ii) Litra e) affattes således:
"e) Uanset om instituttet anvender eksterne, interne eller fælles datakilder
eller en kombination heraf til estimering af PD, skal den underliggende
historiske observationsperiode strække sig over mindst fem år for mindst
én kilde."
iii) Følgende afsnit tilføjes:
"Med henblik på litra e), og hvis den omhandlede observation strækker
sig over længere tid for en kilde, og hvis de pågældende data er relevante,
anvendes en sådan lang periode. Dataene skal indeholde en repræsentativ
blanding af gode og dårlige år i konjunkturcyklussen, der er relevante for
eksponeringstypen. PD baseres på den observerede historiske
gennemsnitlige etårige misligholdelsesfrekvens. Institutterne kan benytte
relevante data, der dækker en periode på to år, når de implementerer
IRB-metoden, forudsat at de får tilladelse af de kompetente myndigheder.
Den periode, der skal dækkes, forlænges hvert år med et år, indtil de
relevante data dækker en periode på fem år."
c) Stk. 3 affattes således:
"EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere de metoder, i overensstemmelse med hvilke de
kompetente myndigheder skal vurdere et instituts metode til estimering af PD i
overensstemmelse med artikel 143.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2025.
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige
tekniske standarder, der er omhandlet i første afsnit, i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
(91) I artikel 181 foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) Litra c)-g) affattes således:
"c) Et institut skal undersøge, hvilken sammenhæng der er mellem på den
ene side den risiko, der er forbundet med låntageren, og på den anden
side den risikoen, der er forbundet med finansieret kreditrisikoafdækning,
bortset fra rammeaftaler om netting og balanceført netting af lån og
indskud, eller dens udbyder.
d) Manglende valutamatch mellem den underliggende forpligtelse og den
finansierede kreditrisikoafdækning, bortset fra rammeaftaler om netting
og balanceført netting af lån og indskud, behandles konservativt i
forbindelse med instituttets vurdering af LGD.
e) I det omfang LGD-estimater tager højde for finansieret
kreditrisikoafdækning, bortset fra rammeaftaler om netting og
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balanceført netting af lån og indskud, må disse estimater ikke
udelukkende baseres på den anslåede markedsværdi af den finansierede
kreditrisikoafdækning.
f) I det omfang LGD-estimater tager højde for finansieret
kreditrisikoafdækning, bortset fra rammeaftaler om netting og
balanceført netting af lån og indskud, fastsætter institutterne interne krav
for forvaltning, retssikkerhed og risikostyring i forbindelse med denne
finansierede kreditrisikoafdækning, og disse krav skal generelt være i
overensstemmelse med kravene i kapitel 4, afdeling 3.
g) I det omfang et institut anerkender finansieret kreditrisikoafdækning,
bortset fra rammeaftaler om netting og balanceført netting af lån og
indskud, i forbindelse med fastsættelse af eksponeringsværdien for
modpartsrisiko i overensstemmelse med kapitel 6, afdeling 5 eller 6, skal
de beløb, som denne finansierede kreditrisikoafdækning ventes at
indbringe, ikke medregnes i LGD-estimaterne."
ii) Litra i) affattes således:
"i) I det omfang instituttet har kapitaliseret gebyrer for forsinkede
betalinger, som pålægges låntageren inden tidspunktet for
misligholdelsen, i sit driftsregnskab, skal disse gebyrer indgå i dets
opgørelse af eksponeringer og tab."
iii) Følgende litra tilføjes som litra k):
"k) yderligere træk efter misligholdelse medregnes i LGD."
iv) Følgende afsnit tilføjes:
"Med henblik på litra a) tager institutterne behørigt hensyn til
inddrivelser, der er realiseret i løbet af de relevante inddrivelsesprocesser,
fra alle former for FCP og fra UFCP, der ikke er omfattet af definitionen
i artikel 142, nr. 10).
Med henblik på litra c) skal de tilfælde, hvor der er en klar sammenhæng,
behandles konservativt.
Med henblik på litra e) skal LGD-estimater tage hensyn til, hvilken
betydning det har, hvis institutterne ikke er i stand til hurtigt at overtage
kontrollen med den sikkerhed, som de har stillet, og realisere den."
b) I stk. 2 foretages følgende ændringer:
i) Første afsnit, litra b), udgår.
ii) Andet afsnit affattes således:
"Estimater af LGD skal i forbindelse med detaileksponeringer baseres på
data for en periode på mindst fem år. Institutterne kan benytte relevante
data, der dækker en periode på to år, når de implementerer IRB-metoden,
forudsat at de får tilladelse af de kompetente myndigheder. Den periode,
der skal dækkes, forlænges hvert år med et år, indtil de pågældende data
dækker en periode på fem år."
c) Følgende tilføjes som stk. 4:
"4. EBA udsteder i overensstemmelse med artikel 16 i forordning (EU)
nr. 1093/2010 retningslinjer for at præcisere behandlingen af alle former for
DA 119 DA
finansieret og ufinansieret kreditrisikoafdækning med henblik på stk. 1, litra a),
og med henblik på anvendelsen af LGD-parametrene."
(92) I artikel 182 foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) Litra c) affattes således:
"c) Institutternes IRB-CCF skal afspejle muligheden for, at låntageren
foretager yderligere træk op til det tidspunkt, hvor den begivenhed, der
udløser en misligholdelse, indtræder. IRB-CCF skal omfatte en større
forsigtighedsmargen, hvis der er grund til at forvente en stærkere positiv
korrelation mellem misligholdelsesraten og konverteringsfaktorens
størrelse."
ii) Følgende tilføjes som litra g) og h):
"g) Institutters IRB-CCF skal udvikles på grundlag af en fast tidshorisont
på 12 måneder. Med henblik herpå skal misligholdelsesresultaterne for
hver observation i referencedatasættet kædes sammen med relevante
låntager- og facilitetskarakteristika på en fast referencedato, der defineres
som 12 måneder før misligholdelsesdagen.
h) Institutternes IRB-CCF skal være baseret på referencedata, der
afspejler karakteristika ved låntagerens, facilitetens og
bankforvaltningens praksis for de eksponeringer, som estimaterne
anvendes på."
iii) Følgende afsnit tilføjes:
"Med henblik på litra c) skal IRB-CCF omfatte en større
forsigtighedsmargen, hvis der er grund til at forvente en stærkere positiv
korrelation mellem misligholdelsesraten og konverteringsfaktorens
størrelse.
Med henblik på litra g) skal misligholdelsesresultaterne for hver
observation i referencedatasættet kædes sammen med relevante låntager-
og facilitetskarakteristika på en fast referencedato, der skal fastsættes
som 12 måneder før misligholdelsesdagen.
Med henblik på litra h) baseres IRB-CCF, der anvendes på bestemte
eksponeringer, ikke på data, der sammenblander virkningerne af
forskellige karakteristika, eller data fra eksponeringer, der udviser
forskellige risikokarakteristika. IRB-CCF skal være baseret på passende
homogene segmenter. Med henblik herpå er følgende praksisser ikke
tilladt:
a) anvendelse af underliggende data for SMV/midtmarked på større
selskabslåntagere
b) anvendelser af data fra tilsagn, hvor der er "lille" uudnyttet grænse
til rådighed, på faciliteter, hvor der er "stor" uudnyttet grænse til
rådighed
c) anvendelse af data fra låntagere, der overtræder kontraktvilkårene,
eller er blokerede med hensyn til yderligere kreditudnyttelse, på
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låntagere uden kendt overtrædelse af kontraktvilkårene eller
relevante begrænsninger
d) anvendelse af data, der er påvirket af ændringer i låntagernes miks
af lån og andre kreditrelaterede produkter i observationsperioden,
medmindre disse data er blevet effektivt justeret ved at fjerne
virkningerne af ændringerne i produktmikset.
Med henblik på fjerde afsnit, litra d), skal institutterne over for de
kompetente myndigheder godtgøre, at de har en indgående forståelse af
virkningen af ændringer i kunder produktmiks på eksponeringernes
referencedatasæt og tilknyttede CCF-estimater, og at virkningen er
ubetydelig eller er blevet effektivt afbødet i deres estimeringsproces. I
den forbindelse anses følgende ikke for hensigtsmæssigt:
a) fastsættelse af gulve for CCF eller for observationer af
eksponeringsværdier
b) anvendelse af skøn på låntagerniveau, som ikke fuldt ud dækker de
relevante produkttransformationsmuligheder, eller som på en
uhensigtsmæssig måde kombinerer produkter med meget
forskellige karakteristika
c) justering af kun væsentlige observationer, der påvirkes af
produkttransformation
d) udelukkelse af observationer, der påvirkes af transformation af
produktprofiler."
b) Stk. 3, første afsnit, udgår.
c) Følgende tilføjes som stk. 5:
"5. EBA udarbejder i overensstemmelse med artikel 16 i forordning (EU)
nr. 1093/2010 retningslinjer med henblik på at præcisere, hvilken metode
institutter skal anvende til at estimere IRD-CCF.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den 31. december 2026.
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige
tekniske standarder, der er omhandlet i første afsnit, i overensstemmelse med
artikel 10-14 i forordning (EU) nr. 1093/2010."
(93) I artikel 183 foretages følgende ændringer:
a) Overskriften affattes således:
"Krav vedrørende vurdering af ufinansieret kreditafdæknings virkning i forbindelse
med eksponeringer mod selskaber, centralregeringer og centralbanker, hvor egne LGD-
estimater anvendes, samt i forbindelse med detaileksponeringer".
b) I stk. 1 foretages følgende ændringer:
i) Litra c) affattes således:
"c) Garantien skal foreligge på skrift, den må ikke kunne opsiges eller
ændres af garantistilleren, den skal gælde, indtil forpligtelsen er fuldt
indfriet i forhold til garantibeløbet og garantiens restløbetid, og den skal
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kunne håndhæves retligt over for garantistilleren i et land, hvor det er
muligt at gøre udlæg i garantistillerens aktiver og fuldbyrde en dom."
ii) Følgende indsættes som litra d) og e):
"d) Garantien skal være ubetinget.
e) "First-to-default"-kreditderivater kan indregnes som ufinansieret
kreditrisikoafdækning, men "second-to-default"-kreditderivater eller
mere generelt "nth-to-default"-kreditderivater må ikke indregnes som
ufinansieret kreditrisikoafdækning."
iii) Følgende afsnit tilføjes:
"Med henblik på litra d) forstås ved" ubetinget garanti" en garanti, hvor
kreditafdækningsaftalen ikke indeholder bestemmelser, hvis opfyldelse
ligger uden for det långivende instituts direkte kontrol, og som kan
forhindre, at garantistilleren forpligtes til at foretage en udbetaling
rettidigt, hvis den oprindelige låntager undlader at betale forfaldne beløb.
En bestemmelse i kreditrisikoafdækningsaftalen, der fastsætter, at det
långivende instituts manglende rettidige omhu eller svig ophæver eller
reducerer omfanget af den garanti, som garantistilleren tilbyder,
udelukker ikke, at garantien betragtes som ubetinget. Enhver
kreditrisikoafdækningsaftale, som i tilfælde af debitors svig kan opsiges,
eller hvor omfanget af kreditrisikoafdækningen kan forringes, betragtes
ikke som ubetinget.
Garantier, hvor garantistillerens betaling er betinget af, at det långivende
institut først skal retsforfølge låntageren, og som kun dækker de tab, der
er tilbage, efter at institutterne har afsluttet gældsomlægningsprocessen,
betragtes som ubetingede."
c) Følgende indsættes som stk. 1a:
"1a. Institutterne kan anerkende ufinansieret kreditrisikoafdækning ved at
anvende enten PD/LGD-modelleringsmetoden i overensstemmelse med denne
artikel og med forbehold af kravet i stk. 4 eller metoden med substitution af
risikoparametre i henhold til A-IRB, jf. artikel 236a, og med forbehold af
anerkendelseskravene i kapitel 4. Institutterne bør have klare politikker for
vurdering af virkningerne af ufinansieret kreditrisikoafdækning for
risikoparametre. Institutternes politikker skal være i overensstemmelse med
deres interne risikostyringspraksis og skal afspejle kravene i denne artikel.
Disse politikker skal klart angive, hvilke af de specifikke metoder beskrevet i
dette afsnit der anvendes for hvert ratingsystem, og institutterne skal anvende
disse politikker konsekvent over tid."
d) Stk. 4 affattes således:
"4. Hvis institutterne indregner ufinansieret kreditrisikoafdækning efter
PD/LGD-modelleringsmetoden, tildeles den dækkede del af den underliggende
eksponering ikke en risikovægt, som ville være lavere end RW-gulvet for
udbyderen af kreditrisikoafdækning. Med henblik herpå beregnes RW-gulvet
for udbyderen af kreditrisikoafdækning ved hjælp af samme PD, samme LGD
og samme risikovægtningsfunktion som dem, der anvendes for
sammenlignelige direkte eksponeringer mod udbyderen af
kreditrisikoafdækning, jf. artikel 236a."
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e) Stk. 6 udgår.
(94) Tredje del, afsnit II, kapitel 3, afdeling 6, underafdeling 4 udgår.
(95) I artikel 192 tilføjes følgende som nr. 5)-8):
"5) "metode med substitution af risikovægt i henhold til SA": substitution i
overensstemmelse med artikel 235 af den underliggende eksponerings risikovægt
med den risikovægt, der efter standardmetoden anvendes på en sammenlignelig
direkte eksponering mod udbyderen af kreditrisikoafdækning
6) "metode med substitution af risikovægt i henhold til IRB": substitution i
overensstemmelse med artikel 235a af den underliggende eksponerings risikovægt
med den risikovægt, der efter standardmetoden anvendes på en sammenlignelig
direkte eksponering mod udbyderen af kreditrisikoafdækning
"7) "metode med substitution af risikoparametre i henhold til F-IRB": substitution i
overensstemmelse med artikel 236 af den underliggende eksponerings PD- og LGD-
risikoparametre med de tilsvarende PD'er og LGD'er, der uden anvendelse af egne
LGD-estimater efter IRB-metoden ville blive tildelt en sammenlignelig direkte
eksponering mod udbyderen af kreditrisikoafdækning
"8) "metode med substitution af risikoparametre i henhold til A-IRB": substitution i
overensstemmelse med artikel 236a af den underliggende eksponerings PD- og
LGD-risikoparametre med de tilsvarende PD'er og LGD'er, der med anvendelse af
egne LGD-estimater efter IRB-metoden ville blive tildelt en sammenlignelig direkte
eksponering mod udbyderen af kreditrisikoafdækning."
(96) I artikel 193 tilføjes følgende som stk. 7:
"7. Sikkerhed, der opfylder alle indregningskravene i dette kapitel, kan indregnes
som sådan, selv for eksponeringer i forbindelse med uudnyttede faciliteter. Hvis træk
på faciliteten er betinget af forudgående eller samtidig køb eller modtagelse af
sikkerhed i et omfang svarende til instituttets interesse i sikkerheden, når der trækkes
på faciliteten, således at instituttet ikke har nogen interesse i sikkerheden, i det
omfang der ikke trækkes på faciliteten, kan en sådan sikkerhed indregnes for den
eksponering, der opstår som følge af den uudnyttede facilitet."
(97) Artikel 194, stk. 10, udgår.
(98) I artikel 197, stk. 1, foretages følgende ændringer:
a) Litra b)-e) affattes således:
"b) gældsinstrumenter, der opfylder samtlige følgende betingelser:
i) gældsinstrumenterne er udstedt af centralregeringer eller centralbanker
ii) der foreligger en kreditvurdering for gældsinstrumenterne, der er
foretaget af et ECAI eller et eksportkreditagentur, som:
– er blevet anerkendt med henblik på kapitel 2
– af EBA er blevet henført til kreditkvalitetstrin 1, 2, 3 eller 4 i
henhold til reglerne i kapitel 2 om risikovægtning af eksponeringer
mod centralregeringer og centralbanker
c) gældsinstrumenter, der opfylder samtlige følgende betingelser:
i) disse gældsinstrumenter er udstedt af institutter
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ii) der foreligger en kreditvurdering for disse gældsinstrumenter, der er
foretaget af et ECAI, som:
– er blevet anerkendt med henblik på kapitel 2
– af EBA er blevet henført til kreditkvalitetstrin 1, 2, eller 3 i henhold
til reglerne i kapitel 2 om risikovægtning af eksponeringer mod
selskaber
d) gældsinstrumenter, der opfylder samtlige følgende betingelser:
i) disse gældsinstrumenter er udstedt af andre institutter
ii) der foreligger en kreditvurdering for disse gældsinstrumenter, der er
foretaget af et ECAI, og som opfylder samtlige følgende betingelser:
– ECAI'et er blevet anerkendt med henblik på kapitel 2
– ECAI'et er af EBA blevet henført til kreditkvalitetstrin 1, 2, eller 3 i
henhold til reglerne i kapitel 2 om risikovægtning af eksponeringer
mod institutter
e) gældsinstrumenter, for hvilke der foreligger en kortsigtet
kreditvurdering, der er foretaget af et ECAI, og som opfylder samtlige følgende
betingelser:
i) ECAI'et er blevet anerkendt med henblik på kapitel 2 og
ii) ECAI'et er af EBA blevet henført til kreditkvalitetstrin 1, 2, eller 3 i
henhold til reglerne i kapitel 2 om risikovægtning af kortfristede
eksponeringer mod institutter".
b) Litra g) affattes således:
"g) fysisk guld".
(99) I artikel 199 foretages følgende ændringer:
a) Stk. 2 affattes således:
"2. Medmindre andet følger af artikel 124, stk. 7, kan institutterne anvende
beboelsesejendom, som er eller vil blive beboet eller udlejet af ejeren eller af
den begunstigede ejer i tilfælde af personlige investeringsselskaber, og
erhvervsejendomme, dvs. kontor- og andre forretningsejendomme, som
anerkendt sikkerhed, hvis følgende to betingelser er opfyldt:
a) Ejendommens værdi afhænger ikke i væsentlig grad af låntagerens
kreditværdighed.
b) Risikoen ved låntageren afhænger ikke i væsentlig grad af afkastet fra
den underliggende ejendom eller det underliggende projekt, men af
låntagerens grundlæggende evne til at indfri gælden på anden vis, og
indfrielsen af den pågældende facilitet afhænger således ikke i væsentlig
grad af, hvilke pengestrømme den underliggende ejendom, der er stillet
som sikkerhed, måtte generere.
Med henblik på litra a) kan institutterne udelukke situationer, hvor rent
makroøkonomiske faktorer påvirker både ejendommens værdi og låntagerens
betalingsevne. "
b) Stk. 3, litra a), affattes således:
DA 124 DA
"a) Tab i forbindelse med lån med sikkerhed i beboelsesejendom op til 55 % af
værdien fastsat i overensstemmelse med artikel 229, jf. dog artikel 124, stk. 7,
må ikke overstige 0,3 % af de udestående lån med sikkerhed i
beboelsesejendom inden for et givet år."
c) Stk. 4, litra a), affattes således:
"a) Tab i forbindelse med lån med sikkerhed i erhvervsejendom op til 55 % af
værdien fastsat i overensstemmelse med artikel 229, jf. dog artikel 124, stk. 7,
må ikke overstige 0,3 % af de udestående lån med sikkerhed i erhvervsejendom
inden for et givet år."
d) I stk. 5 tilføjes følgende afsnit:
"Hvis et offentligt udviklingskreditinstitut som defineret i artikel 429a, stk. 2,
udsteder et støttelån som defineret i artikel 429a, stk. 3, til et andet institut eller
et finansieringsinstitut, der har tilladelse til at udføre aktiviteter som omhandlet
i punkt 2 eller 3 i bilag I til direktiv 2013/36/EU, og som opfylder
betingelserne i henhold til artikel 119, stk. 5, i denne forordning, og hvis dette
andet institut eller finansieringsinstitut direkte eller indirekte videregiver dette
støttelån til en ultimativ låntager og cederer fordringen fra det modtagne
støttelån som sikkerhed til det offentlige udviklingskreditinstitut, kan det
offentlige udviklingskreditinstitut anvende den cederede fordring som
sikkerhed, der kan indregnes, uanset den cederede fordrings oprindelige
løbetid."
e) Stk. 6, første afsnit, litra d), affattes således:
"d) instituttet påviser, at indtægterne fra sikkerhed ikke er under 70 % af
sikkerhedens værdi i mindst 90 % af alle realiseringer for en given type
sikkerhed. Hvis der er væsentlig volatilitet i markedspriserne, godtgør
instituttet til de kompetente myndigheders tilfredshed, at dets vurdering af
sikkerheden er tilstrækkeligt konservativ."
(100) I artikel 201 foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) Litra d) affattes således:
" d) internationale organisationer, der tildeles en risikovægt på 0 % i
overensstemmelse med artikel 118".
ii) Følgende indsættes som litra fa):
"fa) regulerede enheder i den finansielle sektor".
iii) Litra g) affattes således:
"g) hvis kreditrisikoafdækningen ikke ydes til en
securitiseringseksponering, andre virksomheder, der har en
kreditvurdering fra et ECAI, herunder låntagerens moderselskaber,
datterselskaber eller tilknyttede enheder, hvis disse moderselskaber,
datterselskaber eller tilknyttede enheder har en lavere risikovægt end
låntagerens risikovægt".
iv) Følgende indsættes som litra ga):
"ga) hvis kreditrisikoafdækningen ydes til en securitiseringseksponering,
andre virksomheder, der har en kreditvurdering fra et ECAI på
DA 125 DA
kreditkvalitetstrin 1, 2 eller 3, og som havde en kreditvurdering på
kreditkvalitetstrin 1 eller 2 på det tidspunkt, hvor
kreditrisikoafdækningen blev ydet, herunder låntagerens moderselskaber,
datterselskaber og tilknyttede enheder, hvis disse moderselskaber,
datterselskaber eller tilknyttede enheder har en lavere risikovægt end
låntagerens risikovægt".
v) Følgende afsnit tilføjes:
"Med henblik på litra fa) forstås ved "reguleret enhed i den finansielle
sektor "en enhed i den finansielle sektor, der opfylder betingelsen i
artikel 142, stk. 1, nr. 4), litra b)."
b) Stk. 2 affattes således:
"2. Ud over de udbydere af kreditrisikoafdækning, der er anført i stk. 1, er
selskaber, for hvilke der foreligger en intern rating i overensstemmelse med
kapitel 3, afdeling 6, anerkendte udbydere af ufinansieret
kreditrisikoafdækning, hvis instituttet behandler disse selskaber efter IRB-
metoden."
(101) Artikel 202 udgår.
(102) I artikel 204 tilføjes følgende som stk. 3:
"3. "First-to-default"-kreditderivater og alle andre "nth-to-default"-kreditderivater må
ikke være former for ufinansieret kreditrisikoafdækning, der kan indregnes, i henhold
til dette kapitel.
Risikovægtede eksponeringsbeløb beregnes for "first-to-default"-kreditderivater.
Med henblik herpå aggregeres risikovægtene for de underliggende aktiver i kurven
op til højst 1250 % og multipliceres med den nominelle værdi af den afdækning, der
ydes af kreditderivatet, for at nå frem til det risikovægtede eksponeringsbeløb for
eksponeringen i forbindelse med det pågældende derivat.
For så vidt angår "second to default"-kreditderivater er behandlingen identisk, bortset
fra at ved aggregeringen af risikovægtene medtages det underliggende aktiv med det
laveste risikovægtede eksponeringsbeløb ikke i beregningen. En sådan behandling
finder også anvendelse på "nth-to-default"-kreditderivater, hvor n-1-aktiver med de
laveste risikovægtede eksponeringer udelukkes fra beregningen."
(103) I artikel 208 foretages følgende ændringer:
a) I stk. 3 foretages følgende ændringer:
i) I litra b) tilføjes følgende punktummer:
"Ejendommens værdi må ikke overstige den gennemsnitlige værdi, der er
målt for den pågældende ejendom eller for en sammenlignelig ejendom i
de seneste tre år, når det drejer sig om erhvervsejendom, og i de sidste
seks år, når det drejer sig om beboelsesejendom. Ændringer af
ejendommen, som forbedrer bygningens eller boligenhedens
energieffektivitet, betragtes som ændringer, der uden tvivl forøger dens
værdi."
ii) Andet afsnit udgår.
b) Følgende indsættes som stk. 3a:
DA 126 DA
"3a. I overensstemmelse med stk. 3 og med forbehold af de kompetente
myndigheders godkendelse kan institutterne foretage værdiansættelsen og den
fornyede værdiansættelse af ejendomsværdien ved hjælp af avancerede
statistiske eller andre matematiske metoder ("modeller"), der er udviklet
uafhængigt af kreditbeslutningsprocessen, forudsat at følgende betingelser er
opfyldt:
a) Institutterne fastsætter i deres politikker og procedurer kriterierne for
anvendelse af modeller til vurdering, fornyet vurdering og overvågning
af sikkerhedens værdi. Disse politikker og procedurer tager hensyn til
sådanne modellers dokumenterede resultater, de ejendomsspecifikke
variabler, der er taget i betragtning, anvendelsen af tilgængelige og
nøjagtige minimumsoplysninger og modellernes usikkerhed.
b) Institutterne sikrer, at de anvendte modeller er:
i) ejendoms- og lokalitetsspecifikke med en tilstrækkelig
detaljeringsgrad
ii) gyldige og nøjagtige og underlagt en robust og regelmæssig "back-
testing" i forhold til de faktiske observerede transaktionspriser
iii) baseret på en tilstrækkelig stor og repræsentativ stikprøve baseret
på observerede transaktionspriser
iv) baseret på ajourførte data af høj kvalitet.
c) Institutterne er i sidste ende ansvarlige for modellernes
hensigtsmæssighed og resultater, vurderingsmanden, jf. stk. 3, litra b), er
ansvarlig for den værdiansættelse, der foretages ved hjælp af modellerne,
og institutterne forstår de anvendte modellers metodologi, inputdata og
antagelser.
d) Institutterne sikrer, at dokumentationen for modellerne er ajourført.
e) Institutterne råder over hensigtsmæssige IT-processer, -systemer og -
kapacitet og over tilstrækkelige og nøjagtige data til en modelbaseret
værdiansættelse eller fornyet værdiansættelse af sikkerheden.
f) Estimaterne af modeller valideres uafhængigt, og valideringsprocessen er
generelt i overensstemmelse med principperne i artikel 185, og den
uafhængige vurderingsmand, der er omhandlet i stk. 3, litra b), er
ansvarlig for de endelige værdier, som instituttet anvender med henblik
på dette kapitel."
c) Stk. 5 affattes således:
"5. Den faste ejendom, der anvendes som kreditrisikoafdækning, skal være
tilstrækkeligt forsikret mod skader, og institutterne skal råde over procedurer til
overvågning af, om forsikringen er hensigtsmæssig."
(104) I artikel 210, tilføjes følgende afsnit:
"Hvis generelle aftaler om sikkerhed eller andre former for flydende pant giver det
långivende institut en registreret fordring på et selskabs aktiver, og hvis fordringen
både omfatter aktiver, der ikke kan indregnes som sikkerhed efter IRB-metoden, og
aktiver, der kan indregnes som sikkerhed efter IRB-metoden, kan instituttet indregne
disse sidstnævnte aktiver som finansieret kreditrisikoafdækning, der kan indregnes. I
DA 127 DA
så fald er denne indregning betinget af, at disse aktiver opfylder kravene til, at
sikkerhed kan indregnes efter IRB-metoden som fastsat i dette kapitel."
(105) Artikel 213, stk. 1, affattes således:
"1. Med forbehold af artikel 214, stk. 1, kan kreditrisikoafdækning fra en garanti eller
et kreditderivat som ufinansieret kreditrisikoafdækning indregnes, hvis samtlige
følgende krav er opfyldt:
a) Kreditrisikoafdækningen er direkte.
b) Omfanget af kreditrisikoafdækningen er klart fastsat og uomtvisteligt.
c) Kontrakten vedrørende kreditrisikoafdækningen indeholder ikke bestemmelser,
hvis opfyldelse ligger uden for det långivende instituts direkte kontrol, og som:
i) vil give udbyderen mulighed for ensidigt at ophæve eller ændre
kreditrisikoafdækningen
ii) vil øge de reelle omkostninger ved kreditrisikoafdækningen som følge af
forringet kreditkvalitet for den afdækkede eksponering
iii) kan forhindre, at udbyderen forpligtes til at foretage en udbetaling
rettidigt, hvis den oprindelige låntager undlader at betale forfaldne beløb,
eller hvis lejekontrakten er udløbet i forbindelse med anerkendelse af en
garanteret restværdi i henhold til artikel 134, stk. 7, og artikel 166, stk. 4
iv) kan give udbyderen mulighed for at afkorte kreditrisikoafdækningens
løbetid.
d) Kontrakten vedrørende kreditrisikoafdækningen har retskraft og kan fuldbyrdes
i alle relevante jurisdiktioner på tidspunktet for indgåelse af kreditaftalen.
Med henblik på litra c) udelukker en bestemmelse i kreditrisikoafdækningsaftalen,
der fastsætter, at det långivende instituts manglende rettidige omhu eller svig
ophæver eller reducerer omfanget af den kreditrisikoafdækning, som garantistilleren
tilbyder, ikke, at kreditrisikoafdækningen betragtes som anerkendt. Enhver
kreditrisikoafdækningsaftale, som i tilfælde af debitors svig kan opsiges, eller hvor
omfanget af kreditrisikoafdækningen kan forringes, betragtes som en
kreditrisikoafdækning, der ikke opfylder disse krav.
Med henblik på litra c) kan udbyderen af kreditrisikoafdækning betale et
engangsbeløb for alle skyldige beløb under fordringen eller påtage sig låntagerens
fremtidige betalingsforpligtelser, der er omfattet af kreditafdækningsaftalen."
(106) I artikel 215 foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) Litra a) affattes således:
"a) Hvis låntageren misligholder aftalen eller undlader at betale, har det
långivende kreditinstitut ret til i tide at retsforfølge garantistilleren for
alle skyldige beløb under fordringen, for hvilken der er stillet sikkerhed."
ii) Følgende afsnit tilføjes:
"Garantistillerens betaling må ikke være betinget af, at det långivende
institut først er nødt til at retsforfølge låntager.
DA 128 DA
I tilfælde af ufinansieret kreditafdækning for realkreditlån skal kravene i
artikel 213, stk. 1, litra c), nr. iii), og i første afsnit i nærværende litra blot
opfyldes inden for en periode på 24 måneder."
b) Stk. 2 affattes således:
"2. For så vidt angår garantier, som ydes i forbindelse med gensidige
garantiordninger, eller som udstedes eller regaranteres af de enheder, der er
opstillet i artikel 214, stk. 2, anses kravene i stk. 1, litra a) i nærværende artikel
og i artikel 213, stk. 1, litra c), nr. iii), for at være opfyldt, når en af følgende
betingelser er opfyldt:
a) I tilfælde af låntagers misligholdelse eller i tilfælde af, at den oprindelige
låntager undlader at betale forfaldne beløb, har det långivende institut ret
til en rettidig foreløbig betaling fra garantistilleren, som opfylder begge
følgende betingelser:
i) Den foreløbige betaling beregnes som et rimeligt skøn over det tab,
som det långivende institut forventeligt vil blive påført, herunder
tab, der skyldes manglende betaling af renter og andre typer
betalinger, som låntager er forpligtet til at foretage.
ii) Den foreløbige betaling står i forhold til garantidækningen.
b) Det långivende institut kan til de kompetente myndigheders tilfredshed
godtgøre, at virkningerne af garantien, der også omfatter tab som følge af
manglende betaling af renter og andre typer betalinger, som låntager er
forpligtet til at foretage, berettiger til en sådan behandling."
(107) I artikel 216 tilføjes følgende som stk. 3:
"3. Uanset stk. 1 er det for en erhvervseksponering, der er dækket af et kreditderivat,
ikke nødvendigt at angive den kreditbegivenhed, der er omhandlet i nævnte stykkes
litra a), nr. iii), i derivatkontrakten, forudsat at samtlige følgende betingelser er
opfyldt:
a) Der kræves en afstemning, hvor 100 % af de afgivne stemmer er for at ændre
status med hensyn til løbetid, hovedstol, kuponrente, valuta eller rangorden for
den underliggende erhvervseksponering.
b) det juridiske hjemsted, hvor erhvervseksponeringer er reguleret, har en
veletableret konkurslov, der gør det muligt for et selskab at omorganisere og
omstrukturere, og sikrer en velordnet afvikling af kreditorers fordringer.
Hvis betingelserne i litra a) og b) ikke er opfyldt, kan kreditrisikoafdækningen
alligevel indregnes, på betingelse af at der foretages en nedskrivning af værdien som
fastsat i artikel 233, stk. 2."
(108) Artikel 217 udgår.
(109) Artikel 219 affattes således:
"Artikel 219
Balanceført netting
Lån til og indskud hos det långivende institut, som er omfattet af balanceført netting,
skal af dette institut behandles som kontant sikkerhed i forbindelse med beregning af
DA 129 DA
virkningerne af finansieret kreditrisikoafdækning for de lån og indskud hos det
långivende institut, som er omfattet af balanceført netting."
(110) I artikel 220 foretages følgende ændringer:
a) Titlen affattes således:
"Brug af tabelmetoden af volatilitetsjusteringer i forbindelse med rammeaftaler om
netting".
b) Stk. 1 affattes således:
"1. Institutter, der beregner den "fuldt justerede eksponeringsværdi" (E*) for
eksponeringer, der er omfattet af en anerkendt rammeaftale om netting, der
dækker værdipapirfinansieringstransaktioner eller andre
kapitalmarkedstransaktioner, skal beregne de volatilitetsjusteringer, som de
skal anvende, enten ved brug af tabelmetoden af volatilitetsjusteringer, jf.
artikel 223-227 for den udbyggede metode for finansielle sikkerheder."
c) Stk. 2, litra c), affattes således:
"c) anvende værdien af volatilitetsjusteringen eller, hvis det er relevant, den
volatilitetsjustering for absolut værdi, der er relevant for en given gruppe
værdipapirer eller for en given type råvarer, på den absolutte værdi af den
positive eller negative nettoposition i værdipapirerne i den pågældende gruppe
af værdipapirer eller på råvarer af den pågældende type råvarer".
d) Stk. 3 affattes således:
"3. Institutterne beregner E* efter følgende formel:
𝐸∗
= max (0; ∑ 𝐸𝑖
𝑖
− ∑ 𝐶𝑗
𝑗
+ 0,4 ⋅ 𝐸net + 0,6 ⋅
𝐸gross
√𝑁
+ ∑|𝐸𝑘
fx
| ⋅ 𝐻𝑘
fx
𝑘
)
hvor:
i = indekset for alle separate værdipapirer, råvarer eller kontantpositioner
i henhold til aftalen, som enten udlånes, sælges med en genkøbsaftale eller
stilles af instituttet over for modparten
j = indekset for alle separate værdipapirer, råvarer eller kontantpositioner
i henhold til aftalen, som enten lånes, købes med en gensalgsaftale eller
besiddes af instituttet
k = indekset for alle separate valutaer, hvori værdipapirer, råvarer eller
kontantpositioner i henhold til aftalen er denomineret
𝐸𝑖 = eksponeringsværdien af et givet værdipapir, en given råvare eller en
given kontantposition i,, som enten udlånes, sælges med en genkøbsaftale eller
stilles over for modparten i henhold til den aftale, der ville være gældende, hvis
der ikke var anvendt kreditrisikoafdækning, når institutterne beregner de
risikovægtede eksponeringsbeløb i overensstemmelse med kapitel 2 eller
kapitel 3, alt efter hvad der er relevant
𝐶𝑗 = værdien af et givet værdipapir, en given råvare eller en given
kontantposition i,, som enten lånes, købes med en gensalgsaftale eller besiddes
af instituttet i henhold til aftalen
DA 130 DA
𝐸𝑘
fx
= nettopositionen (positiv eller negativ) i en given valuta k bortset fra
afregningsvalutaen for aftalen som beregnet i overensstemmelse med stk. 2,
litra b)
𝐻𝑘
fx
= volatilitetsjusteringen for valutakursrisici for valuta k.
𝐸𝑛et = aftalens nettoeksponering beregnet som følger:
𝐸𝑛et = |∑|𝐸𝑙
sec
| ⋅ 𝐻𝑙
sec
𝑁
𝑙=1
|
hvor:
l = indekset for alle forskellige grupper af samme værdipapirer og alle
forskellige typer af samme råvarer i henhold til aftalen
𝐸𝑙
sec
= nettopositionen (positiv eller negativ) i en given gruppe værdipapirer
l eller en given type råvarer l i henhold til aftalen, beregnet i overensstemmelse
med stk. 2, litra a)
𝐻𝑙
sec
= den volatilitetsjustering, der anvendes for en given gruppe
værdipapirer l eller en given type råvarer l, bestemt i overensstemmelse med
stk. 2, litra c) Fortegnet for 𝐻𝑙
sec
bestemmes som følger:
a) Den skal have et positivt fortegn, når gruppen af værdipapirer l udlånes,
sælges med en genkøbsaftale eller indgår i en transaktion på en måde, der
svarer til enten udlån af værdipapirer eller en genkøbsaftale.
b) Den skal have et negativ fortegn, når gruppen af værdipapirer l lånes,
købes med en gensalgsaftale eller indgår i en transaktion på en måde, der
svarer til enten lån af værdipapirer eller en omvendt genkøbsaftale.
N = det samlede antal forskellige grupper af samme værdipapirer og
forskellige typer af samme råvarer i henhold til aftalen; med henblik på denne
beregning medregnes ikke de grupper og typer 𝐸𝑙
sec
, for hvilke |𝐸𝑙
sec
| er mindre
end
1
10
max
𝑙
(|𝐸𝑙
sec
|)
𝐸𝑔𝑟𝑜𝑠𝑠 = aftalens bruttoeksponering beregnet som følger:
𝐸gross = ∑ |𝐸𝑙
sec
| ⋅ |𝐻𝑙
sec
|
𝑁
𝑙=1 ."
(111) I artikel 221 foretages følgende ændringer:
a) Stk. 1, 2 og 3 affattes således:
"1. Med henblik på beregning af risikovægtede eksponeringsbeløb og værdien
af forventede tab for værdipapirfinansieringstransaktioner eller andre
kapitalmarkedstransaktioner, bortset fra derivattransaktioner, der er omfattet af
en anerkendt rammeaftale om netting, som opfylder kravene i kapitel 6,
afdeling 7, kan et institut beregne aftalens fuldt justerede eksponeringsværdi
(E*) ved hjælp af metoden med interne modeller, forudsat at instituttet opfylder
betingelserne i stk. 2.
2. Et institut kan anvende metoden med interne modeller, hvis samtlige
følgende betingelser er opfyldt:
a) Instituttet anvender kun denne metode for eksponeringer, for hvilke de
risikovægtede eksponeringer beregnes efter IRB-metoden, jf. kapitel 3.
DA 131 DA
b) Instituttet har fået tilladelse til at anvende denne metode af dets
kompetente myndigheder.
3. Et institut, der anvender metoden med interne modeller, skal gøre dette for
alle modparter og værdipapirer, med undtagelse af immaterielle porteføljer, for
hvilke det kan anvende tabelmetoden af volatilitetsjusteringer, jf. artikel 220."
b) Stk. 8 udgår.
(112) I artikel 223 foretages følgende ændringer:
a) Stk. 4, litra b), affattes således:
"b) For ikkebalanceførte poster, bortset fra derivater, der behandles efter IRB-
metoden, beregner institutterne deres eksponeringsværdier ved hjælp af CCF'er
på 100 % i stedet for de SA-CCF'er eller IRB-CCF'er, der er omhandlet i
artikel 166, stk. 8, 8a og 8b."
b) Stk. 6 affattes således:
"6. Institutterne beregner volatilitetsjusteringer ved brug af tabelmetoden af
volatilitetsjusteringer, der er omhandlet i artikel 224-227."
(113) Artikel 224, stk. 1, tabe- 1-4, affattes således:
"Tabel 1
Kredi
tkvali
tets-
trin,
som
kredi
tvurd
ering
en af
gæld
sinstr
umen
tet er
henfø
rt til
Re
stl
øb
eti
d
(m
)
udt
ryk
t i
år
Volatilitetsjusteringer
for gældsinstrumenter
udstedt af de i artikel
197, stk. 1, litra b),
omhandlede enheder
Volatilitetsjusteringer
for gældsinstrumenter
udstedt af de i artikel
197, stk. 1, litra c) og
d), omhandlede
enheder
Volatilitetsjusteringer
for
securitiseringspositio
ner og opfyldelse af
kriterierne i artikel
197, stk. 1, litra h)
20-
dages
likvid
ations
perio
de
(%)
10-
dages
likvid
ations
perio
de
(%)
5-
dages
likvid
ations
perio
de
(%)
20-
dages
likvid
ations
perio
de
(%)
10-
dages
likvid
ations
perio
de
(%)
5-
dages
likvid
ations
perio
de
(%)
20-
dages
likvid
ations
perio
de
(%)
10-
dages
likvid
ations
perio
de
(%)
5-
dages
likvid
ations
perio
de
(%)
1 m
≤ 1
0,707 0,5 0,354 1,414 1 0,707 2,828 2 1,414
1 <
m
2,828 2 1,414 4,243 3 2,121 11,31
4
8 5,657
DA 132 DA
≤ 3
3 <
m
≤ 5
2,828 2 1,414 5,657 4 2,828 11,31
4
8 5,657
5 <
m
≤
10
5,657 4 2,828 8,485 6 4,243 22,62
7
16 11,31
4
m
>
10
5,657 4 2,828 16,97
1
12 8,485 22,62
7
16 11,31
4
2-3 m
≤ 1
1,414 1 0,707 2,828 2 1,414 5,657 4 2,828
1 <
m
≤ 3
4,243 3 2,121 5,657 4 2,828 16,97
1
12 8,485
3 <
m
≤ 5
4,243 3 2,121 8,485 6 4,243 16,97
1
12 8,485
5 <
m
≤
10
8,485 6 4,243 16,97
1
12 8,485 33,94
1
24 16,97
1
m
>
10
8,485 6 4,243 28,28
4
20 14,14
2
33,94
1
24 16,97
1
4 all
e
21,21
3
15 10,60
7
ITR ITR ITR ITR ITR ITR
Tabel 2
Kredi
tkvali
tetstri
n,
som
kredit
vurde
ringe
n af
et
gældi
Re
stl
øb
eti
d
(m
)
udt
ryk
t i
år
Volatilitetsjusteringer
for gældsinstrumenter
udstedt af de i artikel
197, stk. 1, litra b),
omhandlede enheder
med kreditvurderinger
med kort løbetid
Volatilitetsjusteringer
for gældsinstrumenter
udstedt af de i artikel
197, stk. 1, litra c) og
d), omhandlede
enheder med
kreditvurderinger
med kort løbetid
Volatilitetsjusteringer
for
securitiseringspositio
ner og opfyldelse af
kriterierne i artikel
197, stk. 1, litra h),
med
kreditvurderinger
med kort løbetid
DA 133 DA
nstru
ment
med
kort
løbeti
d er
henfø
rt til
20-
dages
likvid
ations
perio
de
(%)
10-
dages
likvid
ations
perio
de
(%)
5-
dages
likvid
ation
speri
ode
(%)
20-
dages
likvid
ation
speri
ode
(%)
10-
dages
likvid
ation
speri
ode
(%)
5-
dages
likvid
ation
speri
ode
(%)
20-
dages
likvid
ation
speri
ode
(%)
10-
dages
likvid
ation
speri
ode
(%)
5-
dages
likvid
ation
speri
ode
(%)
1 0,707 0,5 0,354 1,414 1 0,707 2,828 2 1,414
2-3 1,414 1 0,707 2,828 2 1,414 5,657 4 2,828
Tabel 3
Andre typer sikkerheder eller eksponeringer
20-dages
likvidationsperiode (%)
10-dages
likvidationsperiod
e (%)
5-dages
likvidations
periode (%)
Aktier mv. i hovedindekser,
konvertible obligationer i
hovedindekser
28,284 20 14,142
Andre aktier mv. eller
konvertible obligationer
noteret på en anerkendt børs
42,426 30 21,213
Kontanter 0 0 0
Fysisk guld 28,284 20 14,142
Tabel 4
Volatilitetsjustering for valutamismatch (Hfx)
20-dages
likvidationsperiode
(%)
10-dages
likvidationsperiode
(%)
5-dages
likvidationsperiode
(%)
11,314 8 5,657
".
DA 134 DA
(114) Artikel 225 udgår.
(115) Artikel 226 affattes således:
"Artikel 226
Opskalering af volatilitetsjusteringer i forbindelse med den udbyggede metode for
finansielle sikkerheder
De volatilitetsjusteringer, der beskrives i artikel 224, er de volatilitetsjusteringer, et
institut skal bruge, når der anvendes daglige værdiansættelser. Hvis værdiansættelsen
sker mindre hyppigt end daglig, skal institutterne anvende større
volatilitetsjusteringer. Institutterne beregner dem ved at opskalere den daglige
værdiansættelse af volatilitetsjusteringerne ved hjælp af følgende formel for
kvadratroden af tiden:
𝐻 = 𝐻𝑀 ⋅ √
𝑁𝑅 + (𝑇𝑀 − 1)
𝑇𝑀
hvor:
H = den volatilitetsjustering, der skal anvendes
𝐻𝑀 = volatilitetsjusteringen, når der anvendes daglig værdiansættelse
𝑁𝑅 = det faktiske antal arbejdsdage mellem værdiansættelserne
𝑇𝑀 = likvidationsperioden for den pågældende transaktionstype."
(116) Artikel 227, stk. 1, affattes således:
"1. Institutter, der anvender tabelmetoden af volatilitetsjusteringer, jf. artikel 224, kan
for genkøbstransaktioner og transaktioner vedrørende ind- eller udlån af værdipapirer
anvende en volatilitetsjustering på 0 % i stedet for de volatilitetsjusteringer, der er
beregnet i henhold til 224-226, forudsat at betingelserne i stk. 2, litra a)-h), er
opfyldt. Institutter, som anvender den i artikel 221 omhandlede metode med interne
modeller, anvender ikke den behandling, der er beskrevet i denne artikel."
(117) I artikel 228 foretages følgende ændringer:
a) Titlen affattes således:
"Beregning af risikovægtede eksponeringsbeløb efter den udbyggede metode for
finansielle sikkerheder for eksponeringer efter standardmetoden".
b) Stk. 2 udgår.
(118) I artikel 229 foretages følgende ændringer:
a) Titlen affattes således:
"Værdiansættelsesprincipper for andre anerkendte sikkerheder end finansiel
sikkerheder".
b) Stk. 1 affattes således:
"1. Værdiansættelsen af fast ejendom skal opfylde samtlige følgende krav:
a) Værdien vurderes uafhængigt af et instituts procedure for långivning,
behandling af lån og låneafgørelse af en uafhængig vurderingsmand, der
DA 135 DA
har de nødvendige kvalifikationer, evner og erfaringer til at foretage en
værdiansættelse.
b) Værdien vurderes ud fra forsigtigt konservative værdiansættelseskriterier,
som opfylder samtlige følgende krav:
i) Værdien omfatter ikke forventninger til prisstigninger.
ii) Værdien justeres for at tage højde for muligheden for, at den
aktuelle markedspris ligger betydeligt over den værdi, der ville
være bæredygtig i lånets løbetid.
c) Værdien er ikke højere end markedsværdien for den faste ejendom, hvis
en sådan markedsværdi kan fastsættes.
Værdien af sikkerheden skal afspejle resultaterne af den overvågning, der
kræves i henhold til artikel 208, stk. 3, samt tage hensyn til eventuelle
foranstående krav på den faste ejendom."
(119) Artikel 230 affattes således:
"Artikel 230
Beregning af risikovægtede eksponeringsbeløb og værdien af forventede tab for en
eksponering med en anerkendt FCP efter IRB-metoden
1. Efter IRB-metoden anvender institutterne — undtagen for de eksponeringer, der er
omfattet af artikel 220 — det faktiske LGD (LGD*) som LGD med henblik på
kapitel 3 til at indregne finansieret kreditrisikoafdækning, der er anerkendt i henhold
til nærværende kapitel. Institutterne beregner LGD* som følger:
𝐿𝐺𝐷∗
= 𝐿𝐺𝐷𝑈 ⋅
𝐸𝑈
𝐸 ⋅ (1 + 𝐻𝐸)
+ 𝐿𝐺𝐷𝑆 ⋅
𝐸𝑆
𝐸 ⋅ (1 + 𝐻𝐸)
hvor:
E = eksponeringsværdien, inden der tages hensyn til virkningen af den
finansierede kreditrisikoafdækning. For eksponeringer, for hvilke der er stillet
finansiel sikkerhed, der er anerkendt i overensstemmelse med dette kapitel, beregnes
dette beløb i overensstemmelse med artikel 223, stk. 3. For så vidt angår udlånte eller
stillede værdipapirer skal dette beløb svare til de udlånte kontante eller udlånte eller
stillede værdipapirer. For udlånte eller stillede værdipapirer forhøjes
eksponeringsværdien ved anvendelse af volatilitetsjusteringen (HE) i
overensstemmelse med artikel 223-227
ES = den aktuelle værdi af den modtagne finansierede kreditrisikoafdækning efter
anvendelse af den volatilitetsjustering, der gælder for den type finansieret
kreditrisikoafdækning (HC), og anvendelse af volatilitetsjusteringen for
valutamismatches (Hfx) mellem eksponeringen og den finansierede
kreditrisikoafdækning i overensstemmelse med stk. 2 og 2a. ES begrænses til
følgende værdi: E·(1+HE)
EU = E·(1+HE) - ES
LGDU = det gældende LGD for en usikret eksponering, jf. artikel 161, stk. 1
LGDS = det gældende LGD for eksponeringer sikret ved den type anerkendt FCP, der
anvendes i transaktionen, jf. stk. 2, tabel 2aaa.
DA 136 DA
2. I tabel 2aaa angives de værdier af LGDS og Hc, der anvendes i den formel, der er
fastsat i stk. 1.
Tabel 2aaa
Type FCP LGDS Volatilitetsjustering (Hc)
Finansiel sikkerhed 0 %
Volatilitetsjustering Hc, jf.
artikel 224-227.
Fordringer 20 % 40 %
Beboelsesejendomme/
erhvervsejendomme
20 % 40 %
Anden fysisk
sikkerhed
25 % 40 %
Ikke anderkendt FCP
Ikke
relevant
100 %
2a. Hvis en anerkendt finansieret kreditrisikoafdækning er denomineret i en anden
valuta end eksponeringen, skal volatilitetsjusteringen for valutamismatch (Hfx) være
den samme som den, der gælder i henhold til artikel 224-227.
3. Som et alternativ til behandlingen i henhold til stk. 1 og 2 og med forbehold af
artikel 124, stk. 7, kan institutterne anvende en risikovægtning på 50 % på den del af
eksponeringen, der inden for de i henholdsvis artikel 125, stk. 1, litra a), og artikel
126, stk. 1, litra a), fastsatte grænser er sikret fuldt ud med pant i
beboelsesejendomme eller erhvervsejendomme, der er beliggende på en
medlemsstats område, hvis alle betingelserne i artikel 199, stk. 3 eller 4, er opfyldt.
4. Til beregning af risikovægtede eksponeringsbeløb og værdien af forventede tab
vedrørende IRB-eksponeringer, der er omfattet af artikel 220, anvender institutterne
E* i overensstemmelse med artikel 220, stk. 4, og anvender LGD for usikrede
eksponeringer, jf. artikel 161, stk. 1, litra a), aa) og b)."
(120) Artikel 231 affattes således:
"Artikel 231
Beregning af risikovægtede eksponeringsbeløb og værdien af forventede tab ved puljer
af anerkendt finansieret kreditrisikoafdækning for en eksponering efter IRB-metoden
Institutter, der har opnået flere typer finansieret kreditrisikoafdækning, kan for
eksponeringer, der behandles efter IRB-metoden, anvende formlen i artikel 230
sekventielt for hver enkelt type sikkerhed. I det øjemed reducerer de pågældende
institutter efter hvert trin med indregning af én individuel type FCP den resterende
værdi af den usikrede eksponering (EU) med den justerede værdi af den sikkerhed
(ES), der anerkendes på det pågældende trin. I overensstemmelse med artikel 230,
stk. 1, begrænses den samlede ES på tværs af alle typer finansieret
kreditrisikoafdækning til værdien E·(1+HE), hvilket resulterer i følgende formel:
DA 137 DA
𝐿𝐺𝐷∗
= 𝐿𝐺𝐷𝑈 ⋅
𝐸𝑈
𝐸 ⋅ (1 + 𝐻𝐸)
+ ∑ 𝐿𝐺𝐷𝑆,𝑖 ⋅
𝐸𝑆,𝑖
𝐸 ⋅ (1 + 𝐻𝐸)
𝑖
hvor:
LGDS,i = det LGD, der finder anvendelse på FCP i, jf. artikel 230, stk. 2
ES,i = den aktuelle værdi af modtaget FCP i efter anvendelse af den
volatilitetsjustering, der gælder for den type FCP (Hc) i henhold til artikel 230, stk.
2."
(121) Artikel 232, stk. 1, affattes således:
"1. Hvis betingelserne i artikel 212, stk. 1, er opfyldt, kan indskud i kontanter eller
kontantlignende instrumenter, der er placeret i et tredjepartsinstitut, uden at der
foreligger en depotaftale, og som er pantsat til det långivende institut, behandles som
en garanti stillet af tredjepartsinstituttet."
(122) Artikel 233, stk. 4, affattes således:
"4. Institutterne baserer de volatilitetsjusteringer, der skal anvendes i tilfælde af
valutamismatch, på en likvidationsperiode svarende til 10 arbejdsdage, under
forudsætning af daglige værdiansættelser, og beregner de pågældende justeringer
efter tabelmetoden af volatilitetsjusteringer, jf. artikel 224. Institutterne skal
opskalere volatilitetsjusteringerne i overensstemmelse med artikel 226."
(123) I artikel 235 foretages følgende ændringer:
a) Overskriften affattes således:
"Beregning af risikovægtede eksponeringsbeløb efter substitutionsmetoden, når den
garanterede eksponering behandles efter standardmetoden".
b) Stk. 1 affattes således:
"1. Med henblik på artikel 113, stk. 3, beregner institutterne de risikovægtede
eksponeringsbeløb for eksponeringer med ufinansieret kreditrisikoafdækning,
som disse institutter anvender standardmetoden på, uanset hvordan
sammenlignelige direkte eksponeringer mod udbyderen af
kreditrisikoafdækning behandles, efter følgende formel:
max{0, E - GA} · r + GA · g
hvor:
E = den eksponeringsværdi, der beregnes i overensstemmelse med artikel
111. I denne forbindelse ansættes værdien af eksponeringen for en
ikkebalanceført post opført i bilag I til 100 % af dens værdi frem for den værdi
af eksponeringen, der fremgår af artikel 111, stk. 1
GA = værdien af kreditrisikoafdækningen som beregnet i henhold til artikel
233, stk. 3, (G*) og videre justeret for manglende løbetidsmatch som angivet i
afdeling 5
r = risikovægten for eksponeringer mod låntageren som angivet i kapitel 2
g = risikovægten for eksponeringer mod udbyderen som angivet i kapitel
2."
c) Stk. 3 affattes således:
DA 138 DA
"3. Institutterne kan udvide særbehandlingen i henhold til artikel 114, stk. 4 og
7, til at omfatte eksponeringer eller dele af eksponeringer, der garanteres af
centralregeringen eller centralbanken, som om disse eksponeringer var direkte
eksponeringer mod centralregeringen eller centralbanken, forudsat at
betingelserne i artikel 114, stk. 4 eller 7, alt efter hvad der er relevant, er
opfyldt for sådanne direkte eksponeringer."
(124) Følgende indsættes som artikel 235a:
"Artikel 235a
Beregning af risikovægtede eksponeringsbeløb og værdien af forventede tab efter
substitutionsmetoden, når den garanterede eksponering behandles efter IRB-metoden,
og sammenlignelige direkte eksponeringer mod udbyderen af kreditrisikoafdækning
behandles efter standardmetoden
1. For eksponeringer med ufinansieret kreditrisikoafdækning, som et institut
anvender IRB-metoden til som omhandlet i kapitel 3, og hvis sammenlignelige
direkte eksponeringer mod udbyderen af kreditrisikoafdækning behandles efter
standardmetoden, beregner institutterne de risikovægtede eksponeringsbeløb efter
følgende formel:
max{0, E - GA} · r + GA · g
hvor:
E = eksponeringens værdi i henhold til kapitel 3, afdeling 5. I denne forbindelse
beregner institutterne eksponeringsværdien for ikkebalanceførte poster, bortset fra
derivater, der behandles efter IRB-metoden, ved hjælp af CCF'er på 100 % i stedet
for de SA-CCF'er eller IRB-CCF'er, der er omhandlet i artikel 166, stk. 8, 8a og 8b
GA = værdien af kreditrisikoafdækningen som beregnet i overensstemmelse med
artikel 233, stk. 3, (G*) og videre justeret for manglende løbetidsmatch som angivet i
kapitel 3, afdeling 5
r = risikovægten for eksponeringer mod låntageren som angivet i kapitel 3
g = risikovægten for eksponeringer mod udbyderen som angivet i kapitel 2.
2. Når det afdækkede beløb (GA) er lavere end eksponeringens værdi (E), må
institutterne kun anvende den formel, der er omhandlet i stk. 1, hvis de afdækkede og
ikkeafdækkede dele har samme prioritet.
3. Institutterne kan udvide særbehandlingen i henhold til artikel 114, stk. 4 og 7, til at
omfatte eksponeringer eller dele af eksponeringer, der garanteres af centralregeringen
eller centralbanken, som om disse eksponeringer var direkte eksponeringer mod
centralregeringen eller centralbanken, forudsat at betingelserne i artikel 114, stk. 4
eller 7, alt efter hvad der er relevant, er opfyldt for sådanne direkte eksponeringer.
4. Det forventede tab for den dækkede del af eksponeringsværdien er nul.
5. For eventuelle ikkeafdækkede dele af eksponeringens værdi (E) skal instituttet
anvende den risikovægt og det forventede tab, der svarer til den underliggende
eksponering. Med henblik på den i artikel 159 omhandlede beregning henfører
institutterne eventuelle generelle eller specifikke kreditrisikojusteringer eller
yderligere værdijusteringer i overensstemmelse med artikel 34 vedrørende instituttets
aktiviteter uden for handelsbeholdningen eller andre reduktioner af kapitalgrundlaget
i forbindelse med eksponeringen til den udækkede del af eksponeringsværdien."
DA 139 DA
(125) I artikel 236 foretages følgende ændringer:
a) Titlen affattes således:
"Beregning af risikovægtede eksponeringsbeløb og værdien af forventede tab efter
substitutionsmetoden, når den garanterede eksponering behandles efter IRB-metoden,
og en sammenlignelig direkte eksponering mod udbyderen af kreditrisikoafdækning
behandles efter IRB-metoden".
b) Stk. 1 affattes således:
"1. For en eksponering med ufinansieret kreditrisikoafdækning, som et institut
anvender IRB-metoden til som omhandlet i kapitel 3, men uden at anvende
sine egne estimater af tab givet misligholdelse (LGD), og hvis
sammenlignelige direkte eksponeringer mod udbyderen af
kreditrisikoafdækning behandles efter IRB-metoden som omhandlet i kapitel 3,
fastsætter institutterne den dækkede del af eksponeringen til at være den
laveste af eksponeringsværdien E og den justerede værdi af den ufinansierede
kreditrisikoafdækning GA."
c) Følgende indsættes som stk. 1a-1d:
"1a. Et institut, der anvender IRB-metoden til sammenlignelige direkte
eksponeringer mod udbyderen af kreditrisikoafdækning ved at anvende egne
estimater af PD, beregner størrelsen af den risikovægtede eksponering og det
forventede tab for den dækkede del af eksponeringsværdien ved at anvende PD
fra udbyderen af kreditrisikoafdækning og det LGD, der anvendes på en
sammenlignelig direkte eksponering mod udbyderen af kreditrisikoafdækning
som omhandlet i artikel 161, stk. 1, i overensstemmelse med stk. 1b. For
efterstillede eksponeringer og ikke-efterstillet ufinansieret
kreditrisikoafdækning er det LGD, som institutterne skal anvende på den
dækkede del af eksponeringsværdien, det LGD, der er knyttet til foranstående
fordringer, og som kan regnes for en sikkerhedsstillelse for den underliggende
eksponering i overensstemmelse med dette kapitel.
1b. Institutterne beregner risikovægten og det forventede tab for den dækkede
del af den underliggende eksponering ved at anvende PD, LGD som angivet i
stk. 1a og samme risikovægtningsfunktion som dem, der anvendes for en
sammenlignelig direkte eksponering mod udbyderen af kreditrisikoafdækning,
og anvender, hvis det er relevant, løbetiden M for den underliggende
eksponering beregnet i overensstemmelse med artikel 162.
1c. Institutter, der anvender IRB-metoden på sammenlignelige direkte
eksponeringer mod udbyderen af kreditrisikoafdækning ved at anvende
metoden i artikel 153, stk. 5, anvender den risikovægt og det forventede tab,
der anvendes på den dækkede del af eksponeringen, som svarer til dem, der er
fastsat i artikel 153, stk. 5, og artikel 158, stk. 6.
1d. Uanset stk. 1c beregner institutter, der anvender IRB-metoden på
garanterede eksponeringer ved at anvende metoden i artikel 153, stk. 5, den
risikovægt og det forventede tab, der anvendes på den dækkede del af
eksponeringen ved at anvende PD, det LGD, der anvendes på en
sammenlignelig direkte eksponering mod udbyderen af kreditrisikoafdækning,
jf. artikel 161, stk. 1, i overensstemmelse med stk. 1b, og samme
risikovægtningsfunktion som dem, der anvendes for en sammenlignelig direkte
DA 140 DA
eksponering mod udbyderen af kreditrisikoafdækning, og anvender, hvis det er
relevant, løbetiden for den underliggende eksponering beregnet i
overensstemmelse med artikel 162. For efterstillede eksponeringer og ikke-
efterstillet ufinansieret kreditrisikoafdækning er det LGD, som institutterne
skal anvende på den dækkede del af eksponeringsværdien, det LGD, der er
knyttet til foranstående fordringer, og som kan regnes for en sikkerhedsstillelse
for den underliggende eksponering i overensstemmelse med dette kapitel."
d) Stk. 2 affattes således:
"2. For eventuelle ikkeafdækkede dele af eksponeringens værdi (E) skal
institutterne anvende den risikovægt og det forventede tab, der svarer til den
underliggende eksponering. Med henblik på den i artikel 159 omhandlede
beregning henfører institutterne eventuelle generelle og specifikke
kreditrisikojusteringer, yderligere værdijusteringer i forbindelse med
instituttets aktiviteter uden for handelsbeholdningen, jf. artikel 34, og andre
reduktioner af kapitalgrundlaget i forbindelse med eksponeringen bortset fra de
fradrag, der er foretaget i henhold til artikel 36, stk. 1, litra m), til den
udækkede del af eksponeringsværdien."
(126) Følgende indsættes som artikel 236a:
"Artikel 236a
"Beregning af risikovægtede eksponeringsbeløb efter substitutionsmetoden, når den
garanterede eksponering behandles efter IRB-metoden, ved anvendelse af egne
estimater af tab givet misligholdelse (LGD) og en sammenlignelig direkte eksponering
mod udbyderen af kreditrisikoafdækning behandles efter IRB-metoden
1. For en eksponering med ufinansieret kreditrisikoafdækning, som et institut
anvender IRB-metoden til som omhandlet i kapitel 3 ved at anvende sine egne
estimater af tab givet misligholdelse (LGD), og hvis sammenlignelige direkte
eksponeringer mod udbyderen af kreditrisikoafdækning behandles efter IRB-
metoden som omhandlet i kapitel 3, fastsætter institutterne den dækkede del af
eksponeringen til at være den laveste af eksponeringsværdien E og den justerede
værdi af den ufinansierede kreditrisikoafdækning GA. Størrelsen af risikovægtede
eksponeringer og forventede tab for den dækkede del af eksponeringen beregnes ved
at anvende PD og LGD og samme risikovægtningsfunktion som dem, der anvendes
for en sammenlignelig direkte eksponering mod udbyderen af kreditrisikoafdækning,
og anvender, hvis det er relevant, løbetiden M for den underliggende eksponering
beregnet i overensstemmelse med artikel 162.
2. Institutter, der anvender IRB-metoden som omhandlet i kapitel 3, men uden at
anvende deres egne estimater af tab givet misligholdelse (LGD) på sammenlignelige
direkte eksponeringer mod udbyderen af kreditrisikoafdækning, fastsætter LGD i
overensstemmelse med artikel 161. For efterstillede eksponeringer og ikke-efterstillet
ufinansieret kreditrisikoafdækning er det LGD, som institutterne skal anvende på den
dækkede del af eksponeringsværdien, det LGD, der er knyttet til foranstående
fordringer, og som kan regnes for en sikkerhedsstillelse for den underliggende
eksponering i overensstemmelse med dette kapitel.
3. Institutter, der anvender IRB-metoden som omhandlet i kapitel 3, ved at anvende
deres egne estimater af tab givet misligholdelse (LGD) på sammenlignelige direkte
eksponeringer mod udbyderen af kreditrisikoafdækning, beregner risikovægten og
det forventede tab for den dækkede del af den underliggende eksponering ved at
DA 141 DA
anvende PD, LGD og samme risikovægtningsfunktion som dem, der anvendes for en
sådan sammenlignelig direkte eksponering mod udbyderen af kreditrisikoafdækning,
og anvender løbetiden M for den underliggende eksponering beregnet, hvis det er
relevant, i overensstemmelse med artikel 162.
4. Institutter, der anvender IRB-metoden på sammenlignelige direkte eksponeringer
mod udbyderen af kreditrisikoafdækning ved at anvende metoden i artikel 153, stk.
5, anvender den risikovægt og det forventede tab, der anvendes på den dækkede del
af eksponeringen, som svarer til dem, der er fastsat i artikel 153, stk. 5, og artikel
158, stk. 6.
5. For eventuelle ikkeafdækkede dele af eksponeringens værdi (E) skal institutterne
anvende den risikovægt og det forventede tab, der svarer til den underliggende
eksponering. Med henblik på den i artikel 159 omhandlede beregning henfører
institutterne eventuelle generelle og specifikke kreditrisikojusteringer, yderligere
værdijusteringer i forbindelse med instituttets aktiviteter uden for
handelsbeholdningen, jf. artikel 34, og andre reduktioner af kapitalgrundlaget i
forbindelse med eksponeringen bortset fra de fradrag, der er foretaget i henhold til
artikel 36, stk. 1, litra m), til den udækkede del af eksponeringsværdien."
(127) Tredje del, afsnit II, kapitel 4, afdeling 6, udgår.
(128) Artikel 273, stk. 3, litra b), affattes således:
"b) artikel 183, hvis der er givet tilladelse i overensstemmelse med artikel
143."
(129) I artikel 273b foretages følgende ændringer:
a) Titlen affattes således:
"Artikel 273b
Manglende overholdelse af betingelserne for anvendelse af forenklede metoder til beregning
af eksponeringsværdien af derivater og den forenklede metode til beregning af
kapitalgrundlagskravet i forbindelse med kreditværdijusteringsrisiko".
b) Stk. 2, indledningen, affattes således:
Et institut ophører med at beregne eksponeringsværdierne af sine derivatpositioner i
overensstemmelse med afdeling 4 eller 5 og med at beregne kapitalgrundlagskravet i
forbindelse med kreditværdijusteringsrisiko i overensstemmelse med artikel 385, alt
efter hvad der er relevant, senest tre måneder efter en af følgende:".
c) Stk. 3 affattes således:
"3. Institutter, der er ophørt med at beregne eksponeringsværdierne af deres
derivatpositioner i overensstemmelse med afdeling 4 eller 5 og med at beregne
kapitalgrundlagskravet i forbindelse med kreditværdijusteringsrisiko i
overensstemmelse med artikel 385, alt efter hvad der er relevant, må kun genoptage
beregningen af eksponeringsværdierne af deres derivatpositioner som fastsat i
afdeling 4 eller 5 og af kapitalgrundlagskravet i forbindelse med
kreditværdijusteringsrisiko i overensstemmelse med artikel 385, hvis de over for den
kompetente myndighed har godtgjort, at alle betingelserne i artikel 273a, stk. 1 eller
2, er blevet opfyldt i en uafbrudt periode på et år."
(130) I artikel 274 foretages følgende ændringer:
a) Stk. 4 affattes således:
DA 142 DA
"4. Hvis flere margenaftaler finder anvendelse på den samme nettinggruppe,
eller den samme nettinggruppe omfatter både transaktioner, der er omfattet af
en margenaftale, og transaktioner, der ikke er omfattet af en margenaftale,
beregner et institut eksponeringsværdien på følgende måde:
a) Instituttet fastlægger de pågældende hypotetiske undernettinggrupper
bestående af transaktioner, der indgår i nettinggruppen, på følgende
måde:
i) Alle transaktioner, der er omfattet af en margenaftale og den
samme margenrisikoperiode som fastsat i overensstemmelse med
artikel 285, stk. 2-5, henføres til samme undernettinggruppe.
ii) Alle transaktioner, der ikke er omfattet af en margenaftale,
henføres til den samme undernettinggruppe, som adskiller sig fra
de undernettinggrupper, der er fastsat i overensstemmelse med nr.
i).
b) Instituttet beregner genanskaffelsesomkostningerne for den
nettinggruppe, der er omhandlet i indledningen til dette stykke, i
overensstemmelse med artikel 275, stk. 2, under hensyntagen til alle
transaktioner inden for nettinggruppen, uanset om de er omfattet af en
margenaftale eller ej, og anvender samtlige følgende:
i) CMV beregnes for alle transaktioner i en nettinggruppe uden
indregning af eventuel modtaget eller stillet sikkerhed, hvor CMV
beregnes ud fra såvel positive som negative markedsværdier.
ii) NICA, VM, TH og MTA beregnes, hvor det er relevant, særskilt
som summen på tværs af de samme input, der gælder for hver
enkelt margenaftale for nettinggruppen.
c) Instituttet beregner den potentielle fremtidige eksponering for den
nettinggruppe, der er omhandlet i artikel 278, ved at anvende samtlige
følgende:
i) Den multiplikator, der er omhandlet i artikel 278, stk. 1, baseres på
inputtene CMV, NICA og VM, alt efter hvad der er relevant, i
overensstemmelse med litra b) i nærværende stykke.
ii) ∑ 𝐴𝑑𝑑𝑂𝑛(𝑎)
𝑎 beregnes i overensstemmelse med artikel 278
særskilt for hver hypotetisk undernettinggruppe som omhandlet i
litra a)."
b) I stk. 6 tilføjes følgende afsnit:
"Uanset første afsnit erstatter institutterne en digital vanilla-option, hvis strike
svarer til K, med den relevante collar-kombination af to solgte og købte
vanilla-call- eller put-optioner, der opfylder følgende krav:
a) De to optioner i collar-kombinationen skal have:
i) samme udløbsdato og samme spot- eller terminskurs for det
underliggende instrument som den digitale vanilla-option
ii) strikes svarende til henholdsvis 0,95 ∙ K og 1,05 ∙ K.
DA 143 DA
b) Collar-kombinationen svarer nøjagtigt til den digitale vanilla-options
afkast uden for intervallet mellem de to strikes, der er omhandlet i litra
a).
Risikopositionen for de to optioner i collar-kombinationen beregnes særskilt i
overensstemmelse med artikel 279."
(131) Tredje del, afsnit III, affattes således:
"AFSNIT III
KAPITALGRUNDLAGSKRAV I RELATION TIL
OPERATIONEL RISIKO
Artikel 311a
Definitioner
I dette afsnit forstås ved:
a) "hændelse knyttet til operationel risiko": enhver hændelse, der er knyttet til en
operationel risiko, og som medfører et eller flere tab inden for et eller flere
regnskabsår
b) "aggregeret bruttotab": summen af alle bruttotab, der har forbindelse til den
samme hændelse knyttet til operationel risiko i løbet af et eller flere
regnskabsår
c) "aggregeret nettotab": summen af alle nettotab, der har forbindelse til den
samme hændelse knyttet til operationel risiko i løbet af et eller flere
regnskabsår.
KAPITEL 1
Beregning af kapitalgrundlagskrav i relation til operationel risiko
Artikel 312
Kapitalgrundlagskrav
Kapitalgrundlagskravet i relation til operationel risiko er
forretningsindikatorkomponenten beregnet i overensstemmelse med artikel 313.
Artikel 313
Forretningsindikatorkomponent
Institutterne beregner deres forretningsindikatorkomponent efter følgende formel:
𝐵𝐼𝐶 = {
0.12 ∙ BI, where BI ≤ 1
0.12 + 0.15 ∙ (BI − 1), where 1 < BI ≤ 30
4.47 + 0.18 ∙ (BI − 30), where BI > 30
hvor:
BIC = forretningsindikatorkomponenten
BI = forretningsindikatoren, udtrykt i milliarder euro, beregnet i
overensstemmelse med artikel 314.
DA 144 DA
Artikel 314
Forretningsindikator
1. Institutterne beregner deres forretningsindikator efter følgende formel:
𝐵𝐼 = 𝐼𝐿𝐷𝐶 + 𝑆𝐶 + 𝐹𝐶
hvor:
BI = forretningsindikatoren, udtrykt i milliarder euro
ILDC= rente-, leasing- og udbyttekomponenten, udtrykt i milliarder euro og
beregnet i overensstemmelse med stk. 2
SC = tjenesteydelseskomponenten, udtrykt i milliarder euro og beregnet i
overensstemmelse med stk. 3
FC = finanskomponenten, udtrykt i milliarder euro og beregnet i
overensstemmelse med stk. 4.
2. Med henblik på stk. 1 beregnes rente-, leasing- og udbyttekomponenten efter
følgende formel:
𝐼𝐿𝐷𝐶 = min(𝐼𝐶, 0.0225 ∗ 𝐴𝐶) + 𝐷𝐶
hvor:
ILDC= rente-, leasing- og udbyttekomponenten
IC = rentekomponenten, som er instituttets renteindtægter fra alle finansielle
aktiver og andre renteindtægter, herunder finansielle indtægter fra finansiel leasing
og operationel leasing og overskud fra leasede aktiver, minus instituttets
renteudgifter fra alle finansielle forpligtelser og andre renteudgifter, herunder
renteudgifter fra finansiel og operationel leasing, afskrivninger og værdiforringelse
af og tab fra operationelle leasingaktiver, beregnet som det årlige gennemsnit af den
absolutte værdi af forskellen i de foregående tre regnskabsår
AC = aktivkomponenten, som er summen af instituttets samlede udestående
bruttolån, forskud, rentebærende værdipapirer, herunder statsobligationer, og
leasingaktiver, beregnet som det årlige gennemsnit over de foregående tre
regnskabsår på grundlag af beløbene ved udgangen af hvert af de respektive
regnskabsår
DC = udbyttekomponenten, som er instituttets udbytteindtægter fra
investeringer i aktier og fonde, der ikke er konsolideret i instituttets regnskab,
herunder udbytteindtægter fra ikkekonsoliderede datterselskaber, associerede
virksomheder og joint ventures, beregnet som det årlige gennemsnit over de
foregående tre regnskabsår.
3. Med henblik på stk. 1 beregnes tjenesteydelseskomponenten efter følgende formel:
𝑆𝐶 = max(𝑂𝐼, 𝑂𝐸) + max(𝐹𝐼, 𝐹𝐸)
hvor:
SC = tjenesteydelseskomponenten
OI = de øvrige driftsindtægter, som er det årlige gennemsnit over de
foregående tre regnskabsår af instituttets indtægter fra almindelige banktransaktioner,
der ikke indgår i andre poster i forretningsindikatoren, men som er af lignende art
DA 145 DA
OE = de øvrige driftsudgifter, som er det årlige gennemsnit over de
foregående tre regnskabsår af instituttets udgifter og tab fra almindelige
banktransaktioner, der ikke indgår i andre poster i forretningsindikatoren, men som
er af lignende art, og fra hændelser knyttet til operationel risiko
FI = gebyr- og provisionsindkomstkomponenten, som er det årlige
gennemsnit over de foregående tre regnskabsår af instituttets indtægter fra levering af
rådgivning og tjenesteydelser, herunder indtægter modtaget af instituttet som
outsourcer af finansielle tjenesteydelser
FE = gebyr- og provisionsudgiftskomponenten, som er det årlige gennemsnit
over de foregående tre regnskabsår af instituttets udgifter til modtagelse af
rådgivning og tjenesteydelser, herunder outsourcinggebyrer betalt af instituttet for
levering af finansielle tjenesteydelser, men eksklusive outsourcinggebyrer, der
betales for levering af ikke-finansielle tjenesteydelser.
4. Med henblik på stk. 1 beregnes finanskomponenten efter følgende formel:
𝐹𝐶 = 𝑇𝐶 + 𝐵𝐶
hvor:
FC = finanskomponenten
TC = handelsbeholdningskomponenten, som er det årlige gennemsnit af de
absolutte værdier over de foregående tre regnskabsår af nettooverskud eller -tab, alt
efter hvad der er relevant, af instituttets handelsbeholdning, herunder af aktiver og
passiver i handelsbeholdningen, fra regnskabsmæssig sikring og fra
valutakursforskelle
BC = komponenten uden for handelsbeholdningen, som er det årlige
gennemsnit af de absolutte værdier over de foregående tre regnskabsår af
nettooverskud eller -tab, alt efter hvad der er relevant, af instituttets portefølje uden
for handelsbeholdningen, herunder af finansielle aktiver og passiver målt til
dagsværdi gennem overskud og tab, fra regnskabsmæssig sikring, fra
valutakursforskelle og realiserede gevinster og tab på finansielle aktiver og passiver,
der ikke måles til dagsværdi gennem overskud og tab.
5. Institutterne må ikke anvende nogen af følgende elementer ved beregningen af
deres forretningsindikator:
a) indtægter og udgifter fra forsikrings- eller genforsikringsvirksomhed
b) betalte præmier og modtagne betalinger fra købte forsikrings- eller
genforsikringspolicer
c) administrative udgifter, herunder personaleudgifter, outsourcinggebyrer, der
betales for levering af ikke-finansielle tjenesteydelser, og andre
administrationsomkostninger
d) inddrivelse af administrative udgifter, herunder inddrivelse af betalinger på
vegne af kunder
e) udgifter til lokaler og anlægsaktiver, medmindre disse udgifter hidrører fra
begivenheder knyttet til operationelle tab
f) afskrivninger på materielle aktiver og amortisering af immaterielle aktiver,
undtagen afskrivninger i forbindelse med operationelt leasede aktiver, som skal
medregnes i udgifter vedrørende finansiel og operationel leasing
DA 146 DA
g) hensættelser og tilbageførsel af hensættelser, medmindre disse hensættelser
vedrører begivenheder knyttet til operationelle tab
h) udgifter til aktiekapital, der er tilbagebetalingspligtig på anfordring
i) værdiforringelse og tilbageførsel af værdiforringelse
j) ændringer af goodwill indregnet i resultatopgørelsen
k) selskabsskat.
6. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere følgende:
a) komponenterne i forretningsindikatoren ved at udarbejde en liste over typiske
underposter under hensyntagen til internationale reguleringsmæssige
standarder
b) de elementer, der er anført i stk. 5.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010.
7. EBA udarbejder udkast til gennemførelsesmæssige tekniske standarder med
henblik på at præcisere posterne i forretningsindikatoren ved at sammenkoble disse
poster med de pågældende indberetningsfelter, der er fastsat i Kommissionens
gennemførelsesforordning (EU) 2021/451*5
.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 24 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de i første afsnit omhandlede
gennemførelsesmæssige tekniske standarder i overensstemmelse med artikel 15 i
forordning (EU) nr. 1093/2010.
Artikel 315
Justeringer af forretningsindikatoren
1. Institutterne medtager forretningsindikatorposter for fusionerede eller overtagne
enheder eller aktiviteter i beregningen af deres forretningsindikator fra tidspunktet
for fusionen eller overtagelsen, alt efter hvad der er relevant, og skal dække de
foregående tre regnskabsår.
2. Institutterne kan anmode om tilladelse fra den kompetente myndighed til at
udelukke forretningsindikatorposter vedrørende afhændede enheder eller aktiviteter
fra beregningen af deres forretningsindikator.
3. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere følgende:
a) hvordan institutterne skal fastsætte justeringerne af den forretningsindikator,
der er omhandlet i stk. 1 og 2
DA 147 DA
b) på hvilke betingelser de kompetente myndigheder kan give den tilladelse, der
er omhandlet i stk. 2
c) tidsplanen for de justeringer, der er omhandlet i stk. 2.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010.
KAPITEL 2
Dataindsamling og -styring
Artikel 316
Beregning af det årlige tab som følge af operationelle risici
1. Institutter med en forretningsindikator på 750 mio. EUR eller derover beregner
årlige tab som følge af operationel risiko som summen af alle nettotab i et givet
regnskabsår beregnet i overensstemmelse med artikel 318, stk. 1, som er lig med
eller overstiger tabsdatatærskler, der er fastsat i henholdsvis artikel 319, stk. 1 eller 2.
Uanset første afsnit kan de kompetente myndigheder indrømme en undtagelse fra
kravet om beregning af et årligt tab som følge af operationel risiko til institutter med
en forretningsindikator, der ikke overstiger 1 mia. EUR, forudsat at instituttet over
for den kompetente myndighed har godtgjort, at det ville være urimeligt byrdefuldt
for instituttet at anvende første afsnit.
2. Med henblik på stk. 1 er den relevante forretningsindikator den højeste værdi af
den forretningsindikator, som instituttet har indberettet på de seneste otte
referencedatoer for indberetning. Et institut, der endnu ikke har indberettet sin
forretningsindikator, anvender sin seneste forretningsindikator.
3. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere betingelsen om "urimeligt byrdefuldt" med henblik på første afsnit.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010.
Artikel 317
Tabsdatasæt
1. Institutter, der beregner årlige tab som følge af operationel risiko i
overensstemmelse med artikel 316, stk. 1, skal have indført ordninger, procedurer og
mekanismer til løbende at informere og ajourføre et tabsdatasæt, der for hver
registreret hændelse knyttet til operationel risiko samler bruttotabsbeløb,
tabsgenopretning fra andet end forsikring, tabsgenopretning fra forsikring,
referencedato og grupperede tab, herunder tab som følge af forsømmelseshændelser.
DA 148 DA
2. Instituttets tabsdatasæt skal omfatte alle hændelser knyttet til operationel risiko,
der hidrører fra alle de enheder, der er omfattet af konsolideringer i henhold til første
del, afsnit II, kapitel 2.
3. Med henblik på stk. 1 skal institutterne:
a) i tabsdatasættet medtage hver hændelse knyttet til operationel risiko, der er
registreret i løbet af et eller flere regnskabsår
b) anvende en dato, der ikke ligger senere end bogføringsdatoen for tab i
forbindelse med hændelser knyttet til operationel risiko i tabsdatasættet
c) henføre tab og dertil knyttede inddrivelser, der er bogført over flere år, til de
tilsvarende regnskabsår for tabsdatasættet i overensstemmelse med deres
bogføringsmæssige behandling.
4. Institutterne indsamler også:
a) oplysninger om referencedatoerne for hændelser knyttet til operationel risiko,
herunder:
i) den dato, hvor hændelsen knyttet til operationel risiko fandt sted eller
først begyndte ("hændelsesdato"), hvis en sådan foreligger
ii) den dato, hvor instituttet blev bekendt med hændelsen knyttet til
operationel risiko ("konstateringsdato")
iii) den eller de datoer, hvor en hændelse knyttet til operationel risiko
medfører et tab eller en reserve eller hensættelse til dækning af et tab, der
er indregnet i instituttets resultatopgørelse ("bogføringsdato")
b) oplysninger om eventuelle inddrivelser af bruttotab samt beskrivende
oplysninger om drivkræfterne bag eller årsagerne til tabshændelserne.
Detaljeringsgraden af eventuelle beskrivende oplysninger skal stå i et rimeligt
forhold til bruttotabets størrelse.
5. Et institut må i tabsdatasættet ikke medtage hændelser knyttet til operationel risiko
vedrørende kreditrisiko, som der er taget højde for i det risikovægtede
eksponeringsbeløb for kreditrisiko. Hændelser knyttet til operationel risiko, der
vedrører kreditrisiko, men som ikke er indregnet i det risikovægtede
eksponeringsbeløb for kreditrisiko, medtages i tabsdatasættet.
6. Hændelser knyttet til operationel risiko vedrørende markedsrisiko behandles som
operationelle risici og medtages i tabsdatasættet.
7. Et institut skal efter anmodning fra den kompetente myndighed kunne
sammenkoble sine historiske data om interne tab med hændelsestypen.
8. Med henblik på denne artikel sikrer institutterne, at den IT-infrastruktur, der er
nødvendig for at vedligeholde og ajourføre tabsdatasættet, er sikker, robust og
velfungerende, ved at bekræfte samtlige følgende:
a) at instituttets IT-systemer og -infrastruktur med henblik på denne artikel er
sikre og modstandsdygtige, og at denne sikkerhed og modstandsdygtighed
løbende kan opretholdes
b) at den IT-infrastruktur i instituttet, der er implementeret med henblik på denne
artikel, er underlagt konfigurationsstyrings-, forandringsledelses- og
frigivelsesstyringsprocesser
DA 149 DA
c) at hvis instituttet outsourcer dele af vedligeholdelsen af den IT-infrastruktur,
der er implementeret med henblik på denne artikel, at IT-infrastrukturens
sikkerhed, robusthed og ydeevne sikres, ved at som minimum følgende
bekræftes:
i) at instituttets IT-systemer og -infrastruktur med henblik på denne artikel
er sikre og modstandsdygtige, og at disse egenskaber løbende kan
opretholdes
ii) at processen for planlægning, udformning, afprøvning og implementering
af IT-infrastrukturen med henblik på denne artikel er forsvarlig og
korrekt med hensyn til projektstyring, risikostyring og ledelse, teknik,
kvalitetssikring og testplanlægning, systemmodellering og -udvikling,
kvalitetssikring i alle aktiviteter, herunder kodegennemgang og, hvor det
er relevant, kodeverifikation og afprøvning, herunder brugeraccept
iii) at IT-infrastrukturen i instituttet med henblik på denne artikel, er
underlagt konfigurationsstyrings-, forandringsledelses- og
frigivelsesstyringsprocesser
iv) at processen for planlægning, udformning, afprøvning og implementering
af IT-infrastrukturen og beredskabsplaner med henblik på denne artikel
godkendes af instituttets ledelsesorgan eller øverste ledelse, og at
ledelsesorganet og den øverste ledelse regelmæssigt orienteres om IT-
infrastrukturens ydeevne med henblik på denne artikel.
9. Med henblik på denne artikels stk. 6 har EBA mandat til at udarbejde udkast til
reguleringsmæssige tekniske standarder, der fastlægger en risikoklassificering for
operationelle risici og en metode til på grundlag af denne risikoklassificering for
operationelle risici at klassificere de tabshændelser, der er medtaget i tabsdatasættet.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010.
10. Med henblik på stk. 7 udarbejder EBA retningslinjer, der forklarer de tekniske
elementer, der er nødvendige for at sikre sikkerhed, robusthed og ydeevne af
ledelsesordninger til vedligeholdelse af tabsdatasættet, med særligt fokus på IT-
systemer og -infrastrukturer.
Disse retningslinjer udstedes i overensstemmelse med artikel 16 i forordning (EU)
nr. 1093/2010.
Artikel 318
Beregning af nettotab og bruttotab
1. Med henblik på artikel 316, stk. 1, beregner institutterne for hver hændelse knyttet
til operationel risiko et nettotab på følgende måde:
Nettotab = bruttotab - inddrivelse
hvor:
DA 150 DA
bruttotab = et tab knyttet til en hændelse knyttet til operationel risiko før inddrivelser
af en hvilken som helst type
inddrivelse = en eller flere uafhængige hændelser i tilknytning til den oprindelige
hændelse knyttet til operationel risiko, adskilt i tid, hvor midler eller tilgang af
økonomiske fordele modtages fra en tredjepart.
Institutterne skal løbende opretholde en ajourført beregning af nettotabet for hver
specifik hændelse knyttet til operationel risiko. I det øjemed ajourfører institutterne
beregningen af nettotab på grundlag af de observerede eller estimerede variationer i
bruttotabet og inddrivelsen for hvert af de seneste ti regnskabsår. Hvis tab i
forbindelse med den samme hændelse knyttet til operationel risiko konstateres i flere
regnskabsår inden for dette tiårige tidsrum, beregner og ajourfører instituttet:
a) nettotabet, bruttotabet og inddrivelsen for hvert af de regnskabsår i det tiårige
tidsrum, hvor nettotabet, bruttotabet og inddrivelsen blev registreret
b) det aggregerede nettotab, det aggregerede bruttotab og den aggregerede
inddrivelse for alle de relevante regnskabsår i tiårsintervallet.
2. Med henblik på stk. 1 medtages følgende poster i beregningen af bruttotab:
a) direkte omkostninger, herunder værdiforringelser, afviklingsomkostninger,
beløb betalt for at råde bod på skader, bøder, morarenter og juridiske
omkostninger, for instituttets resultatopgørelse og nedskrivninger som følge af
hændelsen knyttet til operationel risiko, herunder:
i) hvis hændelsen knyttet til operationel risiko er relateret til markedsrisiko,
omkostningerne til lukning af markedspositioner i det inddrevne tab på
posterne vedrørende operationel risiko
ii) hvis betalinger vedrører instituttets fejl eller mangelfulde processer,
bøder, renteudgifter, morarenter og juridiske omkostninger og, med
undtagelse af det oprindeligt skyldige skattebeløb, skat
b) påløbne omkostninger som følge af hændelsen knyttet til operationel risiko,
herunder eksterne udgifter med direkte tilknytning til hændelsen knyttet til
operationel risiko og reparations- eller udskiftningsomkostninger til
genetablering af den position, der var gældende, før hændelsen knyttet til
operationel risiko indtraf
c) hensættelser eller reserver indregnet i resultatopgørelsen til mulige virkninger
af operationelle tab, herunder som følge af forsømmelseshændelser
d) tab som følge af hændelser knyttet til operationel risiko med en endelig
finansiel virkning, som midlertidigt er bogført på overgangs- eller
interimskonti, og som endnu ikke afspejles i resultatopgørelsen ("afventende
tab")
e) negative økonomiske virkninger, der er bogført i et regnskabsår, og som
skyldes hændelser knyttet til operationel risiko, der påvirker pengestrømme
eller årsregnskaber fra tidligere regnskabsår ("tidsforskudt tab").
Med henblik på litra d) skal væsentlige afventende tab indgå i tabsdatasættet inden
for en tidsramme, der står i et rimeligt forhold til størrelsen og alderen af den
afventende post.
DA 151 DA
Med henblik på litra e) medtager instituttet i tabsdatasættet væsentlige tidsforskudte
tab, hvis disse tab skyldes hændelser knyttet til operationel risiko, der spænder over
mere end et regnskabsår og giver anledning til juridisk risiko. Institutterne skal i det
registrerede tab på posten vedrørende operationel risiko i et regnskabsår medtage tab,
der skyldes korrektion af bogføringsfejl, der er opstået i et tidligere regnskabsår, også
selv om disse tab ikke direkte berører tredjeparter. Hvis der er væsentlige
tidsforskudte tab, og hændelsen knyttet til operationel risiko direkte berører
tredjeparter, herunder instituttets kunder, leverandører og ansatte, skal instituttet også
medtage den officielle tilpasning af tidligere offentliggjorte regnskaber.
3. Med henblik på stk. 1 udelukke følgende poster fra beregningen af bruttotab:
a) omkostninger til generelle vedligeholdelseskontrakter vedrørende materielle
anlægsaktiver
b) interne eller eksterne udgifter til fremme af forretningsaktiviteterne efter tab
som følge af operationel risiko, bl.a. opgraderinger, forbedringer,
risikovurderingsinitiativer og udvidelser
c) forsikringspræmier.
4. Med henblik på stk. 1 anvendes inddrivelser kun til at reducere bruttotab, hvis
instituttet har modtaget betaling. Fordringer betragtes ikke som inddrivelser.
Efter anmodning fra den kompetente myndighed fremlægger instituttet al den
dokumentation, der er nødvendig til kontrol af de betalinger, der er modtaget og taget
i betragtning ved beregningen af nettotabet i forbindelse med en hændelse knyttet til
operationel risiko.
Artikel 319
Tabsdatatærskler
1. Med henblik på at beregne et årligt tab som følge af operationel risiko som krævet
i artikel 316, stk. 1, medregner institutterne fra tabsdatasættet hændelser knyttet til
operationel risiko med et nettotab beregnet i overensstemmelse med artikel 318, som
er lig med eller over 20 000 EUR.
2. Uden at stk. 1 derved tilsidesættes, og med henblik på artikel 446, skal
institutterne også beregne det årlige tab som følge af operationel risiko, jf. artikel
316, stk. 1, idet de fra tabsdatasættet medregner hændelser knyttet til operationel
risiko med et nettotab beregnet i overensstemmelse med artikel 318, som er lig med
eller over 100 000 EUR.
3. I tilfælde af en hændelse knyttet til operationel risiko, der medfører tab i mere end
et regnskabsår, jf. artikel 318, stk. 1, andet afsnit, er det nettotab, der skal medregnes
med henblik på de tærskler, der er omhandlet i stk. 1 og 2, det aggregerede nettotab.
Artikel 320
Udelukkelse af tab
1. De kompetente myndigheder kan tillade et institut at udelukke ekstraordinære
hændelser knyttet til operationel risiko, der ikke længere er relevante for instituttets
risikoprofil, fra beregningen af instituttets årlige tab som følge af operationel risiko,
hvis samtlige følgende betingelser er opfyldt:
DA 152 DA
a) Instituttet kan over for den kompetente myndighed godtgøre, at den hændelse
knyttet til operationel risiko, der ligger til grund for disse tab som følge af
operationel risiko, ikke vil opstå igen.
b) Tabet som følge af operationel risiko er et af følgende:
i) lig med eller over 15 % af instituttets gennemsnitlige årlige tab som følge
af operationel risiko beregnet på grundlag af den tærskel, der er
omhandlet i artikel 319, stk. 1, hvis hændelse med tab knyttet til
operationel risiko vedrører aktiviteter, der stadig er en del af
forretningsindikatoren
ii) over 0 % af instituttets gennemsnitlige årlige tab som følge af operationel
risiko beregnet på grundlag af den tærskel, der er omhandlet i artikel 319,
stk. 1, hvis hændelsen med tab knyttet til operationel risiko vedrører
aktiviteter, der er afhændet og ikke indgår i forretningsindikatoren, jf.
artikel 315, stk. 2.
c) Tabet som følge af operationel risiko har været med i tabsdatasættet i en
periode på mindst 1 år, medmindre tabet som følge af operationel risiko
vedrører aktiviteter, der er afhændet og ikke indgår i forretningsindikatoren, jf.
artikel 315, stk. 2.
Med henblik på litra c) begynder minimumsperioden på 1 år fra den dato, hvor den
hændelse knyttet til operationel risiko, der indgår i tabsdatasættet, første gang blev
større end den væsentlighedstærskel, der er omhandlet i artikel 319, stk. 1.
2. Et institut, der anmoder om tilladelsen omhandlet i stk. 1, skal give den
kompetente myndighed dokumenterede begrundelser for at udelukke et
ekstraordinært tab, herunder:
a) en beskrivelse af den hændelse knyttet til operationel risiko, der er forelagt
med henblik på udelukkelse
b) dokumentation for, at tabet som følge af hændelsen knyttet til operationel
risiko ligger over væsentlighedstærsklen for udelukkelse af tab, jf. stk. 1, litra
b), herunder den dato, hvor hændelsen knyttet til operationel risiko blev større
end væsentlighedstærsklen
c) den dato, fra hvilken den pågældende hændelse knyttet til operationel risiko
ville blive udelukket, under hensyntagen til den minimumsopbevaringsperiode,
der er fastsat i stk. 1, litra c)
d) årsagen til, at hændelsen knyttet til operationel risiko ikke længere anses for at
være relevant for instituttets risikoprofil
e) påvisning af, at der ikke er nogen lignende eller resterende juridisk
eksponering, og at den hændelse knyttet til operationel risiko, der skal
udelukkes, ikke har nogen relevans for andre aktiviteter eller produkter
f) rapporter om instituttets uafhængige gennemgang eller validering, der
bekræfter, at hændelsen knyttet til operationel risiko ikke længere er relevant,
og at der ikke findes lignende eller resterende juridiske eksponeringer
g) dokumentation for, at instituttets kompetente organer via institutionens
godkendelsesprocesser har godkendt anmodningen om udelukkelse af
hændelsen knyttet til operationel risiko, og datoen for en sådan godkendelse
DA 153 DA
h) virkningen af udelukkelsen af hændelsen knyttet til operationel risiko for det
årlige tab som følge af operationel risiko.
3. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere de betingelser, som den kompetente myndighed skal vurdere i henhold
til stk. 1, herunder hvordan det gennemsnitlige årlige tab som følge af operationel
risiko skal beregnes, og specifikationerne for de oplysninger, der skal indsamles i
henhold til stk. 2, eller eventuelle yderligere oplysninger, som anses for nødvendige
for, vurderingen kan foretages.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010.
Artikel 321
Medtagelse af tab fra fusionerede eller overtagne enheder eller aktiviteter
1. Tab hidrørende fra fusionerede eller overtagne enheder eller aktiviteter medtages i
tabsdatasættet, så snart forretningsindikatorposterne vedrørende disse enheder eller
aktiviteter medtages i instituttets beregning af forretningsindikatoren i
overensstemmelse med artikel 315, stk. 1. I det øjemed medtager institutterne tab,
der er konstateret i en tiårsperiode forud for overtagelsen eller fusionen.
2. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere, hvordan institutterne skal fastsætte justeringerne af deres tabsdatasæt
efter medtagelsen af tab fra fusionerede eller overtagne enheder eller aktiviteter som
omhandlet i stk. 1.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010.
Artikel 322
Gennemgang af fuldstændigheden, nøjagtigheden og kvaliteten af tabsdataene
1. Institutterne skal have etableret organisation og procedurer til uafhængig
gennemgang af fuldstændigheden, nøjagtigheden og kvaliteten af tabsdataene.
2. De kompetente myndigheder gennemgår regelmæssigt kvaliteten af tabsdataene
fra et institut, der beregner årlige tab som følge af operationel risiko i
overensstemmelse med artikel 316, stk. 1. De kompetente myndigheder foretager en
sådan gennemgang mindst hvert tredje år for et institut med en forretningsindikator
på over 1 mia. EUR.
DA 154 DA
Artikel 323
Rammer for styring af operationel risiko
1. Institutterne skal have etableret:
a) et veldokumenteret vurderings- og styringssystem for operationel risiko, som er
nøje integreret i de daglige risikostyringsprocesser, udgør en integreret del af
overvågningen og kontrollen af instituttets profil med hensyn til operationel
risiko, og for hvilket der er tildelt klare ansvarsområder. Vurderings- og
styringssystemet for operationel risiko skal identificere instituttets
eksponeringer mod operationelle risici og spore relevante data om operationel
risiko, herunder data om væsentlige tab
b) en styringsfunktion for operationel risiko, der er uafhængig af instituttets
forretningsaktiviteter og operationelle enheder
c) et system for rapportering til den øverste ledelse, der sikrer rapportering
vedrørende operationel risiko til de relevante funktioner inden for instituttet
d) et system for regelmæssig overvågning og rapportering vedrørende erfaringer
med eksponering og tab i forbindelse med operationel risiko og have
procedurer for at træffe passende korrigerende foranstaltninger som opfølgning
på disse erfaringer
e) rutiner til sikring af overholdelsen af bestemmelserne og politikker vedrørende
håndtering af manglende overholdelse
f) regelmæssig gennemgang af instituttets processer og systemer for vurdering og
styring af operationel risiko, der varetages af interne eller eksterne revisorer,
som har den nødvendige viden til at foretage en sådan gennemgang
g) interne valideringsprocedurer, som fungerer pålideligt og effektivt
h) gennemsigtige og tilgængelige datastrømme og processer i forbindelse med
systemet for vurdering af operationel risiko.
2. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere forpligtelserne i henhold til stk. 1, litra a)-h), under hensyntagen til
institutternes størrelse og kompleksitet.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18 måneder
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelser til at vedtage de reguleringsmæssige tekniske
standarder, der er omhandlet i første afsnit, i overensstemmelse med artikel 10-14 i
forordning (EU) nr. 1093/2010.
_________________________________________________
*5
Kommissionens gennemførelsesforordning (EU) 2021/451 af 17. december 2020 om
gennemførelsesmæssige tekniske standarder for anvendelsen af Europa-Parlamentets og Rådets
forordning (EU) nr. 575/2013 for så vidt angår institutters indberetning med henblik på tilsyn og om
ophævelse af Kommissionens gennemførelsesforordning (EU) nr. 680/2014 (EUT L 97 af 19.3.2021,
s. 1)."
(132) I artikel 325 foretages følgende ændringer:
a) Stk. 1-5 affattes således:
DA 155 DA
"1. Et institut beregner kapitalgrundlagskravene vedrørende markedsrisiko for
alle sine positioner i handelsbeholdningen og alle sine positioner uden for
handelsbeholdningen, der er udsat for valutakursrisiko eller råvarerisiko, ved
hjælp af følgende metoder:
a) den alternative standardmetode, der er beskrevet i kapitel 1a
b) den alternative metode med interne modeller, der er beskrevet i kapitel
1b, for de positioner, der henregnes til handelsenheder, for hvilke
instituttet har fået tilladelse af de kompetente myndigheder til at anvende
denne alternative metode, jf. artikel 325az, stk. 1
c) den forenklede standardmetode, der er omhandlet i nærværende artikels
stk. 2, forudsat at instituttet opfylder betingelserne i artikel 325a, stk. 1.
Uanset første afsnit beregner et institut ikke et kapitalgrundlagskrav i relation
til valutakursrisiko for positioner i handelsbeholdningen og positioner uden for
handelsbeholdningen, der er udsat for valutakursrisiko, hvis disse positioner
fratrækkes instituttets kapitalgrundlag.
2. Kapitalgrundlagskravene vedrørende markedsrisiko beregnet i
overensstemmelse med den forenklede standardmetode skal være lig med
summen af følgende kapitalgrundlagskrav, alt efter hvad der er relevant:
a) kapitalgrundlagskravene vedrørende positionsrisiko omhandlet i kapitel 2
multipliceret med:
i) 1,3, for de generelle og specifikke risici ved positioner i
gældsinstrumenter, undtagen securitiseringsinstrumenter som
omhandlet i artikel 337
ii) 3,5, for de generelle og specifikke risici ved positioner i
aktieinstrumenter
b) kapitalgrundlagskravene vedrørende valutakursrisiko omhandlet i kapitel
3 multipliceret med 1,2
c) kapitalgrundlagskravene vedrørende råvarerisiko omhandlet i kapitel 4
multipliceret med 1,9
d) kapitalgrundlagskravene vedrørende securitiseringsinstrumenter som
omhandlet i artikel 337.
3. Et institut, der anvender den alternative metode med interne modeller, der er
omhandlet i stk. 1, litra b), til at beregne kapitalgrundlagskravene vedrørende
markedsrisiko i forbindelse med positioner i handelsbeholdningen og
positioner uden for handelsbeholdningen, der er udsat for valutakursrisiko eller
råvarerisiko, indberetter den månedlige beregning af kapitalgrundlagskravene
vedrørende markedsrisiko til de kompetente myndigheder ved hjælp af den
alternative standardmetode, der er omhandlet i stk. 1, litra a), for hver
handelsenhed, som disse positioner henregnes til i overensstemmelse med
artikel 104b.
4. Et institut kan permanent inden for en koncern anvende en kombination af
de alternative standardmetoder, der er omhandlet i stk. 1, litra a), og den
alternative metode med interne modeller, der er omhandlet i stk. 1, litra b).
Instituttet må ikke anvende nogen af disse metoder i kombination med den
forenklede standardmetode, der er omhandlet i stk. 1, litra c).
DA 156 DA
5. Et institut må ikke anvende den alternative metode med interne modeller,
som er beskrevet i stk. 1, litra b), for instrumenter i deres handelsbeholdning,
der er securitiseringspositioner eller positioner i den alternative
korrelationshandelsportefølje (ACTP'en) som fastsat i stk. 6, 7 og 8."
b) Stk. 9 affattes således:
"9. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere, hvordan institutterne skal beregne
kapitalgrundlagskravene vedrørende markedsrisiko for positioner uden for
handelsbeholdningen, der er udsat for valutakursrisiko eller råvarerisiko, efter
de metoder, der er beskrevet i nærværende artikels stk. 1, litra a) og b), under
hensyntagen til kravene i artikel 104b, stk. 5og 6, hvor det er relevant.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 9
måneder efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelse til at supplere denne forordning ved at
vedtage de i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(133) I artikel 325a foretages følgende ændringer:
a) Titlen affattes således:
"Betingelser for anvendelse af den forenklede standardmetode".
b) Stk. 1, første afsnit, affattes således:
"1. Et institut kan beregne kapitalgrundlagskravene vedrørende markedsrisiko
ved at anvende den forenklede standardmetode, der er omhandlet i artikel 325,
stk. 1, litra c), såfremt omfanget af instituttets balanceførte og ikkebalanceførte
aktiviteter, der er udsat for markedsrisiko, er lig med eller under begge
følgende tærskler på grundlag af en månedlig vurdering ved anvendelse af
oplysninger fra den sidste dag i måneden:".
c) Stk. 2, litra b), affattes således:
"b) alle positioner uden for handelsbeholdningen, der er udsat for
valutakursrisiko eller råvarerisiko, medtages, undtagen positioner, der ikke
indgår i beregningen af kapitalgrundlagskrav vedrørende valutarisiko i henhold
til artikel 104c, eller som fratrækkes instituttets kapitalgrundlag".
d) Stk. 5, første afsnit, affattes således:
"5. Institutterne ophører med at beregne kapitalgrundlagskravene vedrørende
markedsrisiko efter metoden i artikel 325, stk. 1, litra c), inden for tre måneder
i et af følgende tilfælde:".
e) Stk. 6 affattes således:
"6. Hvis et institut er ophørt med at beregne kapitalgrundlagskravene
vedrørende markedsrisiko ved at anvende artikel 325, stk. 1, litra c), må det
kun begynde at beregne kapitalgrundlagskravene vedrørende markedsrisiko
ved at anvende nævnte metode, når det over for den kompetente myndighed
har godtgjort, at alle betingelserne i stk. 1 er blevet opfyldt i en uafbrudt
periode på et år."
DA 157 DA
(134) I artikel 325b tilføjes følgende som stk. 4:
"4. Har en kompetent myndighed ikke givet et institut tilladelsen omhandlet i stk. 2
til mindst ét institut eller selskab i koncernen, finder følgende krav anvendelse ved
beregningen af kapitalgrundlagskravene vedrørende markedsrisiko på konsolideret
grundlag i overensstemmelse med dette afsnit:
a) Instituttet beregner nettopositioner og kapitalgrundlagskrav i overensstemmelse
med dette afsnit for alle positioner i institutter eller selskaber i den koncern, for
hvilke instituttet har fået tilladelse som omhandlet i stk. 2, ved at anvende
behandlingen omhandlet i stk. 1.
b) Instituttet beregner nettopositioner og kapitalgrundlagskrav i overensstemmelse
med dette afsnit individuelt for alle positioner i hvert institut eller selskab i den
koncern, for hvilke instituttet ikke har fået tilladelse som omhandlet i stk. 2.
c) Instituttet beregner de samlede kapitalgrundlagskrav i overensstemmelse med
dette afsnit på konsolideret grundlag ved at tilføje de beløb, der er beregnet i
dette stykkes litra a) og b).
Med henblik på beregningen omhandlet i litra a) og b) anvender institutter og
selskaber som omhandlet i litra a) og b) samme indberetningsvaluta som den
indberetningsvaluta, der anvendes til at beregne kapitalgrundlagskravene vedrørende
markedsrisiko, i overensstemmelse med dette afsnit på konsolideret grundlag for
koncernen."
(135) I artikel 325c foretages følgende ændringer:
a) Titlen affattes således:
"Den alternative standardmetodes anvendelsesområde, struktur og kvalitetskrav".
b) Stk. 1 affattes således:
"1. Institutterne skal have indført et dokumenteret sæt interne politikker,
procedurer og kontrolforanstaltninger med henblik på at overvåge og sikre
overholdelse af kravene i dette kapitel og gøre det tilgængeligt for de
kompetente myndigheder. Eventuelle ændringer af disse politikker, procedurer
og kontrolforanstaltninger meddeles de kompetente myndigheder i rette tid."
c) Som stk. 3-6 indsættes følgende:
"3. Institutterne skal have en risikokontrolfunktion, der er uafhængig af
handelsfunktioner, og som rapporterer direkte til den øverste ledelse. Denne
risikokontrolfunktion skal være ansvarlig for udformningen og
implementeringen af den alternative standardmetode. Den udarbejder og
analyserer månedlige rapporter om resultatet af den alternative standardmetode
samt hensigtsmæssigheden af instituttets handelsbegrænsninger.
4. Institutterne foretager en uafhængig gennemgang af den alternative
standardmetode, som de anvender med henblik på dette kapitel, på en for de
kompetente myndigheder tilfredsstillende måde, enten som led i deres
regelmæssige interne revisionsproces eller ved at give en tredjepart mandat til
at foretage denne gennemgang.
Med henblik på første afsnit er en tredjepart en virksomhed, som leverer
revisions- og konsulenttjenester til institutterne, og som råder over
DA 158 DA
medarbejdere, der har tilstrækkelige færdigheder og kompetencer på området
for markedsrisiko.
5. Gennemgangen af den alternative standardmetode, der er omhandlet i stk. 4,
skal omfatte både handelsenhedernes og den uafhængige
risikokontrolfunktions aktiviteter og vurdere samtlige følgende:
a) de interne politikker, procedurer og kontroller med henblik på
overvågning og sikring af overholdelsen af de krav, der er omhandlet i
stk. 1
b) hvorvidt dokumentationen vedrørende risikostyringsmodellen og -
processer samt organisationen af risikokontrolfunktionen, der er
omhandlet i stk. 2, er fyldestgørende
c) nøjagtigheden af følsomhedsberegninger og af den proces, der anvendes
til at udlede disse beregninger fra instituttets værdiansættelsesmodeller,
der tjener som basis for indberetning af overskud og tab til den øverste
ledelse, jf. artikel 325t
d) den kontrolproces, som instituttet anvender ved vurderingen af, om de
informationskilder, der bruges til beregningen af kapitalgrundlagskravene
vedrørende markedsrisiko ved anvendelse af den alternative
standardmetode, er konsistente, aktuelle og pålidelige, samt om sådanne
informationskilder er uafhængige.
Et institut foretager gennemgangen omhandlet i stk. 1 mindst én gang om året
eller mindre hyppigt efter godkendelse fra de kompetente myndigheder."
(136) I artikel 325j foretages følgende ændringer:
a) Stk. 1 affattes således:
"1. Et institut beregner kapitalgrundlagskravene vedrørende markedsrisiko for
en position i en CIU ved hjælp af en af følgende metoder:
a) et institut, der opfylder betingelsen i artikel 104, stk. 7, litra a), beregner
kapitelkapitalgrundlagskravene vedrørende markedsrisiko for denne
position ved hver måned at se på CIU'ens underliggende positioner, som
om instituttet besad disse positioner direkte
b) hvis et institut opfylder betingelsen i artikel 104, stk. 7, litra b), beregner
instituttet kapitalgrundlagskravene vedrørende markedsrisiko for denne
position ved at anvende en af følgende metoder:
i) det beregner kapitalgrundlagskravet vedrørende markedsrisiko for
CIU'en ved at betragte positionen i CIU'en som en enkelt
aktieposition, der er allokeret til undergruppen "Andre sektorer" i
artikel 325ap, stk. 1, tabel 8
ii) det beregner kapitalgrundlagskravet vedrørende markedsrisiko for
CIU'en i overensstemmelse med de grænser, der er fastsat i CIU'ens
mandat og den relevante lovgivning.
Med henblik på den beregning, der er omhandlet i nr. i), betragter instituttet
positionen i CIU'en som en enkelt ikkeratet aktieposition allokeret til
undergruppen "Ikkerated" i artikel 325y, stk. 1, tabel 2.
DA 159 DA
Med henblik på den beregning, der er omhandlet i nr. ii), kan instituttet beregne
kapitalgrundlagskravene vedrørende modpartsrisiko og
kapitalgrundlagskravene vedrørende kreditværdijusteringsrisiko for
derivatpositioner i CIU'en ved at anvende den forenklede metode i artikel 132a,
stk. 3."
b) Følgende indsættes som stk. 1a:
"1a. Med henblik på de metoder, der er omhandlet i stk. 1, litra b), nr. i) og ii),
skal instituttet:
a) anvende kapitalgrundlagskravene vedrørende misligholdelsesrisiko i
afdeling 5 og tillægget for restrisiko i afdeling 4 på en position i en CIU,
hvis den pågældende CIU's mandat giver den mulighed for at investere i
eksponeringer, der er omfattet af disse kapitalgrundlagskrav
b) for alle positioner i samme CIU anvende samme metode blandt de
metoder, der er omhandlet i stk. 1, litra b), til at beregne
kapitalgrundlagskravene særskilt som en separat portefølje."
c) Stk. 4 affattes således:
"4. Med henblik på stk. 1, litra b), nr. ii), bestemmer et institut beregningen af
kapitalgrundlagskravene vedrørende markedsrisiko ved at bestemme den
hypotetiske portefølje, der ville tiltrække de højeste kapitalgrundlagskrav i
henhold til artikel 325c, stk. 2, litra a), på basis af CIU'ens mandat eller
relevant lovgivning, idet der tages hensyn til gearing i videst muligt omfang,
hvor det er relevant.
Instituttet anvender den samme hypotetiske portefølje som den, der er
omhandlet i første afsnit, til, hvor det er relevant, at beregne
kapitalgrundlagskravene vedrørende misligholdelsesrisiko i afdeling 5 og
tillægget for restrisiko i afdeling 4 for en position i en CIU.
Den metode, som instituttet har udarbejdet til bestemmelse af de hypotetiske
porteføljer for alle positioner i CIU'er, for hvilke beregningerne omhandlet i
første afsnit anvendes, skal godkendes af dets kompetente myndighed."
d) Følgende tilføjes som stk. 6 og 7:
"6. Institutter, som ikke har tilstrækkelige data eller oplysninger til at beregne
kapitalgrundlagskravene vedrørende markedsrisiko for en CIU-position i
overensstemmelse med metoden omhandlet i stk. 1, litra a), kan benytte
beregninger udført af en tredjepart, såfremt samtlige følgende betingelser er
opfyldt:
a) tredjeparten er en af følgende:
i) depotinstituttet eller depotfinansieringsinstituttet for CIU'en,
forudsat at CIU'en udelukkende investerer i værdipapirer og
deponerer samtlige værdipapirer hos dette depotinstitut eller
depotfinansieringsinstitut
ii) for CIU'er, som ikke er omfattet af nr. i), CIU-
administrationsselskabet, forudsat at CIU-administrationsselskabet
opfylder kriterierne i artikel 132, stk. 3, litra a)
DA 160 DA
b) tredjeparten forsyner instituttet med de data eller oplysninger, der er
nødvendige for at beregne kapitalgrundlagskravet vedrørende
markedsrisiko for CIU'ens position i overensstemmelse med den metode,
der er omhandlet i stk. 1, litra a)
c) en ekstern revisor for instituttet har bekræftet, at tredjepartens data eller
oplysninger som omhandlet i litra b) er tilstrækkelige, og instituttets
kompetente myndighed har ubegrænset adgang til disse data og
oplysninger efter anmodning.
7. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på yderligere at præcisere de tekniske elementer i metoden til
bestemmelse af hypotetiske porteføljer med henblik på metoden omhandlet i
stk. 4, herunder den måde, hvorpå institutterne i videst muligt omfang skal tage
hensyn til gearingsmetoden i metodologien.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 12
måneder efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelse til at supplere denne forordning ved at
vedtage de i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(137) Artikel 325q, stk. 2, affattes således:
"2. De vegavalutakursrisikofaktorer, som institutterne skal anvende på optioner med
underliggende instrumenter, som er følsomme over for valutarisici, er de implicitte
volatiliteter for valutakurser mellem valutapar. Disse implicitte volatiliteter fordeles
til følgende løbetider i overensstemmelse med løbetiderne for de tilsvarende
optioner, der er omfattet af kapitalgrundlagskrav: 0,5 år, et år, tre år, fem år, ti år."
(138) I artikel 325s, stk. 1, affattes formlen 𝑠𝑘 således:
"𝑠𝑘 =
𝑉𝑖(0,01+𝑣𝑜𝑙𝑘,𝑥,𝑦)−𝑉𝑖(𝑣𝑜𝑙𝑘,𝑥,𝑦)
0,01
∙ 𝑣𝑜𝑙𝑘".
(139) I artikel 325t foretages følgende ændringer:
a) Stk. 1, andet afsnit, affattes således:
"Uanset første afsnit kan de kompetente myndigheder kræve, at et institut, som
har fået tilladelse til at anvende den alternative metode med interne modeller,
jf. kapitel 1b, anvender værdiansættelsesfunktionerne i risikomålingssystemet
under deres metode med interne modeller til beregning af følsomheder i
henhold til dette kapitel med henblik på beregnings- og indberetningskravene i
artikel 325, stk. 3."
b) Stk. 5, litra a), affattes således:
"a) disse alternative definitioner anvendes med henblik på intern risikostyring
eller til indberetning af overskud og tab til den øverste ledelse af en uafhængig
risikokontrolenhed i instituttet".
c) Stk. 6, litra a), affattes således:
"a) disse alternative definitioner anvendes med henblik på intern risikostyring
eller til indberetning af overskud og tab til den øverste ledelse af en uafhængig
risikokontrolenhed i instituttet".
DA 161 DA
(140) I artikel 325v tilføjes følgende som stk. 3:
"3. For handlede kredit- og aktiederivater, der ikke er securitiseringer, bestemmes
JTD-beløbene for de enkelte dele ved hjælp af transparensmetoden."
(141) I artikel 325y tilføjes følgende som stk. 6:
"6. Med henblik på denne artikel henføres en eksponering til den
kreditkvalitetskategori, der svarer til den kreditkvalitetskategori, som den ville blive
henført til efter standardmetoden for kreditrisiko i afsnit II, kapitel 2."
(142) Artikel 325ab, stk. 2, udgår.
(143) Artikel 325ae, stk. 3, affattes således:
"3. Risikovægtene for risikofaktorer baseret på de valutaer, der indgår i
underkategorien mest likvide valutaer omhandlet i artikel 325bd, stk. 7, litra b), og
instituttets nationale valuta er følgende:
a) for den risikofrie rentes risikofaktorer: de risikovægte, der er anført i stk. 1,
tabel 3, divideret med√2
b) for inflationsrisikofaktoren og valutabasisrisikofaktorer: de risikovægte, der er
anført i stk. 2 divideret med √2."
(144) I artikel 325ah foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) I tabel 4 affattes sektorundergruppe nr. 13 således:
Enheder i den finansielle sektor, herunder kreditinstitutter, der er
etableret af en centralregering eller en regional eller lokal myndighed,
støttelångivere og dækkede obligationer".
ii) Følgende afsnit tilføjes:
"Med henblik på denne artikel henføres en eksponering til den
kreditkvalitetskategori, der svarer til den kreditkvalitetskategori, som den
ville blive henført efter standardmetoden for kreditrisiko i afsnit II,
kapitel 2."
b) Følgende tilføjes som stk. 3:
"3. Uanset stk. 2 kan institutter henføre en risikoeksponering vedrørende en
ikkeratet dækket obligation til undergruppe nr. 4, hvis det institut, der udstedte
den dækkede obligation, har et kreditkvalitetstrin 1-3."
(145) I artikel 325ai, stk. 1, affattes definitionen af ρkl (navn) således:
"ρkl (navn) er lig med 1, når de to navne på følsomhederne k og l er identiske; den er
lig med 35 %, når de to navne på følsomhederne k og l er i undergruppe nr. 1-18 i
artikel 325ah, stk. 1, tabel 4, og ellers 80 %".
(146) I artikel 325aj affattes definitionen af γbc (rating) således:
"γbc (rating) er lig med:
a) 1, når undergruppe b og c er undergruppe nr. 1-17, og begge undergrupper er i
samme kreditkvalitetskategori (enten "kreditkvalitetstrin 1-3" eller
"kreditkvalitetstrin 4-6"), og ellers er det lig med 50 %; med henblik på denne
DA 162 DA
beregning anses undergruppe nr. 1 for at tilhøre den samme
kreditkvalitetskategori som undergrupper, der er tildelt kreditkvalitetstrin 1-3
b) 1, når enten undergruppe b eller c er undergruppe nr. 18
c) 1, når undergruppe b eller c er undergruppe nr. 19, og den anden undergruppe
har kreditkvalitetstrin 1-3, og ellers er det lig med 50 %
d) 1, når undergruppe b eller c er undergruppe nr. 20, og den anden undergruppe
har kreditkvalitetstrin 4-6, og ellers er det lig med 50 %".
(147) I artikel 325ak foretages følgende ændringer:
Stk. 1, a) I tabel 6 affattes sektorundergruppe nr. 13 således:
"Enheder i den finansielle sektor, herunder kreditinstitutter, der er etableret af
en centralregering eller en regional eller lokal myndighed, støttelångivere og
dækkede obligationer".
b) Følgende stykker tilføjes:
"Med henblik på denne artikel henføres en eksponering til den
kreditkvalitetskategori, der svarer til den kreditkvalitetskategori, som den ville
blive henført til efter standardmetoden for kreditrisiko i afsnit II, kapitel 2.
Uanset stk. 2 kan institutter henføre en risikoeksponering vedrørende en
ikkeratet dækket obligation til undergruppe nr. 4, hvis det institut, der udstedte
den dækkede obligation, har et kreditkvalitetstrin 1-3."
(148) I artikel 325am indsættes følgende som stk. 3:
"3. Med henblik på denne artikel henføres en eksponering til den
kreditkvalitetskategori, der svarer til den kreditkvalitetskategori, som den ville blive
henført til efter standardmetoden for kreditrisiko i afsnit II, kapitel 2."
(149) Artikel 325as, tabel 9, ændres således:
a) Undergruppenavnet på undergruppe nr. 3 affattes således:
"Energi — elektricitet".
b) Følgende række indsættes:
3a Energi — kulstofhandel 40 %
".
(150) I artikel 325ax foretages følgende ændringer:
a) Stk. 1 og 2 affattes således:
"1. Undergrupper for vegarisikofaktorer skal svare til de undergrupper, der er
fastsat for deltarisikofaktorer i overensstemmelse med dette kapitel, afdeling 3,
underafdeling 1.
2. Risikovægte for følsomheder over for vegarisikofaktorer tildeles i
overensstemmelse med risikofaktorernes risikoklasse således:
Tabel 11
Risikoklasse Risikovægte
DA 163 DA
GIRR 100 %
CSR
(ikkesecuritiseringer)
100 %
CSR securitiseringer
(ACTP)
100 %
CSR securitiseringer
(uden for ACTP'en)
100 %
Aktie (large cap og
indekser)
77,78 %
Aktie (small cap og
anden sektor)
100 %
Råvare 100 %
Valuta 100 %
b) Stk. 3 udgår.
(151) I artikel 325az foretages følgende ændringer:
a) Stk. 1 affattes således:
"1. Et institut kan anvende den alternative metode med interne modeller til at
beregne sine kapitalgrundlagskrav vedrørende markedsrisiko, forudsat at
instituttet opfylder alle kravene i dette kapitel."
c) Stk. 2, første afsnit, ændres således:
i) Litra c) og d) affattes således:
"c) handelsenhederne har opfyldt de "backtesting"-krav, der er omhandlet
i artikel 325bf, stk. 3
d) handelsenhederne har opfyldt kravene vedrørende fordeling af
overskud og tab ("P&L attribution"), der er omhandlet i artikel 325bg".
ii) Følgende tilføjes som litra g):
"g) der er ikke tildelt positioner i CIU'er, der opfylder betingelsen i
artikel 104, stk. 7, litra b), til handelsenhederne."
c) Stk. 3 affattes således:
"3. Institutter, som har fået tilladelse til at anvende den alternative metode med
interne modeller, skal også opfylde indberetningskravene i artikel 325, stk. 3."
d) Stk. 9, første afsnit, ændres således:
i) Litra b) affattes således:
"b) til at begrænse beregningen af tillægget til den værdi, der
fremkommer ved overskridelser under "backtesting" af hypotetiske
ændringer som omhandlet i artikel 325bf, stk. 6".
DA 164 DA
ii) Følgende indsættes som litra c):
"c) til at udelukke overskridelser, der fremgår af "backtesting" af
hypotetiske eller faktiske ændringer, fra beregningen af tillægget som
omhandlet i artikel 325bf, stk. 6."
(152) I artikel 325ba tilføjes følgende som stk. 3:
"3. Et institut, der anvender en alternativ intern model, beregner de samlede
kapitalgrundlagskrav vedrørende markedsrisiko for alle positioner i
handelsbeholdningen og alle positioner uden for handelsbeholdningen, der genererer
valutakursrisici eller råvarerisici, ved hjælp af følgende formel:
𝐴𝐼𝑀𝐴𝑡𝑜𝑡𝑎𝑙 = min( 𝐴𝐼𝑀𝐴 + 𝑃𝐿𝐴𝑎𝑑𝑑𝑜𝑛 + 𝐴𝑆𝐴𝑛𝑜𝑛−𝑎𝑖𝑚𝑎 ; 𝐴𝑆𝐴𝑎𝑙𝑙𝑝𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜)
+ max( 𝐴𝐼𝑀𝐴 − 𝐴𝑆𝐴𝑎𝑖𝑚𝑎; 0)
hvor:
AIMA = summen af kapitalgrundlagskravene omhandlet i stk. 1 og 2
PLAaddon = kravet om yderligere kapitalgrundlag omhandlet i artikel 325bg, stk.
2
ASAall portfolio = kapitalgrundlagskravene vedrørende markedsrisiko beregnet efter
den alternative standardmetode, der er omhandlet i artikel 325, stk. 1, litra a), for
porteføljen af alle positioner i handelsbeholdningen og alle positioner uden for
handelsbeholdningen, der genererer valutakurs- eller råvarerisici
ASAnon−aima = kapitalgrundlagskravene vedrørende markedsrisiko beregnet efter
den alternative standardmetode, der er omhandlet i artikel 325, stk. 1, litra a), for
porteføljen af positioner i handelsbeholdningen og positioner uden for
handelsbeholdningen, der genererer valutakurs- eller råvarerisici, og for hvilke
instituttet har anvendt den samme metode til at beregne kapitalgrundlagskravene
vedrørende markedsrisiko
AS = kapitalgrundlagskravene vedrørende markedsrisiko beregnet efter
den alternative standardmetode, der er omhandlet i artikel 325, stk. 1, litra a), for
porteføljen af positioner i handelsbeholdningen og positioner uden for
handelsbeholdningen, der genererer valutakurs- eller råvarerisici, og for hvilke
instituttet har anvendt den metode, der er omhandlet i artikel 325, stk. 1, litra b), til at
beregne kapitalgrundlagskravene vedrørende markedsrisiko."
(153) I artikel 325bc tilføjes følgende som stk. 6:
"6. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik
på at præcisere kriterierne for anvendelse af datainput i den risikomålingsmodel, der
er omhandlet i denne artikel, herunder kriterier for dataenes nøjagtighed og kriterier
for kalibrering af datainput, hvis markedsdataene er utilstrækkelige.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest [ni måneder efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelse til at supplere denne forordning ved at vedtage de
i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(154) I artikel 325be foretages følgende ændringer:
a) I stk. 1 tilføjes følgende afsnit:
DA 165 DA
"Med henblik på den vurdering, der er omhandlet i stk. 1, kan de kompetente
myndigheder tillade institutter at anvende markedsdata fra
tredjepartsleverandører."
b) Følgende indsættes som stk. 1a:
"1a. De kompetente myndigheder kan kræve, at et institut anser en risikofaktor,
der er blevet vurderet som modellerbar af instituttet i overensstemmelse med
stk. 1, for ikke at være modellerbar, hvis de datainput, der anvendes til at
bestemme de fremtidige stødscenarier, der anvendes på risikofaktoren, efter de
kompetente myndigheders opfattelse ikke i tilstrækkelig grad opfylder kravene
i artikel 325bc, stk. 6."
c) Følgende indsættes som stk. 2a:
"2a. Under ekstraordinære omstændigheder, der forekommer i perioder med
væsentlig reduktion af visse handelsaktiviteter på tværs af finansielle markeder,
kan de kompetente myndigheder tillade alle institutter, der anvender metoden i
dette kapitel, at anse visse risikofaktorer, som disse institutter har vurderet som
ikke modellerbare i overensstemmelse med stk. 1, for at være modellerbare,
forudsat at følgende betingelser er opfyldt:
a) De risikofaktorer, der er omfattet af behandlingen, svarer til de
handelsaktiviteter, der er væsentligt reduceret på tværs af finansielle
markeder.
b) Behandlingen anvendes midlertidigt og højst i seks måneder inden for ét
regnskabsår.
c) Den behandling, der er omhandlet i første afsnit, reducerer ikke
væsentligt de samlede kapitalgrundlagskrav vedrørende markedsrisiko
for de institutter, der anvender den.
d) De kompetente myndigheder underretter straks EBA om enhver afgørelse
om at give institutter tilladelse til at anvende metoden i dette kapitel til at
anse visse risikofaktorer, der er blevet vurderet som ikke-modellerbare,
for at være modellerbare samt om de pågældende handelsaktiviteter og
begrunder denne afgørelse."
d) Stk. 3 affattes således:
"3. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere kriterierne for vurdering af, om modellerbarheden af
risikofaktorerne er i overensstemmelse med stk. 1, herunder når der anvendes
markedsdata som omhandlet i stk. 2b, og hyppigheden af denne vurdering.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 9
måneder efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelse til at supplere denne forordning ved at
vedtage de i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(155) I artikel 325bf foretages følgende ændringer:
a) I stk. 6 foretages følgende ændringer:
i) Første afsnit, indledningen affattes således:
DA 166 DA
"Multiplikationsfaktoren (mc) er lig med som minimum summen af 1,5
og et tillæg, der bestemmes i overensstemmelse med tabel 3. For den
portefølje, der er omhandlet i stk. 5, beregnes dette tillæg ud fra antallet
af overskridelser i de seneste 250 arbejdsdage ifølge instituttets
"backtesting" af value-at-risk-værdien beregnet i henhold til dette afsnits
litra a). Beregningen af tillægget er omfattet af følgende krav:".
ii) Sidste afsnit affattes således:
"Under ekstraordinære omstændigheder kan de kompetente myndigheder
tillade, at et institut:
a) begrænser tillægget til den værdi, der fremkommer ved
overskridelser under "backtesting" af hypotetiske ændringer, hvis
antallet af overskridelser under "backtesting" af de faktiske
ændringer ikke fremkommer ved mangler i instituttets alternative
interne model
b) udelukke overskridelser, der fremgår af "backtesting" af
hypotetiske eller faktiske ændringer, fra beregningen af tillægget,
hvis disse overskridelser ikke skyldes mangler i instituttets
alternative interne model."
iii) Følgende afsnit tilføjes:
"Med henblik på første afsnit kan de kompetente myndigheder forhøje
værdien af mc over det beløb, der er omhandlet i nævnte afsnit, hvis et
instituts alternative interne model udviser mangler til på passende vis at
måle kapitalgrundlagskravene vedrørende markedsrisiko."
b) Stk. 8 affattes således:
"8. Uanset denne artikels stk. 2 og 6 kan de kompetente myndigheder give et
institut tilladelse til ikke at tælle en overskridelse, hvis en endagsændring i
værdien af dets portefølje, der overstiger den relaterede value-at-risk-værdi,
som er beregnet ved hjælp af det pågældende instituts interne model, skyldes
en ikkemodellerbar risikofaktor."
c) Følgende tilføjes som stk. 10:
"10. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere betingelserne og kriterierne for, at et institut kan få
tilladelse til ikke at tælle en overskridelse, hvis endagsændringen i værdien af
dets portefølje, der overstiger den relaterede value-at-risk-værdi, som er
beregnet ved hjælp af det pågældende instituts interne model, skyldes en
ikkemodellerbar risikofaktor.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 18
måneder efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelse til at supplere denne forordning ved at
vedtage de i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
(156) I artikel 325bg foretages følgende ændringer:
a) Stk. 1-3 affattes således:
DA 167 DA
"1. Et instituts handelsenhed opfylder kravene vedrørende fordeling af
overskud og tab, hvis de teoretiske ændringer i værdien af den pågældende
handelsenheds portefølje på grundlag af instituttets risikomålingsmodel ligger
enten tæt på eller tilstrækkeligt tæt på de hypotetiske ændringer i værdien af
den pågældende handelsenheds portefølje baseret på instituttets
prisfastsættelsesmodel.
2. Uanset stk. 1 skal instituttet, hvis de teoretiske ændringer i værdien af en
handelsenheds portefølje på grundlag af instituttets risikomålingsmodel ligger
tilstrækkeligt tæt på de hypotetiske ændringer i værdien af den pågældende
handelsenheds portefølje baseret på instituttets prisfastsættelsesmodel, beregne
et yderligere kapitalgrundlagskrav i forhold til kapitalgrundlagskravene i
artikel 325ba, stk. 1 og 2, for alle de positioner, der er tildelt den pågældende
handelsenhed.
3. For hver position i en given handelsenhed skal et instituts opfyldelse af
kravet vedrørende fordeling af overskud og tab, jf. stk. 1, føre til opstilling af
en præcis liste over risikofaktorer, som anses for at være hensigtsmæssige til at
bekræfte instituttets opfyldelse af det "backtesting"-krav, der er omhandlet i
artikel 325bf."
b) I stk. 4 foretages følgende ændringer:
i) Litra a) og b) affattes således:
"a) de kriterier, der under hensyntagen til udviklingen i internationale
reguleringsmæssige standarder præciserer, om de teoretiske ændringer i
værdien af en handelsenheds portefølje ligger tæt på eller tilstrækkeligt
tæt på de hypotetiske ændringer i værdien af handelsenhedens portefølje
med henblik på stk. 1
b) kravet om yderligere kapitalgrundlag som omhandlet i stk. 2".
ii) Litra e) udgår.
iii) De sidste to afsnit affattes således:
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder
for Kommissionen senest [ni måneder efter denne forordnings
ikrafttræden].
Kommissionen tillægges beføjelse til at supplere denne forordning ved at
vedtage de i første afsnit omhandlede reguleringsmæssige tekniske
standarder i overensstemmelse med artikel 10-14 i forordning (EU) nr.
1093/2010."
(157) I artikel 325bh foretages følgende ændringer:
a) I stk. 1 tilføjes følgende som litra i):
"i) For positioner i CIU'er skal institutterne undersøge CIU'ernes underliggende
positioner mindst én gang om ugen for at beregne deres kapitalgrundlagskrav i
overensstemmelse med dette kapitel; institutter, som ikke har tilstrækkelige
data eller oplysninger til at beregne kapitalgrundlagskravet vedrørende
markedsrisiko for en CIU-position i overensstemmelse med
transparensmetoden, kan benytte en tredjepart til at tilvejebringe sådanne data
eller oplysninger, såfremt samtlige følgende betingelser er opfyldt:
DA 168 DA
i) tredjeparten er en af følgende:
– depotinstituttet eller depotfinansieringsinstituttet for CIU'en,
forudsat at CIU'en udelukkende investerer i værdipapirer og
deponerer samtlige værdipapirer hos dette depotinstitut eller
depotfinansieringsinstitut
– for CIU'er, som ikke er omfattet af dette nummers første led, CIU-
administrationsselskabet, forudsat at CIU-administrationsselskabet
opfylder kriterierne i artikel 132, stk. 3, litra a)
ii) tredjeparten forsyner instituttet med de relevante data eller oplysninger til
beregning af kapitalgrundlagskravet vedrørende markedsrisiko for
CIU'ens position i overensstemmelse med den metode, der er omhandlet i
første afsnit
iii) en ekstern revisor for instituttet har bekræftet, at tredjepartens data
eller oplysninger som omhandlet i nr. ii) er tilstrækkelige, og
instituttets kompetente myndighed har ubegrænset adgang til disse
data og oplysninger efter anmodning."
b) Stk. 2 affattes således:
"2. Et institut må kun anvende empiriske korrelationer inden for brede
risikofaktorkategorier og, med henblik på at beregne målet for unconstrained
expected shortfall UESt, jf. artikel 325bb, stk. 1, på tværs af brede
risikofaktorkategorier, hvis instituttets metode til måling af disse korrelationer
er pålidelig, er forenelig med enten de relevante likviditetshorisonter, eller, på
en for instituttets kompetente myndigheder tilfredsstillende måde, med
basistidshorisonten på 10 dage, jf. artikel 325bc, stk. 1, og anvendes
forsvarligt."
c) Stk. 3 udgår.
(158) Artikel 325bi, stk. 1, litra b), ændres således:
b) Et institut skal have en risikokontrolfunktion, der er uafhængig af
handelsfunktioner, og som rapporterer direkte til den øverste ledelse.
Risikokontrolfunktionen skal:
i) være ansvarlig for udformningen og implementeringen af interne
risikomålingsmodeller, der anvendes i den alternative metode med interne
modeller med henblik på dette kapitel
ii) være ansvarlig for det overordnede risikostyringssystem
iii) dagligt udarbejde og analysere rapporter om resultaterne fra interne modeller til
beregning af kapitalkrav vedrørende markedsrisiko og rapporter om
hensigtsmæssige foranstaltninger vedrørende handelsbegrænsninger.
En valideringsenhed, der er adskilt fra risikokontrolfunktionen, foretager den
indledende og løbende validering af interne risikomålingsmodeller, der anvendes i
den alternative metode med interne modeller med henblik på dette kapitel."
(159) I artikel 325bp foretages følgende ændringer:
a) I stk. 5 foretages følgende ændringer:
i) Litra d) og e) affattes således:
DA 169 DA
"d) et institut, som har fået tilladelse til at estimere sandsynligheden for
misligholdelse i henhold til afsnit II, kapitel 3, afdeling 1, for
eksponeringsklassen og det ratingsystem, der svarer til en given udsteder,
anvender den metode, der er fastsat deri, til at beregne sandsynligheden
for misligholdelse for den pågældende udsteder, forudsat at der foreligger
data til brug for et sådant estimat
e) et institut, som ikke har fået tilladelse til at estimere sandsynligheden
for misligholdelse som omhandlet i litra d), udvikler en intern metode
eller anvender eksterne kilder til at estimere denne sandsynlighed for
misligholdelse i overensstemmelse med de krav, der gælder for estimater
af sandsynligheden for misligholdelse i henhold til denne artikel."
ii) Følgende afsnit tilføjes:
"Med henblik på litra d) foreligger de data, der skal anvendes til
estimering af sandsynligheden for misligholdelse for en given udsteder af
en position i handelsbeholdningen, hvis instituttet på beregningsdatoen
har en position uden for handelsbeholdningen på den samme låntager, for
hvilken det estimerer sandsynligheden for misligholdelse i
overensstemmelse med afsnit II, kapitel 3, afdeling 1, med henblik på at
beregne kapitalgrundlagskravene i nævnte kapitel."
b) I stk. 6 foretages følgende ændringer:
i) Litra c) og d) affattes således:
"c) et institut, som har fået tilladelse til at estimere tab givet
misligholdelse i henhold til afsnit II, kapitel 3, afdeling 1, for
eksponeringsklassen og det ratingsystem, der svarer til en given
eksponering, anvender den metode, der er fastsat deri, til at beregne det
estimerede tab givet misligholdelse for den pågældende udsteder,
forudsat at der foreligger data til brug for et sådant estimat
d) et institut, som ikke har fået tilladelse til at estimere tab givet
misligholdelse som omhandlet i litra c), udvikler en intern metode eller
anvender eksterne kilder til at estimere tab givet misligholdelse i
overensstemmelse med de krav, der gælder for estimater af tab givet
misligholdelse i henhold til denne artikel."
ii) Følgende afsnit tilføjes:
"Med henblik på litra c) foreligger de data, der skal anvendes til
estimering af tab givet misligholdelse for en given udsteder af en position
i handelsbeholdningen, hvis instituttet på beregningsdatoen har en
position uden for handelsbeholdningen på den samme eksponering, for
hvilken det estimerer tab givet misligholdelse i overensstemmelse med
afsnit II, kapitel 3, afdeling 1, med henblik på at beregne
kapitalgrundlagskravene i nævnte kapitel."
(160) Artikel 337, stk. 2, affattes således:
"2. Ved fastsættelse af risikovægte med henblik på stk. 1 anvender institutterne
udelukkende den metode, der er beskrevet i afsnit II, kapitel 5, afdeling 3."
(161) Artikel 338, stk. 1 og 2, affattes således:
DA 170 DA
"1. Med henblik på denne artikel fastsætter et institut sin
korrelationshandelsportefølje i overensstemmelse med bestemmelserne i artikel 325,
stk. 6, 7 og 8.
2. Et institut fastsætter kapitalgrundlagskravet i relation til specifik risiko vedrørende
korrelationshandelsporteføljen som det højeste af følgende beløb:
a) det samlede kapitalgrundlagskrav i relation til specifik risiko vedrørende
korrelationshandelsporteføljens lange nettopositioner alene
b) det samlede kapitalgrundlagskrav i relation til specifik risiko vedrørende
korrelationshandelsporteføljens korte nettopositioner alene."
(162) Artikel 352, stk. 2, udgår.
(163) Artikel 361, litra c) og sidste stykke udgår
(164) Tredje del, afsnit IV, kapitel 5, udgår.
(165) I artikel 381 tilføjes følgende stykke:
"I dette afsnit forstås ved "kreditværdijusteringsrisiko" eller "CVA-risiko" risikoen
for tab som følge af ændringer i kreditværdijusteringen beregnet for porteføljen af
transaktioner med en modpart som omhandlet i første afsnit som følge af bevægelser
i en modparts kreditspændsrisikofaktorer og andre risikofaktorer, der er indbygget i
porteføljen af transaktioner."
(166) I artikel 382 foretages følgende ændringer:
a) Stk. 2 affattes således:
"2. Et institut skal ved beregningen af kapitalgrundlagskravene, jf. stk. 1,
indregne værdipapirfinansieringstransaktioner til deres dagsværdi i henhold til
de regnskabsregler, der gælder for instituttet, hvis instituttets
kreditværdijusteringsrisiko som følge af disse transaktioner er væsentlig."
b) Følgende indsættes som stk. 4a og 4b:
"4a. Uanset stk. 4 kan et institut vælge at beregne et kapitalgrundlagskrav i
relation til kreditværdijusteringsrisiko ved hjælp af en af de relevante metoder,
der er omhandlet i artikel 382a, for de transaktioner, der er udelukket i henhold
til stk. 4, hvis instituttet anvender afdækning, der kan indregnes, og som er
fastsat i overensstemmelse med artikel 386, til at mindske
kreditværdijusteringsrisikoen ved disse transaktioner. Institutterne indfører
politikker med henblik på at præcisere, hvor de vælger at opfylde deres
kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko i forbindelse med
sådanne transaktioner.
4b. Institutterne indberetter resultaterne af beregningerne af
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko for alle de
transaktioner, der er omhandlet i stk. 4, til deres kompetente myndigheder.
Med henblik på dette indberetningskrav beregner institutterne
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko ved hjælp af
de relevante metoder i artikel 382a, stk. 1, som de ville have anvendt til at
opfylde et kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko, hvis
disse transaktioner ikke var udelukket fra anvendelsesområdet i henhold til stk.
4."
c) Følgende tilføjes som stk. 6:
DA 171 DA
"6. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med
henblik på at præcisere de betingelser og kriterier, som de kompetente
myndigheder skal anvende til at vurdere, om
kreditværdijusteringsrisikoeksponeringerne i forbindelse med
værdipapirfinansieringstransaktioner til dagsværdi er væsentlige, samt
hyppigheden af denne vurdering.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 2 år
efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelse til at vedtage de i andet afsnit omhandlede
reguleringsmæssige tekniske standarder i overensstemmelse med artikel 10-14
i forordning (EU) nr. 1093/2010."
(167) Følgende indsættes som artikel 382a:
"Artikel 382a
Metoder til beregning af kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko
1. Et institut beregner kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko for alle de transaktioner, der er omhandlet i artikel 382,
efter følgende metoder:
a) standardmetoden i artikel 383, hvis instituttet har fået tilladelse til at anvende
denne metode af de kompetente myndigheder
b) basismetoden i artikel 384
c) den forenklede metode i artikel 385, forudsat at instituttet opfylder
betingelserne i stk. 1 i nævnte artikel.
2. Et institut må ikke anvende den metode, der er omhandlet i stk. 1, litra c), i
kombination med de metoder, der er omhandlet i stk. 1, litra a) eller b).
3. Et institut kan anvende en kombination af de metoder, der er omhandlet i stk. 1,
litra a) og b), til permanent at beregne kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko i følgende situationer:
a) for forskellige modparter
b) for forskellige anerkendte nettinggrupper med samme modpart
c) for forskellige transaktioner i samme anerkendte nettinggruppe, forudsat at
følgende betingelser er opfyldt:
i) Instituttet skal opdele nettinggruppen i to hypotetiske nettinggrupper og
henføre alle transaktioner, der er omfattet af metoden i stk. 1, litra a), til
samme hypotetiske nettinggruppe og alle transaktioner, der er omfattet af
metoden i stk. 1, litra b), til den anden hypotetiske nettinggruppe for at
beregne kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko.
ii) Den opdeling, der er omhandlet i litra a), skal stemme overens med den
måde, hvorpå instituttet fastlægger den retlige netting af
kreditværdijusteringen beregnet i regnskabsmæssig henseende.
iii) Den tilladelse, som de kompetente myndigheder giver til at anvende den
metode, der er omhandlet i stk. 1, litra a), er begrænset til den hypotetiske
DA 172 DA
nettinggruppe, for hvilken instituttet anvender den metode, der er
omhandlet i stk. 1, litra a), til at beregne kapitalgrundlagskravene i
relation til kreditværdijusteringsrisiko.
Institutterne fastlægger politikker for at forklare, hvordan de anvender en
kombination af de metoder, der er omhandlet i stk. 1, litra a) og b), og som fastsat i
dette stykke, til permanent at beregne kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko."
(168) Artikel 383 affattes således:
"Artikel 383
Standardmetoden
1. De kompetente myndigheder giver et institut tilladelse til at beregne sine
kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko for en portefølje af
transaktioner med en eller flere modparter ved hjælp af standardmetoden i henhold til
stk. 3 efter at have vurderet, om instituttet opfylder følgende krav:
a) Instituttet har oprettet en særskilt enhed, som er ansvarlig for instituttets
overordnede risikostyring og afdækning af kreditværdijusteringsrisiko.
b) For hver berørt modpart har instituttet udarbejdet en reguleringsmæssig CVA-
model til beregning af den pågældende modparts kreditværdijusteringsrisiko i
overensstemmelse med artikel 383a.
c) For hver berørt modpart er instituttet i stand til mindst en gang om måneden at
beregne dens kreditværdijusterings følsomheder over for de pågældende
risikofaktorer som fastsat i overensstemmelse med artikel 383b.
d) For alle positioner i afdækninger, der kan indregnes, og som er indregnet i
henhold til artikel 386 med henblik på beregning af instituttets
kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko ved hjælp af
standardmetoden, er instituttet i stand til mindst en gang om måneden at
beregne disse positioners følsomheder over for de relevante risikofaktorer, der
er fastsat i overensstemmelse med artikel 383b.
Med henblik på litra c) forstås ved modpartens kreditværdijusterings følsomhed over
for en risikofaktor den relative ændring i værdien af den pågældende
kreditværdijustering som følge af en ændring i værdien af en af de relevante
risikofaktorer for den pågældende kreditværdijustering beregnet ved hjælp af
instituttets reguleringsmæssige CVA-model i overensstemmelse med artikel 383i-
383j.
Med henblik på litra d) forstås ved følsomheden for en position i en afdækning, der
kan indregnes, over for en risikofaktor den relative ændring i værdien af den
pågældende position som følge af en ændring i værdien af en af de relevante
risikofaktorer for den pågældende kreditværdijustering beregnet ved hjælp af
instituttets prisfastsættelsesmodel i overensstemmelse med artikel 383i-383j.
2. Med henblik på beregning af kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko forstås ved:
a) "risikoklasse": en af følgende kategorier:
i) renterisiko
ii) modpartskreditspændsrisiko
DA 173 DA
iii) referencekreditspændsrisiko
iv) aktierisiko
v) råvarerisiko
vi) valutakursrisiko
b) "CVA-portefølje": porteføljen bestående af den samlede kreditværdijustering
og alle de afdækninger, der kan indregnes, og som er omhandlet i stk. 1, litra d)
c) "samlet kreditværdijustering": summen af kreditværdijusteringer beregnet ved
hjælp af den reguleringsmæssige CVA-model for alle modparter, jf. stk. 1,
første afsnit.
3. Institutterne fastlægger kapitalgrundlagskravet i relation til
kreditværdijusteringsrisiko efter standardmetoden som summen af følgende to
kapitalgrundlagskrav beregnet i henhold til artikel 383b:
a) kapitalgrundlagskravene vedrørende deltarisiko, som omfatter risikoen for
ændringer af et instituts CVA-portefølje som følge af bevægelser i de relevante
ikkevolatilitetsrelaterede risikofaktorer
b) kapitalgrundlagskravene vedrørende vegarisiko, som omfatter risikoen for
ændringer af et instituts CVA-portefølje som følge af bevægelser i de relevante
volatilitetsrelaterede risikofaktorer."
(169) Følgende indsættes som artikel 383a-383w:
"Artikel 383a
Reguleringsmæssig CVA-model
1. En reguleringsmæssig CVA-model, der anvendes til beregning af
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko i overensstemmelse
med artikel 384, skal være pålidelige, anvendes forsvarligt og opfylde samtlige
følgende krav:
a) Den reguleringsmæssige CVA-model skal kunne modelberegne en given
modparts kreditværdijustering ved at indregne netting- og margenaftaler på
nettinggruppeniveau, hvis det er relevant, i overensstemmelse med denne
artikel.
b) Instituttet foretager estimater af modpartens sandsynlighed for misligholdelse,
jf. litra a), fra modpartens kreditspænd og tab i henhold til
markedskonventionsrelaterede tab givet misligholdelse for den pågældende
modpart.
c) Det forventede tab givet misligholdelse, jf. litra a), er det samme som
markedskonventionsrelaterede tab givet misligholdelse, jf. litra b), medmindre
instituttet kan dokumentere, at rangordenen af porteføljen af transaktioner med
den pågældende modpart afviger fra rangordenen af privilegerede usikrede
obligationer udstedt af den pågældende modpart.
d) På hvert fremtidigt tidspunkt beregnes den simulerede diskonterede fremtidige
eksponering for porteføljen af transaktioner med en modpart ved hjælp af en
eksponeringsmodel ved at revurdere prisansættelsen for alle transaktioner i
porteføljen på grundlag af de simulerede fælles ændringer af
markedsrisikofaktorerne, som er væsentlige for disse transaktioner, ved hjælp
DA 174 DA
af et passende antal scenarier, og diskontere priserne indtil beregningsdatoen
ved anvendelse af risikofrie renter.
d) Den reguleringsmæssige CVA-model skal kunne modelberegne en betydelig
afhængighed mellem den simulerede diskonterede fremtidige eksponering for
porteføljen af transaktioner med modpartens kreditspænd.
e) Hvis porteføljens transaktioner indgår i en nettinggruppe, der er omfattet af en
margenaftale og daglig værdiansættelse til markedsværdi, indregnes den
stillede og modtagne sikkerhed som en del af denne aftale som en
risikobegrænsende faktor i den simulerede diskonterede fremtidige
eksponering, hvis samtlige følgende betingelser er opfyldt:
i) Instituttet fastsætter den relevante margenrisikoperiode, der er relevant
for den pågældende nettinggruppe, i overensstemmelse med kravene i
artikel 285, stk. 2 og 5, og afspejler denne margenperiode ved
beregningen af den simulerede diskonterede fremtidige eksponering.
ii) Alle de relevante elementer i margenaftalen, herunder hyppigheden af
margin calls, typen af kontraktmæssigt anerkendt sikkerhed,
tærskelværdierne, minimumsoverførselsbeløbene, de uafhængige beløb
og initialmarginerne for både instituttet og modparten, afspejles på
passende vis i beregningen af den simulerede diskonterede fremtidige
eksponering.
iii) Instituttet har oprettet en sikkerhedsstyringsenhed, der opfylder kravene i
artikel 287, for al sikkerhedsstillelse, der er anerkendt til beregning af
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko ved
hjælp af standardmetoden.
Med henblik på litra a) skal kreditværdijusteringen have et positivt fortegn og
beregnes som en funktion af modpartens forventede tab givet misligholdelse, et
passende sæt af modpartens sandsynlighed for misligholdelse på fremtidige
tidspunkter og et passende sæt simulerede diskonterede fremtidige
eksponeringer for porteføljen af transaktioner med den pågældende modpart på
fremtidige tidspunkter indtil den dato, hvor den transaktion i den pågældende
portefølje, der har den længste løbetid, forfalder.
Med henblik på litra b) skal et institut anvende modpartens credit default swap
spreads, hvis disse spreads kan observeres på markedet. Hvis der ikke
foreligger sådanne credit default swap spreads, skal instituttet anvende en af
følgende metoder:
i) kreditspænd fra andre instrumenter, der er udstedt af modparten, og som
afspejler de aktuelle markedsforhold
ii) tilnærmede spænd, der er relevante i forhold til modpartens rating,
branche og region.
Med henblik på den begrundelse, der er omhandlet i litra d), må
sikkerhedsstillelse modtaget fra modparten ikke ændre eksponeringens
rangorden.
Med henblik på litra f), nr. iii), er instituttet, hvis instituttet allerede har oprettet
en sådan enhed til anvendelse af metoden med interne modeller som omhandlet
i artikel 283, ikke forpligtet til at oprette en yderligere
sikkerhedsstyringsenhed, hvis instituttet over for sine kompetente myndigheder
DA 175 DA
godtgør, at en sådan enhed opfylder kravene i artikel 287 for al
sikkerhedsstillelse, der er anerkendt til beregning af kapitalgrundlagskravene i
relation til kreditværdijusteringsrisiko ved hjælp af standardmetoden.
2. Et institut, der anvender en reguleringsmæssig CVA-model, skal opfylde samtlige
følgende kvalitative krav:
a) Eksponeringsmodellen omhandlet i stk. 1, litra d), er en del af instituttets
interne kreditværdijusteringsrisikostyringssystem, der omfatter identifikation,
måling, styring, godkendelse og intern rapportering af kreditværdijustering og
kreditværdijusteringsrisiko i regnskabsmæssig henseende.
b) Instituttet skal have indført en procedure til sikring af overholdelse af et
dokumenteret sæt interne politikker, kontroller, vurdering af modelresultater og
procedurer vedrørende eksponeringsmodellen omhandlet i stk. 1, litra d).
c) Instituttet skal have en uafhængig kontrolenhed, som er ansvarlig for en
effektiv indledende og løbende validering af eksponeringsmodellen omhandlet
i stk. 1, litra d). Denne enhed skal være uafhængig af erhvervslån og af
handelsenheder, herunder den enhed, der er omhandlet i artikel 383, stk. 1, litra
a), og skal rapportere direkte til den øverste ledelse; Den skal have et
tilstrækkeligt antal medarbejdere med et tilstrækkeligt kompetenceniveau, der
er egnet til at opfylde dette formål.
d) Instituttets øverste ledelse skal deltage aktivt i risikostyringsprocessen og
betragte kreditværdijusteringsrisikostyring som et væsentligt aspekt af
virksomheden, som det er nødvendigt at afsætte passende ressourcer til.
e) Instituttet skal dokumentere processen for indledende og løbende validering af
sin eksponeringsmodel, jf. stk. 1, litra d), i en detaljeringsgrad, der gør det
muligt for en tredjepart at forstå, hvordan modellerne fungerer, deres
begrænsninger og deres vigtigste forudsætninger, og genskabe analysen. Denne
dokumentation skal angive den minimumshyppighed, hvormed den
igangværende validering vil blive gennemført, samt andre omstændigheder
(f.eks. en pludselig ændring i markedsadfærden), hvorunder der skal foretages
yderligere validering; den skal beskrive, hvordan valideringen udføres med
hensyn til datastrømme og porteføljer, hvilke analyser der anvendes, og
hvordan repræsentative modpartsporteføljer er opbygget.
f) De prisfastsættelsesmodeller, der anvendes i eksponeringsmodellen omhandlet
i stk. 1, litra a), for et givet scenario med simulerede markedsrisikofaktorer,
skal testes i forhold til relevante uafhængige benchmarks for en lang række
markedstilstande som led i den indledende og løbende modelvalideringsproces.
Modeller til prisfastsættelse af optioner skal tage højde for, at optionernes
værdi med hensyn til markedsrisikofaktorer har en ikkelineær karakter.
g) Instituttets interne kreditværdijusteringsrisikostyringssystemer, jf. litra a), skal
regelmæssigt underkastes en uafhængig gennemgang af instituttets interne
revisionsproces. Denne gennemgang bør omfatte såvel aktiviteterne i den
enhed, der er omhandlet i artikel 383, stk. 1, litra a), som aktiviteterne i den
uafhængige risikokontrolenhed, der er omhandlet i dette stykkes litra c).
h) Den model, som instituttet anvender til beregning af den simulerede
diskonterede fremtidige eksponering, jf. stk. 1, litra a), skal afspejle
transaktionsvilkår og -specifikationer og margenordninger på en aktuel,
fyldestgørende og konservativ måde. Nævnte vilkår og specifikationer skal
DA 176 DA
opbevares i en sikker database, der underkastes formel og regelmæssig
revision. Overførslen af data om transaktionsvilkår og -specifikationer og
margenordninger til eksponeringsmodellen skal også være underlagt intern
revision, og der skal være indført formelle afstemningsprocesser mellem den
interne model og kildedatasystemerne for løbende at verificere, at
transaktionsvilkår og -specifikationer og marginordninger afspejles korrekt
eller i det mindste konservativt i eksponeringssystemet.
i) De aktuelle og historiske markedsdata, der anvendes i den model, som
instituttet anvender til beregning af den simulerede diskonterede fremtidige
eksponering, jf. stk. 1, litra a), skal erhverves uafhængigt af
forretningsområderne. De skal indgå i den model, som instituttet anvender til at
beregne den simulerede diskonterede fremtidige eksponering, jf. stk. 1, litra a),
på en aktuel og fyldestgørende måde og vedligeholdes i en sikker database, der
underkastes formel og regelmæssig revision. Et institut skal have en
veludviklet dataintegritetsproces til håndtering af uhensigtsmæssige
dataobservationer. Hvis modellen er baseret på markedsdata i form af
indikatorer, skal instituttet udforme interne politikker med henblik på at
identificere egnede indikatorer og løbende påvise empirisk, at indikatorerne
giver en konservativ fremstilling af den underliggende risiko.
j) Eksponeringsmodellen skal omfatte transaktionsspecifikke og kontraktlige
oplysninger, der gør det muligt at aggregere de eksponeringer, der indgår i
nettinggruppen. Instituttet skal sikre sig, at transaktionerne henføres til den
relevante nettinggruppe inden for modellen.
Med henblik på beregning af kapitalgrundlagskravet i relation til
kreditværdijusteringsrisiko som omhandlet i litra a) kan eksponeringsmodellen have
forskellige specifikationer og antagelser med henblik på at opfylde alle kravene i
artikel 383a, bortset fra at dens markedsdata og netting skal forblive de samme som
dem, der anvendes i regnskabsmæssig henseende.
3. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere, hvordan de tilnærmede spreads, der er omhandlet i stk. 1, litra b), nr. ii),
skal fastsættes af instituttet med henblik på beregning af sandsynligheden for
misligholdelse.
4. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere:
a) yderligere tekniske elementer, som instituttet skal tage hensyn til ved
beregningen af modpartens forventede tab givet misligholdelse, modpartens
sandsynlighed for misligholdelse og den simulerede diskonterede fremtidige
eksponering for porteføljen af transaktioner med den pågældende modpart og
kreditværdijustering, jf. stk. 1, litra a)
b) hvilke andre instrumenter som omhandlet i stk. 1, litra b), nr. i), der er egnede
til at estimere modpartens sandsynlighed for misligholdelse, og hvordan
institutterne skal foretage dette skøn.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder omhandlet i
stk. 3 og 4 for Kommissionen senest den [Publikationskontoret: Her indsættes datoen
= 24 måneder efter denne forordnings ikrafttræden].
DA 177 DA
Kommissionen tillægges beføjelse til at supplere denne forordning ved at vedtage de
i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010.
4. EBA udarbejder udkast til reguleringsmæssige tekniske standarder med henblik på
at præcisere:
a) betingelserne for vurdering af væsentligheden af udvidelser og ændringer af
anvendelsen af standardmetoden, jf. artikel 383, stk. 3
b) den vurderingsmetode, som de kompetente myndigheder anvender til at
verificere, at et institut efterlever kravene i artikel 383 og 383a.
EBA forelægger disse udkast til reguleringsmæssige tekniske standarder for
Kommissionen senest [36 måneder efter denne forordnings ikrafttræden].
Kommissionen tillægges beføjelse til at supplere denne forordning ved at vedtage de
i første afsnit omhandlede reguleringsmæssige tekniske standarder i
overensstemmelse med artikel 10-14 i forordning (EU) nr. 1093/2010."
Artikel 383b
Kapitalgrundlagskrav vedrørende delta- og vegarisici
1. Institutterne anvender de delta- og vegarisikofaktorer, som er beskrevet i artikel
383c-383h, og den procedure, der er fastsat i stk. 2-8, til at beregne
kapitalgrundlagskravene vedrørende delta- og vegarisici.
2. For hver risikoklasse omhandlet i artikel 383, stk. 2, beregnes følsomheden af de
samlede kreditværdijusteringer og følsomheden af alle positioner i alle afdækninger,
der kan indregnes, som er omfattet af kapitalgrundlagskravene vedrørende delta-
eller vegarisici, for hver af de gældende delta- eller vegarisikofaktorer, som er
omfattet af den pågældende risikoklasse efter de tilsvarende formler i artikel 383i-
383j. Hvis et instruments værdi afhænger af flere risikofaktorer, fastlægges
følsomheden særskilt for hver risikofaktor.
Ved beregningen af vegarisikofølsomhederne for de samlede kreditværdijusteringer
medtages følsomheder både over for volatiliteter, der anvendes i
eksponeringsmodellen til simulering af risikofaktorer, og over for volatiliteter, der
anvendes til at revurdere optionstransaktioner i porteføljen med modparten.
Uanset stk. 1 kan et institut med de kompetente myndigheders tilladelse anvende
alternative definitioner af delta- og vegarisikofølsomheder ved beregningen af
kapitalgrundlagskravene vedrørende en position i handelsbeholdningen i henhold til
dette kapitel, forudsat at instituttet opfylder samtlige følgende betingelser:
a) disse alternative definitioner anvendes med henblik på intern risikostyring og
til indberetning af overskud og tab til den øverste ledelse af en uafhængig
risikokontolenhed i instituttet
b) instituttet dokumenterer, at disse alternative definitioner er mere
hensigtsmæssige til at opfange positionens følsomheder end de formler, der er
fastsat i artikel 383i og 383j, og at de deraf følgende følsomheder ikke i
væsentlig grad afviger fra disse formler.
3. Hvis en afdækning, der kan indregnes, er et indeksinstrument, beregner
institutterne følsomhederne for denne afdækning, der kan indregnes, for alle
DA 178 DA
relevante risikofaktorer ved at anvende skiftet af en af de relevante risikofaktorer på
hver af indekselementerne.
4. Et institut kan indføre yderligere risikoklasser ud over dem, der er omhandlet i
artikel 383, stk. 2, som svarer til kvalificerede indeksinstrumenter. For så vidt angår
deltarisici anses et indeksinstrument for at være kvalificeret, hvis det opfylder
betingelserne i artikel 325i, stk. 3. For så vidt angår vegarisici anses alle
indeksinstrumenter for at være kvalificerede.
Et institut beregner delta- og vegafølsomheder over for en kvalificeret
indeksrisikofaktor som én enkelt følsomhed over for det underliggende kvalificerede
indeks. Hvis 75 % af elementerne i et kvalificeret indeks er henført til den samme
sektor, jf. artikel 383o, 383r og 383t, skal instituttet henføre det kvalificerede indeks
til den samme sektor. I modsat fald skal instituttet henføre følsomheden til den
relevante kvalificerede indeksundergruppe.
5. De vægtede følsomheder hos den samlede kreditværdijustering og hos
markedsværdien af alle afdækninger, der kan indregnes, over for hver risikofaktor
beregnes ved at multiplicere de respektive nettofølsomheder med den tilsvarende
risikovægt i overensstemmelse med følgende formler:
𝑊𝑆𝑘
𝐶𝑉𝐴
= 𝑅𝑊𝑘 ∙ 𝑆𝑘
𝐶𝑉𝐴
𝑊𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
= 𝑅𝑊𝑘 ∙ 𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
hvor:
𝑘 = indekset for risikofaktor k
𝑅𝑊𝑘 = den risikovægt, der finder anvendelse på risikofaktor k
𝑊𝑆𝑘
𝐶𝑉𝐴
= den samlede kreditværdijusterings vægtede følsomhed over for
risikofaktor k
𝑆𝑘
𝐶𝑉𝐴
= den samlede kreditværdijusterings nettofølsomhed over for risikofaktor k
𝑊𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
= den vægtede følsomhed hos markedsværdien af alle afdækninger, der
kan indregnes, i kreditværdijusteringsporteføljen over for risikofaktor k
𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
= nettofølsomheden hos markedsværdien af alle afdækninger, der kan
indregnes, i kreditværdijusteringsporteføljen over for risikofaktor k.
6. Institutterne beregner kreditværdijusteringsporteføljens nettovægtede følsomhed
𝑊𝑆𝑘 over for risikofaktor k ved hjælp af følgende formel:
𝑊𝑆𝑘 = 𝑊𝑆𝑘
𝐶𝑉𝐴
− 𝑊𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
7. De nettovægtede følsomheder i samme undergruppe aggregeres i
overensstemmelse med følgende formel ved hjælp af de tilsvarende korrelationer 𝜌𝑘𝑙
for vægtede følsomheder i den samme undergruppe, jf. artikel 383l, 383s og 383p,
der giver anledning til den undergruppespecifikke følsomhed 𝐾𝑏:
𝐾𝑏 = √∑ 𝑊𝑆𝑘
2
+ ∑ ∑ 𝜌𝑘𝑙𝑊𝑆𝑘𝑊𝑆𝑙 + 𝑅 ∙ ∑ ((𝑊𝑆𝑘
ℎ𝑒𝑑𝑔𝑒𝑠
)
2
)
𝑘𝜖𝑏
𝑙𝜖𝑏,𝑘≠𝑙
𝑘𝜖𝑏
𝑘
hvor:
𝐾𝑏 = undergruppe b's undergruppespecifikke følsomhed
DA 179 DA
𝜌𝑘𝑙 = de tilsvarende korrelationsparametre inden for undergruppen
𝑅 = parameteren for afkald på afdækning svarende til 0,01
𝑊𝑆𝑘 = de nettovægtede følsomheder.
8. Den undergruppespecifikke følsomhed beregnes i overensstemmelse med stk. 5, 6
og 7 for hver undergruppe inden for en risikoklasse. Når den undergruppespecifikke
følsomhed er blevet beregnet for alle undergrupper, aggregeres vægtede følsomheder
for alle risikofaktorer på tværs af undergrupper efter følgende formel ved hjælp af de
tilsvarende korrelationer 𝛾𝑏𝑐 for vægtede følsomheder i forskellige undergrupper,
som er fastsat i artikel 383l, 383 og 383q, for at få de risikoklassespecifikke
kapitalgrundlagskrav for delta- eller vegarisiko:
𝑅𝑖𝑠𝑘 − 𝑐𝑙𝑎𝑠𝑠𝑠𝑝𝑒𝑐𝑖𝑓𝑖𝑐𝑜𝑤𝑛𝑓𝑢𝑛𝑑𝑠𝑟𝑒𝑞𝑢𝑖𝑟𝑒𝑚𝑒𝑛𝑡𝑓𝑜𝑟𝑑𝑒𝑙𝑡𝑎𝑜𝑟𝑣𝑒𝑔𝑎𝑟𝑖𝑠𝑘
= 𝑚𝐶𝑉𝐴√∑ 𝐾𝑏
2
+ ∑ ∑ 𝛾𝑏𝑐𝑆𝑏𝑆𝑐
𝑏≠𝑐
𝑏
𝑏
hvor:
𝑚𝐶𝑉𝐴 = en multiplikatorfaktor, der er lig med 1; de kompetente myndigheder kan
forhøje værdien af 𝑚𝐶𝑉𝐴, hvis instituttets reguleringsmæssige CVA-mode udviser
mangler med hensyn til passende måling af kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko
𝐾𝑏 = undergruppe b's undergruppespecifikke følsomhed
𝛾𝑏𝑐 = korrelationsparameteren mellem undergruppe b og c
𝑆𝑏 = 𝑚𝑎𝑥{−𝐾𝑏; 𝑚𝑖𝑛(∑ 𝑊𝑆𝑘
𝑘∈𝑏 ; 𝐾𝑏)} for alle risikofaktorer i undergruppe b
𝑆𝑐 = 𝑚𝑎𝑥{−𝐾𝑐; 𝑚𝑖𝑛(∑ 𝑊𝑆𝑘
𝑘∈𝑏 ; 𝐾𝑐)} for alle risikofaktorer i undergruppe c.
Artikel 383c
Renterisikofaktorer
1. For deltarenterisikofaktorer, herunder inflationsraterisiko, er der én undergruppe
pr. valuta, hvor hver undergruppe indeholder forskellige typer risikofaktorer.
De deltarenterisikofaktorer, der finder anvendelse på rentefølsomme instrumenter i
kreditværdijusteringsporteføljen, er de risikofrie satser for hver berørt valuta og for
hver af følgende løbetider: 1 år, 2 år, 5 år, 10 år og 30 år.
De deltarenterisikofaktorer, der finder anvendelse på inflationsfølsomme
instrumenter i kreditværdijusteringsporteføljen, er inflationsraterne for hver berørt
valuta og for hver af følgende løbetider: 1 år, 2 år, 5 år, 10 år og 30 år.
2. De valutaer, som et institut skal anvende deltarenterisikofaktorerne på i
overensstemmelse med stk. 1, er USD, EUR, GBP, AUD, CAD, SEK, JPY og
instituttets indberetningsvaluta.
3. For valutaer, der ikke er anført i stk. 2, er deltarenterisikofaktorerne den absolutte
ændring i inflationsraten og parallelforskydningen af hele den risikofrie kurve for en
given valuta.
4. Institutterne indhenter de risikofrie satser for hver valuta fra
pengemarkedsinstrumenter i deres handelsbeholdning, som har den laveste
kreditrisiko, herunder overnight index swaps.
DA 180 DA
5. Kan institutterne ikke anvende metoden i stk. 4, baseres de risikofrie satser på en
eller flere markedsbestemte swapkurver, som institutterne anvender til at opgøre
positioner til markedsværdi, f.eks. swapkurverne for interbankrenten.
Foreligger der ikke tilstrækkelige data om de markedsbestemte swapkurver, der er
beskrevet i dette stykkes første afsnit, kan de risikofrie satser udledes af den mest
hensigtsmæssige statsobligationskurve for en given valuta.
Artikel 383d
Valutakursrisikofaktorer
1. De deltavalutakursrisikofaktorer, som institutterne skal anvende på instrumenter i
den kreditværdijusteringsportefølje, der er følsom over for valutaspotkurser, er
valutaspotkurserne mellem den valuta, som et instrument er denomineret i, og
instituttets indberetningsvaluta. Der er en undergruppe for hvert valutapar, som
indeholder en enkelt risikofaktor og en enkelt nettofølsomhed.
2. De vegavalutakursrisikofaktorer, som institutterne skal anvende på instrumenter i
den kreditværdijusteringsportefølje, der er følsomme over for valutavolatilitet, er de
implicitte volatiliteter for valutakurser mellem valutaparrene omhandlet i stk. 1. Der
er en undergruppe for alle valutapar og løbetider, som indeholder alle
vegavalutakursrisikofaktorerne og en enkelt nettofølsomhed.
3. Institutterne skal ikke sondre mellem onshore- og offshorevarianter af en valuta
for delta-, og vegakursrisikofaktorer.
Artikel 383e
Modpartskreditspændsrisikofaktorer
1. Den deltamodpartskreditspændsrisikofaktor, der finder anvendelse på
modpartskreditspændsfølsomme instrumenter i kreditværdijusteringsporteføljen, er
kreditspændene for individuelle modparter og referencenavne og kvalificerede
indeks for følgende løbetider: 0,5 år, 1 år, 3 år, 5 år og 10 år.
2. Den deltarenterisikofaktor, der finder anvendelse på inflationsfølsomme
instrumenter i kreditværdijusteringsporteføljen, er de relevante inflationsrater for
hver valuta og for hver af følgende løbetider: 1 år, 2 år, 5 år, 10 år og 30 år.
Artikel 383f
Referencekreditspændsrisikofaktorer
1. Den deltareferencekreditspændsrisikofaktor, der finder anvendelse på
referencekreditspændsfølsomme instrumenter i kreditværdijusteringsporteføljen, er
kreditspændene for alle løbetider for alle referencenavne inden for en undergruppe.
Der beregnes en enkelt nettofølsomhed for hver undergruppe.
2. Den vegareferencekreditspændsrisikofaktor, der finder anvendelse på instrumenter
i kreditværdijusteringsporteføljen, der er følsomme over for
referencekreditspændsvolatilitet, er alle restløbetiders kreditspændsvolatilitet for alle
referencenavne inden for en undergruppe. Der beregnes en enkelt nettofølsomhed for
hver undergruppe.
DA 181 DA
Artikel 383g
Aktierisikofaktorer
1. Undergrupperne for alle aktierisikofaktorer er de undergrupper, der er omhandlet i
artikel 383s.
2. De deltaaktierisikofaktorer, som institutterne skal anvende på instrumenter i den
kreditværdijusteringsportefølje, der er følsomme over for aktiesportkurser, er
spotkurserne for alle aktier, der henføres til samme undergruppe som omhandlet i
stk. 1. Der beregnes en enkelt nettofølsomhed for hver undergruppe.
3. De vegaaktierisikofaktorer, som institutterne skal anvende på instrumenter i den
kreditværdijusteringsportefølje, der er følsomme over for aktievolatilitet, er de
implicitte volatiliteter for alle aktier, der henføres til samme undergruppe som
omhandlet i stk. 1. Der beregnes en enkelt nettofølsomhed for hver undergruppe.
Artikel 383h
Råvarerisikofaktorer
1. Undergrupperne for alle råvarerisikofaktorer er de sektorbestemte undergrupper,
der er omhandlet i artikel 383v.
2. De deltaråvarerisikofaktorer, som institutterne skal anvende på instrumenter i den
kreditværdijusteringsportefølje, der er følsomme over for råvaresportkurser, er
spotkurserne for alle råvarer, der henføres til samme sektorbestemte undergruppe
som omhandlet i stk. 1. Der beregnes en enkelt nettofølsomhed for hver
sektorbestemt undergruppe.
3. De vegaråvarerisikofaktorer, som institutterne skal anvende på instrumenter i den
kreditværdijusteringsportefølje, der er følsomme over for råvareprisvolatilitet, er de
implicitte volatiliteter for alle råvarer, der henføres til samme sektorbestemte
undergruppe som omhandlet i stk. 1. Der beregnes en enkelt nettofølsomhed for hver
sektorbestemt undergruppe.
Artikel 383i
Deltarisikofølsomheder
1. Institutterne beregner deltafølsomheder bestående af renterisikofaktorer således:
a) Den samlede kreditværdijusterings deltafølsomheder over for risikofaktorer,
der består af risikofrie satser og af en afdækning, der kan indregnes, i forhold
til disse risikofaktorer, beregnes således:
𝑆𝑟𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑟𝑘𝑡 + 0.0001, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑟𝑘𝑡, 𝑥, 𝑦 … )
0.0001
𝑆𝑟𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑟𝑘𝑡 + 0.0001, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑟𝑘𝑡, 𝑤, 𝑧 … )
0.0001
hvor:
𝑆𝑟𝑘𝑡
𝐶𝑉𝐴
= den samlede kreditværdijusterings følsomheder over for en risikofaktor,
der består af risikofrie satser
𝑟𝑘𝑡 = værdien af risikofaktor k, der består af risikofrie satser, med løbetid t
𝑉𝐶𝑉𝐴 = den samlede kreditværdijustering beregnet efter den
reguleringsmæssige CVA-model
DA 182 DA
𝑥, 𝑦 = andre risikofaktorer end 𝑟𝑘𝑡 i 𝑉𝐶𝑉𝐴
𝑆𝑟𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
= følsomheder hos afdækning i, der kan indregnes, over for en risikofaktor,
der består af risikofrie satser
𝑉𝑖 = værdiansættelsesfunktionen for afdækning i, der kan indregnes
𝑤, 𝑧 = andre risikofaktorer end 𝑟𝑘𝑡 værdiansættelsesfunktionen 𝑉𝑖.
b) Deltafølsomheder over for risikofaktorer, der består af inflationsrater og af en
afdækning, der kan indregnes, i forhold til disse risikofaktorer, beregnes
således:
𝑆𝑖𝑛𝑓𝑙𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑖𝑛𝑓𝑙𝑘𝑡 + 0.0001, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑖𝑛𝑓𝑙𝑘𝑡, 𝑥, 𝑦 … )
0.0001
𝑆𝑖𝑛𝑓𝑙𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑖𝑛𝑓𝑙𝑘𝑡 + 0.0001, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑖𝑛𝑓𝑙𝑘𝑡, 𝑤, 𝑧 … )
0.0001
hvor:
𝑆𝑖𝑛𝑓𝑙𝑘𝑡
𝐶𝑉𝐴
= den samlede kreditværdijusterings følsomheder over for en
inflationsraterisikofaktor
𝑖𝑛𝑓𝑙𝑘𝑡 = værdien af inflationsraterisikofaktor k med løbetid t
𝑉𝐶𝑉𝐴 = den samlede kreditværdijustering beregnet efter den reguleringsmæssige
CVA-model
𝑥, 𝑦 = andre risikofaktorer end 𝑖𝑛𝑓𝑙𝑘𝑡 i 𝑉𝐶𝑉𝐴
𝑆𝑖𝑛𝑓𝑙𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
= følsomheder hos afdækning i, der kan indregnes, over for en
inflationsraterisikofaktor
𝑉𝑖 = værdiansættelsesfunktionen for afdækning i, der kan indregnes
𝑤, 𝑧 = andre risikofaktorer end 𝑖𝑛𝑓𝑙𝑘𝑡 værdiansættelsesfunktionen 𝑉𝑖.
2. Institutterne beregner den samlede kreditværdijusterings deltafølsomheder over for
risikofaktorer, der består af valutaspotkurser og af en afdækning, der kan indregnes, i
forhold til disse risikofaktorer, således:
𝑆𝐹𝑋𝑘
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝐹𝑋𝑘 + 0.01, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝐹𝑋𝑘, 𝑥, 𝑦 … )
0.01
𝑆𝐹𝑋𝑘
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝐹𝑋𝑘 + 0.01, 𝑤, 𝑧 … ) − 𝑉𝑖(𝐹𝑋𝑘, 𝑤, 𝑧 … )
0.01
hvor:
𝑆𝐹𝑋𝑘
𝐶𝑉𝐴
= den samlede kreditværdijusterings følsomheder over for en risikofaktor,
der består af valutaspotkurser
𝐹𝑋𝑘 = værdien af risikofaktor k, der består af valutaspotkurser
𝑉𝐶𝑉𝐴 = den samlede kreditværdijustering beregnet efter den reguleringsmæssige
CVA-model
𝑥, 𝑦 = andre risikofaktorer end 𝐹𝑋𝑘 i 𝑉𝐶𝑉𝐴
𝑆𝐹𝑋𝑘
ℎ𝑒𝑑𝑔𝑒𝑖
= følsomheder hos afdækning i, der kan indregnes, over for en risikofaktor,
der består af valutaspotkurser
DA 183 DA
𝑉𝑖 = værdiansættelsesfunktionen for afdækning i, der kan indregnes
𝑤, 𝑧 = andre risikofaktorer end 𝐹𝑋𝑘 værdiansættelsesfunktionen 𝑉𝑖.
3. Institutterne beregner den samlede kreditværdijusterings deltafølsomheder over for
risikofaktorer, der består af modpartskreditspændssatser og af en afdækning, der kan
indregnes, i forhold til disse risikofaktorer, således:
𝑆𝑐𝑐𝑠𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑐𝑐𝑠𝑘𝑡 + 0.0001, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑐𝑐𝑠𝑘𝑡, 𝑥, 𝑦 … )
0.0001
𝑆𝑐𝑐𝑠𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑐𝑐𝑠𝑘𝑡 + 0.0001, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑐𝑐𝑠𝑘𝑡, 𝑤, 𝑧 … )
0.01
hvor:
𝑆𝑐𝑐𝑠𝑘𝑡
𝐶𝑉𝐴
= den samlede kreditværdijusterings følsomheder over for en risikofaktor,
der består af modpartskreditspændssatser
𝑐𝑐𝑠𝑘𝑡 = værdien af risikofaktor k, der består af modpartskreditspændssatser, ved
løbetid t
𝑉𝐶𝑉𝐴 = den samlede kreditværdijustering beregnet efter den reguleringsmæssige
CVA-model
𝑥, 𝑦 = andre risikofaktorer end 𝑐𝑐𝑠𝑘𝑡 i 𝑉𝐶𝑉𝐴
𝑆𝑐𝑐𝑠𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
= følsomheder hos afdækning i, der kan indregnes, over for en risikofaktor,
der består af modpartskreditspændssatser
𝑉𝑖 = værdiansættelsesfunktionen for afdækning i, der kan indregnes
𝑤, 𝑧 = andre risikofaktorer end 𝑐𝑐𝑠𝑘𝑡 værdiansættelsesfunktionen 𝑉𝑖.
4. Institutterne beregner den samlede kreditværdijusterings deltafølsomheder over for
risikofaktorer, der består af referencekreditspændssatser og af en afdækning, der kan
indregnes, i forhold til disse risikofaktorer, således:
𝑆𝑟𝑐𝑠𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑐𝑐𝑠𝑘𝑡 + 0.0001, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑟𝑐𝑠𝑘𝑡, 𝑥, 𝑦 … )
0.0001
𝑆𝑟𝑐𝑠𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑟𝑐𝑠𝑘𝑡 + 0.0001, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑟𝑐𝑠𝑘𝑡, 𝑤, 𝑧 … )
0.0001
hvor:
𝑆𝑟𝑐𝑠𝑘𝑡
𝐶𝑉𝐴
= den samlede kreditværdijusterings følsomheder over for en risikofaktor,
der består af referencekreditspændssatser
𝑟𝑐𝑠𝑘𝑡 = værdien af risikofaktor k, der består af referencekreditspændssatser, ved
løbetid t
𝑉𝐶𝑉𝐴 = den samlede kreditværdijustering beregnet efter den reguleringsmæssige
CVA-model
𝑥, 𝑦 = andre risikofaktorer end 𝑐𝑐𝑠𝑘𝑡 i 𝑉𝐶𝑉𝐴
𝑆𝑟𝑐𝑠𝑘𝑡
ℎ𝑒𝑑𝑔𝑒𝑖
= følsomheder hos afdækning i, der kan indregnes, over for en risikofaktor,
der består af referencekreditspændssatser
𝑉𝑖 = værdiansættelsesfunktionen for afdækning i, der kan indregnes
DA 184 DA
𝑤, 𝑧 = andre risikofaktorer end 𝑐𝑐𝑠𝑘𝑡 værdiansættelsesfunktionen 𝑉𝑖.
5. Institutterne beregner den samlede kreditværdijusterings deltafølsomheder over for
risikofaktorer, der består af aktiespotkurser og af en afdækning, der kan indregnes, i
forhold til disse risikofaktorer, således:
𝑆𝐸𝑄
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝐸𝑄 + 0.01, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝐸𝑄, 𝑥, 𝑦 … )
0.01
𝑆𝐸𝑄
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝐸𝑄 + 0.01, 𝑤, 𝑧 … ) − 𝑉𝑖(𝐸𝑄, 𝑤, 𝑧 … )
0.01
hvor:
𝑆𝐸𝑄
𝐶𝑉𝐴
= den samlede kreditværdijusterings følsomheder over for en
aktiespotkursrisikofaktor
𝐸𝑄 = værdien af aktiespotkursen
𝑉𝐶𝑉𝐴 = den samlede kreditværdijustering beregnet efter den reguleringsmæssige
CVA-model
𝑥, 𝑦 = andre risikofaktorer end 𝐸𝑄 i 𝑉𝐶𝑉𝐴
𝑆𝐸𝑄
ℎ𝑒𝑑𝑔𝑒𝑖
= følsomheder hos afdækning i, der kan indregnes, over for en
aktiespotkursrisikofaktor
𝑉𝑖 = værdiansættelsesfunktionen for afdækning i, der kan indregnes
𝑤, 𝑧 = andre risikofaktorer end 𝐸𝑄 værdiansættelsesfunktionen 𝑉𝑖.
6. Institutterne beregner den samlede kreditværdijusterings deltafølsomheder over for
risikofaktorer, der består af råvarespotkurser og af en afdækning, der kan indregnes, i
forhold til disse risikofaktorer, således:
𝑆𝐶𝑇𝑌
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(1.01𝐶𝑇𝑌, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝐶𝑇𝑌, 𝑥, 𝑦 … )
0.01
𝑆𝐶𝑇𝑌
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(1.01𝐶𝑇𝑌, 𝑤, 𝑧 … ) − 𝑉𝑖(𝐶𝑇𝑌, 𝑤, 𝑧 … )
0.01
hvor:
𝑆𝐶𝑇𝑌
𝐶𝑉𝐴
= den samlede kreditværdijusterings følsomheder over for en
råvarespotkursrisikofaktor
𝐶𝑇𝑌 = værdien af råvarespotkursen
𝑉𝐶𝑉𝐴 = den samlede kreditværdijustering beregnet efter den reguleringsmæssige
CVA-model
𝑥, 𝑦 = andre risikofaktorer end 𝐶𝑇𝑌 i 𝑉𝐶𝑉𝐴
𝑆𝐶𝑇𝑌
ℎ𝑒𝑑𝑔𝑒𝑖
= følsomheder hos afdækning i, der kan indregnes, over for en
råvarespotkursrisikofaktor
𝑉𝑖 = værdiansættelsesfunktionen for afdækning i, der kan indregnes
𝑤, 𝑧 = andre risikofaktorer end 𝐶𝑇𝑌 værdiansættelsesfunktionen 𝑉𝑖.
DA 185 DA
Artikel 383j
Vegarisikofølsomheder
Institutterne beregner den samlede kreditværdijusterings vegarisikofølsomheder over
for risikofaktorer, der består af implicit volatilitet og af en afdækning, der kan
indregnes, i forhold til disse risikofaktorer, således:
𝑆𝑣𝑜𝑙𝑘𝑡
𝐶𝑉𝐴
=
𝑉𝐶𝑉𝐴(𝑣𝑜𝑙𝑘 + 0.01, 𝑥, 𝑦 … ) − 𝑉𝐶𝑉𝐴(𝑣𝑜𝑙𝑘, 𝑥, 𝑦 … )
0.01
𝑆𝑣𝑜𝑙𝑘
ℎ𝑒𝑑𝑔𝑒𝑖
=
𝑉𝑖(𝑣𝑜𝑙𝑘 + 0.01, 𝑤, 𝑧 … ) − 𝑉𝑖(𝑣𝑜𝑙𝑘, 𝑤, 𝑧 … )
0.01
hvor:
𝑆𝑣𝑜𝑙𝑘
𝐶𝑉𝐴
= den samlede kreditværdijusterings følsomheder over for en risikofaktor,
der består af implicit volatilitet
𝑣𝑜𝑙𝑘 = værdien af den risikofaktor, der består af implicit volatilitet, udtrykt i
procent
𝑉𝐶𝑉𝐴 = den samlede kreditværdijustering beregnet efter den reguleringsmæssige
CVA-model
𝑥, 𝑦 = andre risikofaktorer end 𝑣𝑜𝑙𝑘 værdiansættelsesfunktionen 𝑉𝐶𝑉𝐴.
𝑆𝑣𝑜𝑙𝑘
ℎ𝑒𝑑𝑔𝑒𝑖
= følsomheder hos afdækning i, der kan indregnes, over for en risikofaktor,
der består af implicit volatilitet
𝑉𝑖 = værdiansættelsesfunktionen for afdækning i, der kan indregnes
𝑤, 𝑧 = andre risikofaktorer end 𝑣𝑜𝑙𝑘 værdiansættelsesfunktionen 𝑉𝑖.
Artikel 383k
Risikovægte for renterisiko
1. For de valutaer, der er omhandlet i artikel 383c, stk. 2, er risikovægtene for
deltafølsomheder over for risikofrie satser for hver undergruppe i tabel 1 følgende:
Tabel 1
Undergruppe Løbetid Risikovægt
1 1 år 1,11 %
2 2 år 0,93 %
3 5 år 0,74 %
4 10 år 0,74 %
5 30 år 0,74 %
2. For andre valutaer end de valutaer, der er omhandlet i artikel 383c, stk. 2, er
risikovægten for deltafølsomheder over for risikofrie satser 1,58 %.
3. For inflationsraterisiko denomineret i en af de valutaer, der er omhandlet i artikel
383c, stk. 2, er risikovægten for følsomheden over for inflationsraterisikoen 1,11 %.
DA 186 DA
4. For inflationsraterisiko denomineret i en anden valuta end de valutaer, der er
omhandlet i artikel 383c, stk. 2, er risikovægten for følsomheden over for
inflationsraterisikoen 1,58 %.
5. De risikovægte, der skal anvendes på følsomheder over for vegarenterisikofaktorer
og inflationsraterisikofaktorer, for alle valutaer er på 100 %.
Artikel 383l
Korrelationer for renterisiko i den samme undergruppe
1. For de valutaer, der er omhandlet i artikel 383c, stk. 2, er de
korrelationsparametre, som institutterne skal anvende til aggregering af
deltafølsomhederne over for risikofrie satser mellem de forskellige undergrupper i
tabel 2, følgende:
Tabel 2
Undergruppe 1 2 3 4 5
1 100 % 91 % 72 % 55 % 31 %
2 100 % 87 % 72 % 45 %
3 100 % 91 % 68 %
4 100 % 83 %
5 100 %
2. Den korrelationsparameter, som institutterne skal anvende til aggregering af
deltarisikofølsomhed over for inflationsrate og deltafølsomhed over for risikofrie
satser denomineret i samme valuta, er 40 %.
3. Den korrelationsparameter, som institutterne skal anvende til aggregering af
vegarisikofaktorfølsomhed over for inflationsrate og vegarisikofaktorfølsomhed over
for rente denomineret i samme valuta, er 40 %.
Artikel 383m
Risikovægte for valutakursrisiko
1. Risikovægtene for alle deltafølsomheder over for valutakursrisikofaktor mellem et
instituts indberetningsvaluta og en anden valuta er 11 %.
2. Risikovægtene for alle vegafølsomheder over for valutakursrisikofaktoren er
100 %.
Artikel 383n
Korrelationer for valutakursrisiko
En ensartet korrelationsparameter, som er lig med 60 %, finder anvendelse på
aggregeringen af følsomheder over for delta- og vegavalutakursrisikofaktorer.
DA 187 DA
Artikel 383o
Risikovægte for modpartskreditspændsrisiko
1. Risikovægtene for deltafølsomhederne over for risikofaktorer for kreditspænd er
de samme for alle løbetider (0,5 år, 1 år, 3 år, 5 år og 10 år) i hver undergruppe i
tabel 3 og er følgende:
Tabel 3
Underg
ruppe
Numme
r
Kredit
kvalitet
Sektor Risikovægt
(procentpoint
)
1 Alle En medlemsstats centralregering,
herunder centralbanker
0,5 %
2 Kreditkv
alitetstrin
1-3
Et tredjelands centralregering, herunder
centralbanker, multilaterale
udviklingsbanker og internationale
organisationer omhandlet i artikel 117,
stk. 2, og artikel 118
0,5 %
3 Regional eller lokal myndighed og
offentlige enheder
1,0 %
4 Enheder i den finansielle sektor, herunder
kreditinstitutter, der er etableret af en
centralregering eller en regional eller
lokal myndighed, og støttelångivere
5,0 %
5 Råvarer, energi, industriprodukter,
landbrug, fremstilling, råstofudvinding
3,0 %
6 Forbrugervarer og -tjenesteydelser,
transport og godshåndtering,
administrative tjenesteydelser og
hjælpetjenester
30 %
7 Teknologi og telekommunikation 2,0 %
8 Sundhedspleje, forsyningsvirksomhed
samt liberale og tekniske tjenesteydelser
1,5 %
9 Andre sektorer 5,0 %
10 Kvalificerede indeks 1,5 %
11 Kreditkv
alitetstrin
4-6 og
ikke
Et tredjelands centralregering, herunder
centralbanker, multilaterale
udviklingsbanker og internationale
organisationer omhandlet i artikel 117,
2,0 %
DA 188 DA
kreditvur
deret
stk. 2, og artikel 118
12 Regional eller lokal myndighed og
offentlige enheder
4,0 %
13 Enheder i den finansielle sektor, herunder
kreditinstitutter, der er etableret af en
centralregering eller en regional eller
lokal myndighed, og støttelångivere
12,0 %
14 Råvarer, energi, industriprodukter,
landbrug, fremstilling, råstofudvinding
7,0 %
15 Forbrugervarer og -tjenesteydelser,
transport og godshåndtering,
administrative tjenesteydelser og
hjælpetjenester
8,5 %
16 Teknologi og telekommunikation 5,5 %
17 Sundhedspleje, forsyningsvirksomhed
samt liberale og tekniske tjenesteydelser
5,0 %
18 Andre sektorer 12,0 %
19 Kvalificerede indeks 5,0 %
2. Med henblik på tildeling af en risikoeksponering til en sektor anvender
institutterne en klassificering, der sædvanligvis anvendes på markedet til at gruppere
udstedere efter sektor. Institutterne tildeler kun hver udsteder til én af
sektorundergrupperne i tabel 3. Risikoeksponeringer fra en udsteder, som et institut
ikke kan tildele til en sektor på en sådan måde, tildeles til undergruppe nr. 9 eller
undergruppe nr. 18 i tabel 3 afhængigt af udstederens kreditkvalitet.
3. Institutterne tildeler kun eksponeringer, der er benytter kvalificerede
referenceindeks som reference som omhandlet i artikel 383b, stk. 4, til undergruppe
nr. 10 og 19 i tabel 3.
4. Institutterne anvender en transparensmetode til at bestemme følsomhederne for en
eksponering, der benytter et ikkekvalificeret indeks som reference.
Artikel 383p
Korrelationer for modpartskreditspændsrisiko inden for den samme undergruppe
1. Mellem to følsomheder 𝑊𝑆𝑘 og 𝑊𝑆𝑙, der hidrører fra risikoeksponeringer tildelt
til sektorundergruppe nr. 1-9 og 11-18, jf. artikel 383o, stk. 1, tabel 3, fastsættes
korrelationsparameteren 𝜌𝑘𝑙 således:
𝜌𝑘𝑙 = 𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
∙ 𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
∙ 𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
hvor:
𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
er lig med 1, når de to toppunkter for følsomhederne k og l er identiske, og
ellers er den lig med 90 %
DA 189 DA
𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
er lig med 1, når de to navne på følsomhederne k og l er identiske, og ellers
er den lig med 50 %
𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
er lig med 1, hvis de to navne begge er i undergruppe nr. 1-9 eller begge er
i undergruppe nr. 11-18, og ellers er den lig med 80 %.
2. Mellem to følsomheder 𝑊𝑆𝑘 og 𝑊𝑆𝑙, der hidrører fra risikoeksponeringer tildelt
til sektorundergruppe nr. 10 og 19 fastsættes korrelationsparameteren 𝜌𝑘𝑙 således:
𝜌𝑘𝑙 = 𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
∙ 𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
∙ 𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
hvor:
𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
er lig med 1, når de to toppunkter for følsomhederne k og l er identiske, og
ellers er den lig med 90 %
𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
er lig med 1, når de to navne på følsomhederne k og l er identiske og de to
indeks tilhører samme serie, og ellers er den lig med 80 %
𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
er lig med 1, hvis de to navne begge er i undergruppe nr. 10 eller begge er i
undergruppe nr. 19, og ellers er den lig med 80 %.
Artikel 383q
Korrelationer på tværs af undergrupper for modpartskreditspændsrisiko
Korrelationerne for deltakreditspændsrisiko på tværs af undergrupper er følgende:
Tabel 4
Undergruppe 1, 2, 3,
11 og
12
4 og 13 5 og 14 6 og 15 7 og 16 8 og 17 9 og 18 10 og
19
1, 2, 3, 11 og 12 100 % 10 % 20 % 25 % 20 % 15 % 0 % 45 %
4 og 13 100 % 5 % 15 % 20 % 5 % 0 % 45 %
5 og 14 100 % 25 % 25 % 5 % 0 % 45 %
6 og 15 100 % 83 % 5 % 0 % 45 %
7 og 16 100 % 5 % 0 % 45 %
8 og 17 100 % 0 % 45 %
9 og 18 100 % 0 %
10 og 19 100 %
DA 190 DA
Artikel 383r
Risikovægte for referencekreditspændsrisiko
1. Risikovægtene for deltafølsomhederne over for risikofaktorer for
referencekreditspænd er de samme for alle løbetider (0,5 år, 1 år, 3 år, 5 år og 10 år)
og alle referencekreditspændseksponeringer i hver undergruppe i tabel 5 og er
følgende:
Tabel 5
Undergru
ppe nr.
Kreditkvali
tet
Sektor Risikovægt
(procentpoi
nt)
1 Alle En medlemsstats centralregering, herunder
centralbanker
0,5 %
2 Kreditkvali
tetstrin 1-3
Et tredjelands centralregering, herunder
centralbanker, multilaterale udviklingsbanker og
internationale organisationer omhandlet i artikel
117, stk. 2, og artikel 118
0,5 %
3 Regional eller lokal myndighed og offentlige
enheder
1,0 %
4 Enheder i den finansielle sektor, herunder
kreditinstitutter, der er etableret af en
centralregering eller en regional eller lokal
myndighed, og støttelångivere
5,0 %
5 Råvarer, energi, industriprodukter, landbrug,
fremstilling, råstofudvinding
3,0 %
6 Forbrugervarer og -tjenesteydelser, transport og
godshåndtering, administrative tjenesteydelser og
hjælpetjenester
3,0 %
7 Teknologi og telekommunikation 2,0 %
8 Sundhedspleje, forsyningsvirksomhed samt
liberale og tekniske tjenesteydelser
1,5 %
10 Kvalificerede indeks 1,5 %
11 Kreditkvali
tetstrin 4-6
og ikke
kreditvurde
ret
Et tredjelands centralregering, herunder
centralbanker, multilaterale udviklingsbanker og
internationale organisationer omhandlet i artikel
117, stk. 2, og artikel 118
2,0 %
12 Regional eller lokal myndighed og offentlige
enheder
4,0 %
DA 191 DA
13 Enheder i den finansielle sektor, herunder
kreditinstitutter, der er etableret af en
centralregering eller en regional eller lokal
myndighed, og støttelångivere
12,0 %
14 Råvarer, energi, industriprodukter, landbrug,
fremstilling, råstofudvinding
7,0 %
15 Forbrugervarer og -tjenesteydelser, transport og
godshåndtering, administrative tjenesteydelser og
hjælpetjenester
8,5 %
16 Teknologi og telekommunikation 5,5 %
17 Sundhedspleje, forsyningsvirksomhed samt
liberale og tekniske tjenesteydelser
5,0 %
18 Kvalificerede indeks 5,0 %
19 Andre sektorer 12,0 %
2. Med henblik på tildeling af en risikoeksponering til en sektor anvender
institutterne en klassificering, der sædvanligvis anvendes på markedet til at gruppere
udstedere efter sektor. Institutterne tildeler kun hver udsteder til én af
sektorundergrupperne i tabel 5. Risikoeksponeringer fra en udsteder, som et institut
ikke kan tildele til en sektor på en sådan måde, tildeles til undergruppe nr. 19 i tabel
5 afhængigt af udstederens kreditkvalitet.
3. Institutterne tildeler kun eksponeringer, der er benytter kvalificerede
referenceindeks som reference som omhandlet i artikel 383b, stk. 4, til undergruppe
nr. 10 og 18.
4. Institutterne anvender en transparensmetode til at bestemme følsomhederne for en
eksponering, der benytter et ikkekvalificeret indeks som reference.
Artikel 383s
Korrelationer for referencekreditspændsrisiko inden for den samme undergruppe
1. Mellem to følsomheder 𝑊𝑆𝑘 og 𝑊𝑆𝑙, der hidrører fra risikoeksponeringer tildelt
til sektorundergruppe nr. 1-9 og 11-18 i artikel 383r, stk. 1, tabel 5, fastsættes
korrelationsparameteren 𝜌𝑘𝑙 således:
𝜌𝑘𝑙 = 𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
∙ 𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
∙ 𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
hvor:
𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
er lig med 1, når de to toppunkter for følsomhederne k og l er identiske, og
ellers er den lig med 90 %
𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
er lig med 1, når de to navne på følsomhederne k og l er identiske, og ellers
er den lig med 50 %
𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
er lig med 1, hvis de to navne begge er i undergruppe nr. 1-9 eller begge er
i undergruppe nr. 11-18, og ellers er den lig med 80 %.
DA 192 DA
2. Mellem to følsomheder 𝑊𝑆𝑘 og 𝑊𝑆𝑙, der hidrører fra risikoeksponeringer tildelt
til sektorundergruppe nr. 10 og 19 fastsættes korrelationsparameteren 𝜌𝑘𝑙 således:
𝜌𝑘𝑙 = 𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
∙ 𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
∙ 𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
hvor:
𝜌𝑘𝑙
(𝑡𝑒𝑛𝑜𝑟)
er lig med 1, når de to toppunkter for følsomhederne k og l er identiske, og
ellers er den lig med 90 %
𝜌𝑘𝑙
(𝑛𝑎𝑚𝑒)
er lig med 1, når de to navne på følsomhederne k og l er identiske og de to
indeks tilhører samme serie, og ellers er den lig med 80 %
𝜌𝑘𝑙
(𝑞𝑢𝑎𝑙𝑖𝑡𝑦)
er lig med 1, hvis de to navne begge er i undergruppe nr. 10 eller begge er i
undergruppe nr. 19, og ellers er den lig med 80 %.
Artikel 383t
Undergrupper for risikovægte for aktierisiko
1. Risikovægtene for deltafølsomhederne over for aktiespotkursrisikofaktorer er de
samme for alle aktierisikoeksponeringer i hver undergruppe i tabel 6 og er følgende:
Tabel 6
Undergrup
pe nr.
Markedskapitaliser
ing
Økonomi Sektor Risikovægt
for
aktiespotkur
s
(procentpoi
nt)
1 Stor Ny
markedsøkono
mi
Forbrugervarer og
-tjenesteydelser,
transport og
godshåndtering,
administrative
tjenesteydelser og
hjælpetjenester,
sundhedspleje og
forsyningsvirksom
hed
55 %
2 Telekommunikatio
n og
industriprodukter
60 %
3 Råvarer, energi,
landbrug,
fremstilling,
råstofudvinding
45 %
4 Finansielle
produkter,
55 %
DA 193 DA
herunder
statsstøttede
finansielle
produkter,
ejendomsaktivitete
r og teknologi
5 Højt udviklet
økonomi
Forbrugervarer og
-tjenesteydelser,
transport og
godshåndtering,
administrative
tjenesteydelser og
hjælpetjenester,
sundhedspleje og
forsyningsvirksom
hed
30 %
6 Telekommunikatio
n og
industriprodukter
35 %
7 Råvarer, energi,
landbrug,
fremstilling,
råstofudvinding
40 %
8 Finansielle
produkter,
herunder
statsstøttede
finansielle
produkter,
ejendomsaktivitete
r og teknologi
50 %
9 Lille Ny
markedsøkono
mi
Alle sektorer
beskrevet under
undergruppe nr. 1,
2, 3 og 4
70
10 Højt udviklet
økonomi
Alle sektorer
beskrevet under
undergruppe nr. 5,
6, 7 og 8
50 %
11 Andre sektorer 70 %
12 Stor Højt udviklet
økonomi
Kvalificerede
indeks
15 %
DA 194 DA
13 Andre Kvalificerede
indeks
25 %
2. Hvad der i stk. 1 forstås ved en lille og stor kapitalisering, præciseres i de i artikel
325bd, stk. 7, omhandlede reguleringsmæssige tekniske standarder.
3. Hvad der i stk. 1 forstås ved en ny markedsøkonomi og en højt udviklet økonomi,
præciseres i de i artikel 325ap, stk. 3, omhandlede reguleringsmæssige tekniske
standarder.
4. Ved tildeling af en risikoeksponering til en sektor anvender institutterne en
klassificering, der sædvanligvis anvendes på markedet til at gruppere udstedere efter
industrisektor. Institutterne tildeler hver udsteder til en af sektorundergrupperne i stk.
1, tabel 6, og tildeler alle udstedere fra den samme industri til den samme sektor.
Risikoeksponeringer fra en udsteder, som et institut ikke kan tildele til en sektor på
en sådan måde, tildeles til undergruppe nr. 11. Multinationale aktieudstedere eller
aktieudstedere med aktiviteter i flere sektorer tildeles til en bestemt undergruppe på
grundlag af den vigtigste region og sektor, hvori aktieudstederen har aktiviteter.
5. Risikovægtene for vegaaktierisiko sættes til 78 % for undergruppe nr. 1-8 og
undergruppe nr. 12 og til 100 % for alle andre undergrupper.
Artikel 383u
Korrelationer for aktierisiko på tværs af undergrupper
Korrelationsparameteren på tværs af undergruppen for delta- og vegaaktierisiko
fastsættes til:
a) 15 %, når de to undergrupper henhører under undergruppe nr. 1-10 i artikel
383t, stk. 1, tabel 6
b) 75 %, når de to undergrupper er undergruppe nr. 12 og 13 i artikel 383t, stk. 1,
tabel 6
c) 45 %, hvis en af undergrupperne er undergruppe nr. 12 og 13 i artikel 383t, stk.
1, tabel 6, og den anden undergruppe ligger mellem undergruppe nr. 1 og 10 i
artikel 383t, stk. 1, tabel 6
d) 0 %, når en af de to undergrupper er undergruppe nr. 11 i artikel 383t, stk. 1,
tabel 6.
Artikel 383v
Undergrupper for risikovægte for råvarerisiko
1. Risikovægtene for deltafølsomhederne over for råvarespotkursrisikofaktorer er de
samme for alle råvarerisikoeksponeringer i hver undergruppe i tabel 7 og er
følgende:
Tabel 7
Undergruppe
nr.
Undergruppenavn Risikovægt
for
råvarespotkurs
(procentpoint)
DA 195 DA
1 Energi — faste brændsler 30 %
2 Energi — flydende brændsler 35 %
3 Energi — elektricitet 60 %
4 Energi — kulstofhandel 40 %
5 Fragt 80 %
6 Metaller — ikkeædle 40 %
7 Gasformige brændsler 45 %
8 Ædelmetaller (inklusive guld) 20 %
9 Korn og olieplanter 35 %
10 Husdyr og mejeriprodukter 25 %
11 Landbrugsprodukter 35 %
12 Andre råvarer 50 %
2. Risikovægtene for vegaråvarerisiko sættes til 100 %.
Artikel 383w
Undergrupper for risikovægte for råvarerisiko
1. Korrelationsparameteren på tværs af undergruppen for deltaråvarerisiko fastsættes
til:
a) 20 %, når de to undergrupper henhører under undergruppe nr. 1-11 i artikel
383v, stk. 1, tabel 7
b) 0 %, når en af de to undergrupper er undergruppe nr. 12 i artikel 383v, stk. 1,
tabel 7
2. Korrelationsparameteren på tværs af undergruppen for vegaråvarerisiko fastsættes
til:
a) 20 %, når de to undergrupper henhører under undergruppe nr. 1-11 i artikel
383v, stk. 1, tabel 7
b) 0 %, når en af de to undergrupper er undergruppe nr. 12 i artikel 383v, stk. 1,
tabel 7."
(170) Artikel 384, 385 og 386 affattes således:
"Artikel 384
Basismetoden
1. Et institut beregner kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko i overensstemmelse med stk. 2 eller 3, alt efter hvad der
er relevant, for en portefølje af transaktioner med en eller flere modparter ved hjælp
af en af følgende formler, alt efter hvad der er relevant:
DA 196 DA
a) formlen i stk. 2, hvis instituttet i beregningen medtager en eller flere
afdækninger, der kan indregnes, og som er indregnet i overensstemmelse med
artikel 386
b) formlen i stk. 3, hvis instituttet i beregningen ikke medtager en eller flere
afdækninger, der kan indregnes, og som er indregnet i overensstemmelse med
artikel 386.
Metoderne i litra a) og b) må ikke anvendes i kombination.
2. Et institut, der opfylder betingelsen i stk. 1, litra a), beregner
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko således:
𝐵𝐴𝐶𝑉𝐴𝑡𝑜𝑡𝑎𝑙
= 𝐷𝑆𝐶𝑉𝐴 ⋅ (𝛽 ⋅ 𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−𝑢𝑛ℎ𝑒𝑑𝑔𝑒𝑑
+ (1 − 𝛽) ⋅ 𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−ℎ𝑒𝑑𝑔𝑒𝑑)
hvor:
𝐵𝐴𝐶𝑉𝐴𝑡𝑜𝑡𝑎𝑙
= kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko efter
basismetoden
𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−𝑢𝑛ℎ𝑒𝑑𝑔𝑒𝑑
= kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko efter basismetoden som beregnet i overensstemmelse med
stk. 3 for et institut, der opfylder betingelsen i stk. 1, litra b)
𝐷𝑆𝐶𝑉𝐴 = 0,65
𝛽 = 0,25
𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−ℎ𝑒𝑑𝑔𝑒𝑑
= √(𝜌 ⋅ ∑(𝑆𝐶𝑉𝐴𝑐 − 𝑆𝑁𝐻𝑐)
𝑐
− 𝐼𝐻)
2
+ (1 − 𝜌2) ⋅ ∑(𝑆𝐶𝑉𝐴𝑐 − 𝑆𝑁𝐻𝐶)2
𝑐
+ ∑ 𝐻𝑀𝐴𝑐
𝑐
hvor:
𝑆𝐶𝑉𝐴𝑐 =
1
𝑎
∙ 𝑅𝑊
𝑐 ∙ ∑ 𝑀𝑁𝑆
𝑐
𝑁𝑆∈𝑐
∙ 𝐸𝐴𝐷𝑁𝑆
𝑐
∙ 𝐷𝐹𝑁𝑆
𝑐
𝑆𝑁𝐻𝑐 = ∑ 𝑟ℎ𝑐 ∙ 𝑅𝑊ℎ
𝑆𝑁
∙ 𝑀ℎ
𝑆𝑁
∙ 𝐵ℎ
𝑆𝑁
∙ 𝐷𝐹ℎ
𝑆𝑁
ℎ∈𝑐
𝐼𝐻 = ∑ 𝑅𝑊𝑖
𝑖𝑛𝑑
𝑖
∙ 𝑀𝑖
𝑖𝑛𝑑
∙ 𝐵𝑖
𝑖𝑛𝑑
∙ 𝐷𝐹𝑖
𝑖𝑛𝑑
𝐻𝑀𝐴𝑐 = ∑(1 − 𝑟ℎ𝑐
2 ) ∙ (𝑅𝑊ℎ∙𝑀ℎ
𝑆𝑁
∙ 𝐵ℎ
𝑆𝑁
∙ 𝐷𝐹ℎ
𝑆𝑁
)2
ℎ
𝑎 =1,4;
𝜌 =0,5;
c =indekset for alle modparter, for hvilke instituttet beregner
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko ved hjælp af den
metode, der er fastsat i denne artikel
NS = indekset for alle nettinggrupper med en given modpart, for hvilken
instituttet beregner kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko
ved hjælp af den metode, der er fastsat i denne artikel
DA 197 DA
h = indekset for alle "single name"-instrumenter, der er indregnet som en
afdækning, der kan indregnes, i overensstemmelse med artikel 386, for en given
modpart, for hvilken instituttet beregner kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko ved hjælp af den metode, der er fastsat i denne artikel
i = indekset for alle indeksinstrumenter, der er indregnet som en afdækning, der
kan indregnes, i overensstemmelse med artikel 386, for alle modparter, for hvilke
instituttet beregner kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko
ved hjælp af den metode, der er fastsat i denne artikel
𝑅𝑊
𝑐 = den risikovægt, der gælder for modpart "c". Modpart "c" henføres til en
af risikovægtene baseret på en kombination af sektor og kreditkvalitet og fastsættes i
overensstemmelse med tabel 1.
𝑀𝑁𝑆
𝑐
= den faktiske løbetid for nettinggruppen NS med modpart c
For et institut, der anvender metoderne i afsnit II, kapitel 6, afdeling 6,
beregnes 𝑀𝑁𝑆
𝑐
i overensstemmelse artikel 162, stk. 2, litra g). I forbindelse med
denne beregning er 𝑀𝑁𝑆
𝑐
imidlertid ikke begrænset til fem år, men til den
længste resterende kontraktfastsatte løbetid i nettinggruppen.
For et institut, der ikke anvender metoderne i afsnit II, kapitel 6, afdeling 6, er
𝑀𝑁𝑆
𝑐
den gennemsnitlige notionelle vægtede løbetid som omhandlet i artikel
162, stk. 2, litra b). I forbindelse med denne beregning er 𝑀𝑁𝑆
𝑐
imidlertid ikke
begrænset til fem år, men til den længste resterende kontraktfastsatte løbetid i
nettinggruppen.
𝐸𝐴𝐷𝑁𝑆
𝑐
= værdien af modpartskreditrisikoeksponeringen for nettinggruppen NS
med modpart c, herunder virkningen af sikkerhedsstillelse i overensstemmelse med
metoderne i afsnit II, kapitel 6, afdeling 3-6, alt efter hvad der er relevant for
beregningen af kapitalgrundlagskravene i relation til modpartskreditrisiko, jf. artikel
92, stk. 4, litra a) og f)
𝐷𝐹𝑁𝑆
𝑐
= den tilsynsbaserede diskonteringsfaktor for nettinggruppen NS med
modpart c.
For et institut, der anvender metoderne i afsnit II, kapitel 6, afdeling 6,
fastsættes den tilsynsbaserede diskonteringsfaktor til 1. I alle andre tilfælde
beregnes den tilsynsbaserede diskonteringsfaktor således:
1 − 𝑒−0.05∗𝑀𝑁𝑆
𝑐
0.05 ∙ 𝑀𝑁𝑆
𝑐
𝑟ℎ𝑐 = den tilsynsbaserede korrelation mellem kreditspændsrisikoen for modpart c
og kreditspændsrisikoen for et "single name"-instrument, der er indregnet som en
afdækning h, der kan indregnes, for modpart c, fastsat i overensstemmelse med tabel
2
𝑀ℎ
𝑆𝑁
= løbetiden for et "single name"-instrument, der er indregnet som en
afdækning, der kan indregnes
𝐵ℎ
𝑆𝑁
= den notionelle værdi af et "single name"-instrument, der er indregnet som en
afdækning, der kan indregnes
𝐷𝐹ℎ
𝑆𝑁
= den tilsynsbaserede diskonteringsfaktor for et "single name"-instrument, der
er indregnet som en afdækning, der kan indregnes, beregnet således:
DA 198 DA
1 − 𝑒−0.05𝑀ℎ
𝑆𝑁
0.05 ∙ 𝑀ℎ
𝑆𝑁
𝑅𝑊ℎ
𝑆𝑁
= = den tilsynsbaserede risikovægt for et "single name"-instrument, der er
indregnet som en afdækning, der kan indregnes. Disse risikovægte skal baseres på en
kombination af sektor og kreditkvalitet for afdækningsinstrumentets
referencekreditspænd og fastsættes i overensstemmelse med tabel 1
𝑀𝑖
𝑖𝑛𝑑
= løbetiden for en eller flere positioner i det samme indeksinstrument, der
er indregnet som en afdækning, der kan indregnes. Hvis der er tale om mere end én
position i det samme indeksinstrument, er 𝑀𝑖
𝑖𝑛𝑑
den notionelle vægtede løbetid for
alle disse positioner
𝐵𝑖
𝑖𝑛𝑑
= den fulde notionelle værdi af en eller flere positioner i det samme
indeksinstrument, der er indregnet som en afdækning, der kan indregnes. Hvis der er
tale om mere end én position i det samme indeksinstrument, er 𝐵𝑖
𝑖𝑛𝑑
den notionelle
vægtede løbetid for alle disse positioner
𝐷𝐹𝑖
𝑖𝑛𝑑
= den tilsynsbaserede diskonteringsfaktor for en eller flere
positioner i det samme indeksinstrument, der er indregnet som en afdækning, der kan
indregnes, beregnet således
1 − 𝑒−0.05𝑀𝑖
𝑖𝑛𝑑
0.05 ∙ 𝑀𝑖
𝑖𝑛𝑑
𝑅𝑊𝑖
𝑖𝑛𝑑
= den tilsynsbaserede risikovægt for et indeksinstrument, der er indregnet
som en afdækning, der kan indregnes. 𝑅𝑊𝑖
𝑖𝑛𝑑
skal baseres på en kombination af
sektor og kreditkvalitet for alle indekselementerne beregnet således:
a) Hvis alle indekselementerne tilhører samme sektor og har samme kreditkvalitet
som fastsat i overensstemmelse med tabel 1, beregnes 𝑅𝑊𝑖
𝑖𝑛𝑑
som den
relevante risikovægt i tabel 1 for den pågældende sektor og kreditkvalitet
multipliceret med 0,7.
b) Hvis alle indekselementerne ikke tilhører samme sektor eller ikke har samme
kreditkvalitet, beregnes 𝑅𝑊𝑖
𝑖𝑛𝑑
som et vægtet gennemsnit af risikovægtene for
alle indekselementerne som fastsat i overensstemmelse med tabel 1
multipliceret med 0,7.
Tabel 1
Modpartens sektor
Kreditkvalitet
Kreditkvalitetstrin 1-3 Kreditkvalitetstri
n 4-6 og ikke
kreditvurderet
Et tredjelands
centralregering, herunder
centralbanker, multilaterale
udviklingsbanker og
internationale
organisationer omhandlet i
artikel 117, stk. 2, eller
0,5 % 3,0 %
DA 199 DA
artikel 118
Regional eller lokal
myndighed og offentlige
enheder
1,0 % 4,0 %
Enheder i den finansielle
sektor, herunder
kreditinstitutter, der er
etableret af en
centralregering eller en
regional eller lokal
myndighed, og
støttelångivere
5,0 % 12,0 %
Råvarer, energi,
industriprodukter, landbrug,
fremstilling,
råstofudvinding
3,0 % 7,0 %
Forbrugervarer og -
tjenesteydelser, transport og
godshåndtering,
administrative
tjenesteydelser og
hjælpetjenester
3,0 % 8,5 %
Teknologi og
telekommunikation
2,0 % 5,5 %
Sundhedspleje,
forsyningsvirksomhed samt
liberale og tekniske
tjenesteydelser
1,5 % 5,0 %
Andre sektorer 5,0 % 12,0 %
Tabel 2
Korrelationer mellem modpartskreditspænd og "single name"-
afdækning
"Single name"-afdækning h for
modpart i
Værdi af rhc
Modparter som omhandlet i artikel
386, stk. 3, litra a), nr. i)
100 %
Modparter som omhandlet i artikel
386, stk. 3, litra a), nr. ii)
80 %
DA 200 DA
Modparter som omhandlet i artikel
386, stk. 3, litra a), nr. iii)
50 %
2. Et institut, der opfylder betingelsen i stk. 1, litra b), beregner
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko således:
𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−𝑢𝑛ℎ𝑒𝑑𝑔𝑒𝑑
= √(𝜌 ⋅ ∑ 𝑆𝐶𝑉𝐴𝑐
𝑐
)
2
+ (1 − 𝜌2
) ⋅ ∑ 𝑆𝐶𝑉𝐴𝑐
2
𝑐
hvor alle betingelserne er dem, der er anført i stk. 2.
Artikel 385
Den forenklede metode
1. Et institut, der opfylder alle betingelserne i artikel 273a, stk. 2, kan beregne
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko som risikovægtede
eksponeringsbeløb for modpartsrisici for henholdsvis positioner uden for
handelsbeholdningen og positioner i handelsbeholdningen, jf. artikel 92, stk. 3, litra
a) og f), divideret med 12,5.
2. Med henblik på beregningen omhandlet i stk. 1 gælder følgende krav:
a) Kun transaktioner, der er omfattet af kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko i artikel 382, er omfattet af denne beregning.
b) Kreditderivater, der indregnes som interne afdækninger mod
modpartsrisikoeksponeringer, medtages ikke i denne beregning.
3. Et institut, der ikke længere opfylder en eller flere af betingelserne i artikel 273a,
stk. 2, skal overholde kravene i artikel 273b.
Artikel 386
Afdækning, der kan indregnes
1. Positioner i afdækningsinstrumenter anerkendes som "afdækning, der kan
indregnes" til beregning af kapitalgrundlagskrav i relation til
kreditværdijusteringsrisiko i overensstemmelse med artikel 383 og 384, hvis disse
positioner opfylder samtlige følgende krav:
a) Disse positioner anvendes til at reducere kreditværdijusteringsrisiko og
forvaltes som sådan.
b) Disse positioner kan indgås med tredjeparter eller med instituttets
handelsbeholdning som intern afdækning, idet de i så fald skal opfylde kravet i
artikel 106, stk. 7.
c) Kun positioner i afdækningsinstrumenter som omhandlet i stk. 2 og 3 kan
indregnes som afdækning, der kan indregnes, med henblik på beregning af
kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko i
overensstemmelse med henholdsvis artikel 383 og 384.
d) Et givet afdækningsinstrument udgør en enkelt position i en afdækning, der kan
indregnes, og kan ikke opdeles i mere end én position i mere end én afdækning,
der kan indregnes.
DA 201 DA
2. Ved beregningen af kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko i overensstemmelse med artikel 383 indregnes kun
positioner i følgende afdækningsinstrumenter som afdækning, der kan indregnes:
a) instrumenter, der afdækker variabiliteten i modpartskreditspændet, med
undtagelse af de instrumenter, der er omhandlet i artikel 325, stk. 5
b) instrumenter, der afdækker variabiliteten i kreditværdijusteringsrisikoens
eksponeringskomponent, med undtagelse af de instrumenter, der er omhandlet i
artikel 325, stk. 5.
3. Ved beregningen af kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko i
overensstemmelse med artikel 384 indregnes kun positioner i følgende
afdækningsinstrumenter som afdækning, der kan indregnes:
a) single name credit default swaps og single name contingent credit default
swaps, der som reference benytter:
i) modparten direkte
ii) en enhed, der er juridisk knyttet til modparten, hvor der i retlig henseende
refereres til tilfælde, hvor referencenavnet og modparten enten er en
modervirksomhed og dennes datterselskab eller to dattervirksomheder af
en fælles modervirksomhed
iii) en enhed, der tilhører samme sektor og region som modparten
b) "index credit default swaps".
4. Positioner i sikringsinstrumenter, der er indgået med tredjeparter, som indregnes
som afdækning i overensstemmelse med stk. 1, 2 og 3, og som indgår i beregningen
af kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko, er ikke omfattet
af kapitalgrundlagskravene vedrørende markedsrisiko i afsnit IV.
5. Positioner i afdækningsinstrumenter, der ikke er indregnet som afdækning, der kan
indregnes, i overensstemmelse med denne artikel, er omfattet af
kapitalgrundlagskravene i relation til markedsrisiko i afsnit IV."
(171) I artikel 402 foretages følgende ændringer:
a) I stk. 1 foretages følgende ændringer:
i) Første afsnit affattes således:
"Til brug for beregningen af eksponeringsværdier med henblik på artikel
395 kan institutter, undtagen hvis det i henhold til gældende national ret
er forbudt, nedsætte værdien af en eksponering eller dele af en
eksponering, der er sikret ved beboelsesejendom, i overensstemmelse
med artikel 125, stk. 1, med den pantsatte del af ejendomsværdien, men
ikke med mere end 55 % af ejendomsværdien, såfremt alle følgende
betingelser er opfyldt:".
ii) Litra a) affattes således:
"a) medlemsstaternes kompetente myndigheder har undladt at fastsætte
en risikovægt, der er højere end 20 %, for eksponeringer eller dele af
eksponeringer, der er sikret ved beboelsesejendom, i henhold til artikel
124, stk. 7".
b) I stk. 2 foretages følgende ændringer:
DA 202 DA
i) Første afsnit affattes således:
"Til brug for beregningen af eksponeringsværdier med henblik på artikel
395 kan institutter, undtagen hvis det i henhold til gældende national ret
er forbudt, nedsætte værdien af en eksponering eller dele af en
eksponering, der er sikret ved erhvervsejendom, i overensstemmelse med
artikel 126, stk. 1, med den pantsatte del af ejendomsværdien, men ikke
med mere end 55 % af ejendomsværdien, såfremt alle følgende
betingelser er opfyldt:".
ii) Litra a) affattes således:
"a) medlemsstaternes kompetente myndigheder har undladt at fastsætte
en risikovægt, der er højere end 60 %, for eksponeringer eller dele af
eksponeringer, der er sikret ved beboelsesejendom, i henhold til artikel
124, stk. 7".
(172) Artikel 429, stk. 6, affattes således:
"6. Med henblik på denne artikels stk. 4, litra e), og artikel 429g forstås ved
"almindeligt køb eller salg" et køb eller salg af et finansielt aktiv i henhold til en
kontrakt, hvis vilkår kræver, at det finansielle aktiv overdrages inden for den
almindelige ved lovgivning eller sædvane i det pågældende marked fastsatte
periode."
(173) I artikel 429c foretages følgende ændringer:
(a) Stk. 3, litra a), affattes således:
"a) for handler, som ikke er clearet gennem en QCCP, holdes det kontante
beløb, som tilgår den modtagende modpart, ikke adskilt fra instituttets aktiver".
(b) Stk. 4 affattes således:
"4. Med henblik på denne artikels stk. 1 medtager institutterne ikke modtaget
sikkerhedsstillelse i beregningen af NICA som defineret i artikel 272, nr. 12a)."
(c) Følgende indsættes som stk. 4a:
"4a. Uanset stk. 3 og 4 kan et institut indregne enhver modtaget
sikkerhedsstillelse i overensstemmelse med tredje del, afsnit II, kapitel 6,
afdeling 3, hvis samtlige følgende betingelser er opfyldt:
a) Sikkerhedsstillelsen modtages fra en kunde for en derivatkontrakt, der
cleares af instituttet på vegne af den pågældende kunde.
b) Kontrakten omhandlet i litra a) cleares gennem en QCCP.
c) Hvis sikkerhedsstillelsen er modtaget i form af initialmargin, adskilles
denne sikkerhedsstillelse fra instituttets aktiver."
(d) Stk. 6, første afsnit, affattes således:
"Uanset stk. 1 kan institutterne anvende den metode, der er beskrevet i tredje
del, afsnit II, kapitel 6, afdeling 4 eller 5, til at bestemme eksponeringsværdien
af derivatkontrakter anført i bilag II, punkt 1 og 2, men kun såfremt de også
anvender denne metode til at bestemme eksponeringsværdien af disse
kontrakter med henblik på at opfylde kapitalgrundlagskravene i artikel 92, stk.
1, litra a), b) og c)."
(174) I artikel 429f foretages følgende ændringer:
DA 203 DA
a) Stk. 1 affattes således:
"1. Institutterne beregner, jf. artikel 111, stk. 2, eksponeringsværdien af
ikkebalanceførte poster, eksklusiv derivatkontrakterne anført i bilag II,
kreditderivater, værdipapirfinansieringstransaktioner og positionerne
omhandlet i artikel 429d.
Hvis en forpligtelse er knyttet til udvidelsen af en anden forpligtelse, finder
artikel 166, stk. 9, anvendelse."
b) Stk. 3 udgår.
(175) Artikel 429g, stk. 1, affattes således:
"1. Institutterne behandler likvide midler relateret til almindelige køb og finansielle
aktiver relateret til almindelige salg, som forbliver på balancen indtil
afregningsdatoen, som aktiver i henhold til artikel 429, stk. 4, litra a)."
(176) I artikel 430, stk. 1, tilføjes følgende som litra h):
"h) deres eksponeringer mod ESG-risici."
(177) Artikel 430a, stk. 1, affattes således:
"1. Institutterne indberetter hvert år følgende aggregerede data til de kompetente
myndigheder for hvert af de nationale ejendomsmarkeder, som de er eksponeret over
for:
a) tab i forbindelse med eksponeringer, for hvilke et institut har anerkendt
beboelsesejendom som sikkerhed, på op til den laveste værdi af den pantsatte
del og 55 % af ejendomsværdien, medmindre andet er fastsat i artikel 124, stk.
7
b) de samlede tab i forbindelse med eksponeringer, for hvilke et institut har
anerkendt beboelsesejendom som sikkerhed, på op til den del af eksponeringen,
der er sikret ved pant i beboelsesejendom i overensstemmelse med artikel 124,
stk. 2, litra a)
c) eksponeringsværdien af alle udestående eksponeringer, for hvilke et institut har
anerkendt beboelsesejendom som sikkerhed, begrænset til den del, der er sikret
ved pant i beboelsesejendom i overensstemmelse med artikel 124, stk. 2, litra
a)
d) tab i forbindelse med eksponeringer, for hvilke et institut har anerkendt
erhvervsejendom som sikkerhed, på op til den laveste værdi af den pantsatte
del og 55 % af ejendomsværdien, medmindre andet er fastsat i artikel 124, stk.
7
e) de samlede tab i forbindelse med eksponeringer, for hvilke et institut har
anerkendt erhvervsejendom som sikkerhed, på op til den del af eksponeringen,
der er sikret ved pant i erhvervsejendom i overensstemmelse med artikel 124,
stk. 2, litra c)
f) eksponeringsværdien af alle udestående eksponeringer, for hvilke et institut har
anerkendt erhvervsejendom som sikkerhed, begrænset til den del, der er sikret
ved pant i erhvervsejendom i overensstemmelse med artikel 124, stk. 2, litra
c)."
(178) Artikel 433 affattes således:
DA 204 DA
"Artikel 433
Offentliggørelseshyppighed og -omfang
Institutterne offentliggør de oplysninger, der kræves i henhold til afsnit II og III, på
den måde, der er beskrevet i nærværende artikel, artikel 433a, 433b, 433c og 434.
EBA foretager den årlige offentliggørelse på sit websted på samme dato som
offentliggørelsen af institutternes årsregnskab eller så hurtigt som muligt derefter.
EBA foretager halvårlige eller kvartalsvise offentliggørelser på sit websted på
samme dato som offentliggørelsen af institutternes finansielle rapporter for den
tilsvarende periode såfremt relevant eller så hurtigt som muligt derefter.
Enhver forsinkelse mellem datoen for offentliggørelsen af oplysningerne i henhold til
denne del og det relevante årsregnskab skal være rimelig og må under ingen
omstændigheder overskride den tidsfrist, som de kompetente myndigheder har fastsat
i henhold til artikel 106 i direktiv 2013/36/EU."
(179) Artikel 433a, stk. 1, litra c), nr. i), affattes således:
"i) artikel 438, litra d), da) og h)".
(180) Artikel 433b, stk. 1, litra a), ændres således:
a) Nr. ii) affattes således:
"ii) artikel 438, litra c), d) og da)".
b) Følgende tilføjes som nr. iv):
"iv) artikel 442, litra c) og d)".
(181) Artikel 433c, stk. 2, ændres således:
a) Litra d) affattes således:
"d) artikel 438, litra c), d) og da)".
b) Følgende tilføjes som litra g):
"g) artikel 442, litra c) og d)."
(182) Artikel 434 affattes således:
"Artikel 434
Medier til offentliggørelse
1. Andre institutter end små og ikkekomplekse institutter indsender alle de
oplysninger, der kræves i henhold til afsnit II og III, i elektronisk format til EBA
senest på den dato, hvor institutterne offentliggør deres regnskaber eller finansielle
rapporter for den tilsvarende periode såfremt relevant eller så hurtigt som muligt
derefter. EBA offentliggør også datoen for indgivelse af disse oplysninger.
EBA sikrer, at de oplysninger, der gives på EBA's websted, indeholder de samme
oplysninger som dem, institutterne har indgivet til EBA. Institutterne har ret til at
genindsende oplysningerne til EBA i overensstemmelse med de tekniske standarder,
der er omhandlet i artikel 434a. EBA offentliggør på sit websted datoen for
genindsendelsen.
EBA udarbejder og ajourfører det værktøj, der specificerer sammenkoblingen af
skemaerne og tabellerne for offentliggørelse med dem, der vedrører indberetning
DA 205 DA
med henblik på tilsyn. Sammenkoblingsværktøjet skal være tilgængeligt for
offentligheden på EBA's websted.
Institutterne kan fortsat offentliggøre et enkeltstående dokument, der giver brugere af
disse oplysninger umiddelbar adgang til tilsynsoplysninger, eller et separat afsnit, der
er indsat i eller vedhæftet institutternes regnskaber eller finansielle rapporter, som
indeholder de krævede oplysninger, og som er let genkendelige for disse brugere.
Institutterne kan på deres websted indsætte et link til EBA's websted, hvor
tilsynsoplysningerne offentliggøres centralt.
2. Store institutter og andre institutter, der ikke er store institutter eller små og
ikkekomplekse institutter, indsender de oplysninger, der er omhandlet i henholdsvis
artikel 433a og artikel 433c, til EBA, dog senest på datoen for offentliggørelsen af
årsregnskaber eller finansielle rapporter for den tilsvarende periode eller så hurtigt
som muligt derefter. Hvis det er nødvendigt at offentliggøre oplysninger for en
periode, hvor et institut ikke udarbejder en finansiel rapport, skal instituttet hurtigst
muligt indsende oplysningerne til EBA.
3. EBA offentliggør på sit websted oplysninger om små og ikkekomplekse institutter
på grundlag af de oplysninger, som disse institutter har indberettet til de kompetente
myndigheder i overensstemmelse med artikel 430.
4. Selv om ejendomsretten til dataene og ansvaret for oplysningernes nøjagtighed
fortsat ligger hos de institutter, der udarbejder dem, offentliggør EBA på sit websted
de oplysninger, der skal offentliggøres i overensstemmelse med denne del. Dette
arkiv skal være tilgængeligt i en periode, der mindst svarer til den
opbevaringsperiode, der er fastsat i den nationale ret vedrørende oplysninger i
institutternes finansielle rapporter.
5. EBA overvåger antallet af besøg på sit fælles adgangspunkt vedrørende institutters
offentliggørelse af oplysninger og medtager de relaterede statistikker i sine
årsberetninger."
(183) I artikel 434a foretages følgende ændringer:
a) Stk. 1, første punktum, affattes således:
"EBA udarbejder udkast til gennemførelsesmæssige tekniske standarder med
henblik på at fastlægge ensartede offentliggørelsesformater, tilhørende
anvisninger, oplysninger om politikken for genindsendelse og IT-løsninger
vedrørende offentliggørelse, der kræves i henhold til afsnit II og III."
b) Stk. 1, fjerde punktum, affattes således:
"EBA forelægger disse udkast til gennemførelsesmæssige tekniske standarder
for Kommissionen senest den [Publikationskontoret: Her indsættes datoen = 1
år efter denne forordnings ikrafttræden]."
(184) I artikel 438 foretages følgende ændringer:
a) Litra b) affattes således:
"b) størrelsen af yderligere kapitalgrundlagskrav baseret på den tilsynsmæssige
kontrolproces, der er omhandlet i artikel 104, stk. 1, litra a), i direktiv
2013/36/EU, for at imødegå andre risici end risikoen for overdreven gearing og
dens sammensætning".
a) Litra d) affattes således:
DA 206 DA
"d) den samlede risikoeksponeringsværdi beregnet i overensstemmelse med
artikel 92, stk. 3, og det tilsvarende kapitalgrundlagskrav fastsat i henhold til
artikel 92, stk. 2, opdelt efter de forskellige risiko- eller eksponeringskategorier
og -underkategorier, alt efter hvad der er relevant, der er anført i tredje del, og,
hvis det er relevant, en forklaring af, hvordan anvendelsen af nedre grænser for
kapital og manglende fradrag af poster i kapitalgrundlaget påvirker
beregningen af kapitalgrundlaget og de risikovægtede eksponeringsbeløb".
c) Følgende indsættes som litra da):
"da) hvis det kræves for at beregne følgende beløb, den samlede
risikoeksponeringsværdi uden gulv beregnet i overensstemmelse med artikel
92, stk. 4, og den standardiserede samlede risikoeksponeringsværdi beregnet i
overensstemmelse med artikel 92, stk. 5, opdelt efter de forskellige
risikokategorier og -underkategorier, alt efter hvad der er relevant, der er anført
i tredje del, og, hvis det er relevant, en forklaring af, hvordan anvendelsen af
nedre grænser for kapital og manglende fradrag af poster i kapitalgrundlaget
påvirker beregningen af kapitalgrundlaget og de risikovægtede
eksponeringsværdier".
(185) Artikel 445 affattes således:
"Artikel 445
Offentliggørelse af oplysninger om eksponeringer mod markedsrisiko efter
standardmetoden
1. Institutter, som af de kompetente myndigheder ikke har fået tilladelse til at
anvende den alternative metode med interne modeller for markedsrisiko, jf. artikel
325az, og som anvender den forenklede standardmetode i overensstemmelse med
artikel 325a eller tredje del, afsnit IV, kapitel 1a, offentliggør en generel oversigt
over deres positioner i handelsbeholdningen.
2. Institutter, der beregner deres kapitalgrundlagskrav i overensstemmelse med tredje
del, afsnit IV, kapitel 1a, offentliggør deres samlede kapitalgrundlagskrav, deres
kapitalgrundlagskrav vedrørende følsomhedsmetoder, deres misligholdelsesrisiko og
deres kapitalgrundlagskrav vedrørende restrisici. Offentliggørelsen af
kapitalgrundlagskravene vedrørende målene i følsomhedsmetoderne og vedrørende
misligholdelsesrisiko opdeles for følgende instrumenter:
a) finansielle instrumenter bortset fra securitiseringsinstrumenter i
handelsbeholdningen opdelt efter risikoklasse og en særskilt identifikation af
kapitalgrundlagskravene vedrørende misligholdelsesrisiko
b) securitiseringsinstrumenter, der ikke indgår i ACTP'en, med særskilt
identifikation af kapitalgrundlagskravene vedrørende kreditspændsrisiko og
kapitalgrundlagskravene vedrørende misligholdelsesrisiko
c) securitiseringsinstrumenter, der indgår i ACTP'en, med særskilt identifikation
af kapitalgrundlagskravene vedrørende kreditspændsrisiko og
kapitalgrundlagskravene vedrørende misligholdelsesrisiko."
(186) Følgende indsættes som artikel 445a:
DA 207 DA
"Artikel 445a
Offentliggørelse af oplysninger om kreditværdijusteringsrisiko
1. Institutter, der er omfattet af kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko, offentliggør følgende oplysninger:
a) en generel oversigt over deres procedurer for at identificere, måle, afdække og
overvåge deres kreditværdijusteringsrisiko
b) hvorvidt institutterne opfylder alle betingelserne i artikel 273a, stk. 2; hvis
disse betingelser er opfyldt, hvorvidt institutterne har valgt at beregne
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko ved hjælp af
den forenklede metode i artikel 385; hvis institutterne har valgt at beregne
kapitalgrundlagskravene i relation til kreditværdijusteringsrisiko ved hjælp af
den forenklede metode, kapitalgrundlagskravene i relation til
kreditværdijusteringsrisiko i overensstemmelse med denne metode
c) det samlede antal modparter, for hvilke standardmetoden anvendes, opdelt efter
modpartstype.
2. Institutter, der anvender standardmetoden som defineret i artikel 383 til beregning
af kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko, offentliggør ud over
de oplysninger, der er omhandlet i stk. 1, følgende oplysninger:
a) strukturen og organiseringen af deres interne
kreditværdijusteringsrisikostyringsfunktion og -ledelse
b) deres samlede kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko
efter standardmetoden med opdeling efter risikoklasse
c) en oversigt over de afdækninger, der kan indregnes, og som anvendes i denne
beregning, med en opdeling pr. type som defineret i artikel 386, stk. 2.
3. Institutter, der anvender basismetoden som defineret i artikel 384 til beregning af
kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko, offentliggør ud over de
oplysninger, der er omhandlet i stk. 1, desuden følgende oplysninger:
a) deres samlede kapitalgrundlagskrav i relation til kreditværdijusteringsrisiko
efter basismetoden og komponenterne 𝐵𝐴𝐶𝑉𝐴𝑡𝑜𝑡𝑎𝑙
og 𝐵𝐴𝐶𝑉𝐴𝑐𝑠𝑟−ℎ𝑒𝑑𝑔𝑒𝑑
;
b) en oversigt over de afdækninger, der kan indregnes, og som anvendes i denne
beregning, med en opdeling pr. type som defineret i artikel 386, stk. 3."
(187) Artikel 446 affattes således:
"Artikel 446
Offentliggørelse af oplysninger om operationel risiko
1. Institutterne offentliggør følgende oplysninger:
a) de vigtigste karakteristika og elementer i deres rammer for styring af
operationel risiko
b) deres kapitalgrundlagskrav i relation til operationel risiko
c) forretningsindikatorkomponenten beregnet i overensstemmelse med artikel 313
d) forretningsindikatoren beregnet i overensstemmelse med artikel 314, stk. 1, og
beløbene for hver af de forretningsindikatorunderposter for hvert af de tre år,
der er relevante for beregningen af forretningsindikatoren
DA 208 DA
e) antal og beløb for forretningsindikatorunderposter, der blev udelukket fra
beregningen af forretningsindikatoren i overensstemmelse med artikel 315, stk.
2, samt de tilsvarende begrundelser for udelukkelsen.
2. Institutter, der beregner deres årlige tab som følge af operationel risiko i
overensstemmelse med artikel 316, stk. 1, offentliggør følgende oplysninger ud over
de oplysninger, der er anført i stk. 1:
a) deres årlige tab som følge af operationel risiko for hvert af de seneste ti år
beregnet i overensstemmelse med artikel 316, stk. 1
b) antal og beløb for tab som følge af operationel risiko, der blev udelukket fra
beregningen af det årlige tab som følge af operationel risiko i
overensstemmelse med artikel 320, stk. 1, og de tilsvarende begrundelser for
udelukkelsen."
(188) I artikel 447 foretages følgende ændringer:
a) Litra a) affattes således:
"a) sammensætningen af deres kapitalgrundlag og risikobaserede
kapitalprocenter som beregnet i henhold til artikel 92, stk. 2".
b) Følgende indsættes som litra aa):
"aa) hvor det er relevant, de risikobaserede kapitalprocenter som beregnet i
overensstemmelse med artikel 92, stk. 2, ved at anvende de samlede
risikoeksponeringsbeløb uden gulv i stedet for de samlede
risikoeksponeringsbeløb".
c) Litra b) affattes således:
"b) de samlede risikoeksponeringsbeløb beregnet i overensstemmelse med
artikel 92, stk. 3, og, hvor det er relevant, de samlede risikoeksponeringsbeløb
uden gulv som beregnet i overensstemmelse med artikel 92, stk. 4".
d) Litra d) affattes således:
"d) det kombinerede bufferkrav, som institutterne skal besidde i henhold til
afsnit VII, kapitel 4, i direktiv 2013/36/EU".
(189) Artikel 449a affattes således:
"Artikel 449a
Offentliggørelse af miljømæssige, sociale og ledelsesmæssige risici (ESG-risici)
Institutterne offentliggør oplysninger om ESG-risici, herunder fysiske risici og
omstillingsrisici.
Oplysningerne omhandlet i første afsnit offentliggøres årligt af små og
ikkekomplekse institutter og halvårligt af andre institutter.
EBA udarbejder udkast til gennemførelsesmæssige tekniske standarder med henblik
på at fastlægge ensartede offentliggørelsesformater vedrørende ESG-risici, jf. artikel
434a, idet den sikrer, at de er i overensstemmelse med og overholder
proportionalitetsprincippet. For små og ikkekomplekse institutter kræver formaterne
ikke offentliggørelse af oplysninger ud over de oplysninger, der kræves indberettet til
de kompetente myndigheder i henhold til artikel 430, stk. 1, litra h)."
(190) I artikel 451, stk. 1, tilføjes følgende som litra f):
DA 209 DA
"f) størrelsen af yderligere kapitalgrundlagskrav baseret på den tilsynsmæssige
kontrolproces, der er omhandlet i artikel 104, stk. 1, litra a), i direktiv 2013/36/EU,
for at imødegå risikoen for overdreven gearing og dens sammensætning."
(191) Artikel 455 affattes således:
"Artikel 455
Anvendelse af interne modeller for markedsrisiko
1. Et institut, der anvender de interne modeller, der er omhandlet i artikel 325az, til
beregning af kapitalgrundlagskravene i relation til markedsrisiko, offentliggør
følgende oplysninger:
a) instituttets målsætninger i forbindelse med handelsaktiviteter og de procedurer,
der er indført for at identificere, måle, overvåge og kontrollere instituttets
markedsrisici
b) de politikker, der er omhandlet i artikel 104, stk. 1, til fastlæggelse af, hvilken
position der skal medtages i handelsbeholdningen
c) en generel beskrivelse af strukturen i de handelsenheder, der er omfattet af de
interne modeller, der er omhandlet i artikel 325az, herunder for hver enhed en
bred beskrivelse af enhedens forretningsstrategi og de tilladte instrumenter deri
samt de vigtigste risikotyper i forbindelse med denne enhed
d) en generel oversigt over positioner i handelsbeholdningen, der ikke er omfattet
af de interne modeller omhandlet i artikel 325az, herunder en generel
beskrivelse af enhedsstrukturen og typen af instrumenter, der indgår i
enhederne eller kategorierne af enheder, jf. artikel 104b
e) strukturen og organiseringen af markedsrisikostyringsfunktionen og -ledelsen
f) anvendelsesområdet, de vigtigste karakteristika og vigtigste
modelberegningskriterier for de forskellige interne modeller, jf. artikel 325az,
som de anvender til at beregne risikoeksponeringsværdierne for de vigtigste
modeller, som de anvender på konsolideret niveau, og en beskrivelse af, i
hvilket omfang disse interne modeller repræsenterer alle de modeller, der
anvendes på konsolideret niveau, herunder, hvis det er relevant:
i) en bred beskrivelse af den modelmetode, der anvendes til at beregne
expected shortfall, jf. artikel 325ba, stk. 1, litra a), herunder hyppigheden
af ajourføring af data
ii) en bred beskrivelse af den metode, der anvendes til at beregne den
stressscenariebaserede risikoværdi, jf. artikel 325ba, stk. 1, litra b),
bortset fra specifikationerne i artikel 325bk, stk. 3
iii) en bred beskrivelse af den modelmetode, der anvendes til at beregne
misligholdelsesrisikoen, jf. artikel 325ba, stk. 2, herunder hyppigheden af
ajourføring af data.
2. Institutterne offentliggør samlet for alle de handelsenheder, der er omfattet af de
interne modeller, som er omhandlet i artikel 325az, følgende elementer, hvis det er
relevant:
a) den seneste værdi samt den højeste, laveste og gennemsnitlige værdi for de
foregående 60 arbejdsdage af:
DA 210 DA
i) værdien for unconstrained expected shortfall som defineret i artikel
325bb, stk. 1
ii) værdien for unconstrained expected shortfall som defineret i artikel
325bb, stk. 1, for hver reguleringsmæssig bred risikofaktorkategori
b) den seneste værdi og den gennemsnitlige værdi for de foregående 60
arbejdsdage af:
i) risikoværdien for unconstrained expected shortfall som defineret i artikel
325bb, stk. 1
ii) den stressscenariebaserede risikoværdi som defineret i artikel 325ba, stk.
1, litra b)
iii) kapitalgrundlagskravet vedrørende misligholdelsesrisiko som defineret i
artikel 325ba, stk. 2
iv) summen af de kapitalgrundlagskrav, der er defineret i artikel 325ba, stk.
1 og 2, herunder den gældende multiplikatorfaktor
c) antallet af backtestingoverskridelser i løbet af de seneste 250 arbejdsdage ved
99. percentil som omhandlet i artikel 325bf, stk. 1, litra a) og b), hver for sig.
4. Institutterne offentliggør samlet for alle handelsenheder de kapitalgrundlagskrav
vedrørende markedsrisici, som ville blive beregnet i overensstemmelse med dette
afsnit, kapitel 1a, hvis de pågældende institutter ikke havde fået tilladelse til at
anvende deres interne modeller på disse handelsenheder."
(192) I artikel 458 foretages følgende ændringer:
a) Stk. 6 affattes således:
"6. Hvis medlemsstaterne anerkender de foranstaltninger, der er fastsat i
overensstemmelse med denne artikel, underretter de ESRB. ESRB
videresender straks sådanne underretninger til Rådet, Kommissionen, EBA,
ESRB og den medlemsstat, der har tilladelse til at anvende foranstaltningerne."
b) Stk. 9 affattes således:
"9. Inden udløbet af den tilladelse, der er givet i henhold til stk. 4, tager den
pågældende medlemsstat i samråd med ESRB samt EBA og Kommissionen
situationen op til revision og kan efter proceduren i stk. 2 og 4 vedtage en ny
afgørelse om forlængelse af anvendelsesperioden for nationale foranstaltninger
med op til yderligere to år ad gangen."
(193) Artikel 461a affattes således:
"Artikel 461a
Kapitalgrundlagskrav vedrørende markedsrisici
Kommissionen overvåger gennemførelsen af de internationale standarder for
kapitalgrundlagskrav vedrørende markedsrisiko i tredjelande. Hvis der konstateres
betydelige forskelle mellem Unionens gennemførelse og tredjelandes gennemførelse
af disse internationale standarder, herunder reglernes indvirkning på
kapitalgrundlagskravene, og for så vidt angår deres ikrafttræden, tillægges
Kommissionen beføjelse til at vedtage en delegeret retsakt i overensstemmelse med
artikel 462 med henblik på at ændre denne forordning ved:
DA 211 DA
a) hvor det er nødvendigt for at skabe lige vilkår, at anvende en multiplikator, der
er lig med eller større end 0 og lavere end 1, på institutternes
kapitalgrundlagskravvedrørende markedsrisiko, beregnet for specifikke
risikoklasser og specifikke risikofaktorer ved hjælp af en af de metoder, der er
omhandlet i artikel 325, stk. 1, og fastsat i:
i) artikel 325c-325ay, der præciserer den alternative standardmetode
ii) artikel 325az-325bp, der præciserer den alternative metode med interne
modeller
iii) artikel 326-361, der præciserer den forenklede standardmetode, for at
udligne disse konstaterede forskelle mellem tredjelandes regler og EU-
retten
b) med to år at udskyde den dato, fra hvilken institutterne skal anvende
kapitalgrundlagskravene vedrørende markedsrisiko som fastsat i tredje del,
afsnit IV, eller en af metoderne til beregning af kapitalgrundlagskravene
vedrørende markedsrisiko, jf. artikel 325, stk. 1."
(194) Følgende indsættes som artikel 461b:
"Artikel 461b
Tilsynsmæssig behandling af kryptoaktiver
Senest den 31. december 2025 undersøger Kommissionen, om der bør udvikles en
særlig tilsynsmæssig behandling af eksponeringer mod kryptoaktiver, og den skal
efter høring af EBA og under hensyntagen til udviklingen på internationalt plan
(195) forelægge Europa-Parlamentet og Rådet en rapport sammen med et
lovgivningsforslag, hvis det er relevant."
Artikel 462 ændres således:
a) Stk. 2 og 3 affattes således:
"2. Beføjelsen til at vedtage de delegerede retsakter, jf. artikel 244, stk. 6,
artikel 245, stk. 6, artikel 456-460 samt artikel 461a og 461b, tillægges
Kommissionen for en ubegrænset periode fra den 28. juni 2013.
3. Den i artikel 244, stk. 6, artikel 245, stk. 6, artikel 456-460 samt artikel 461a
og 461b omhandlede delegation af beføjelser kan til enhver tid tilbagekaldes af
Europa-Parlamentet eller Rådet. En afgørelse om tilbagekaldelse bringer
delegationen af de beføjelser, der er angivet i den pågældende afgørelse, til
ophør. Den får virkning dagen efter offentliggørelsen af afgørelsen i Den
Europæiske Unions Tidende eller på et senere tidspunkt, der angives i
afgørelsen. Den berører ikke gyldigheden af delegerede retsakter, der allerede
er i kraft."
b) Stk. 6 affattes således:
"6. En delegeret retsakt vedtaget i henhold til artikel 244, stk. 6, artikel 245,
stk. 6, artikel 456-460 samt artikel 461a og 461b træder kun i kraft, hvis
hverken Europa-Parlamentet eller Rådet har gjort indsigelse inden for en frist
på tre måneder fra meddelelsen af den pågældende retsakt til Europa-
Parlamentet og Rådet, eller hvis Europa-Parlamentet og Rådet inden udløbet af
denne frist begge har underrettet Kommissionen om, at de ikke agter at gøre
indsigelse. Fristen forlænges med tre måneder på Europa-Parlamentets eller
Rådets initiativ."
DA 212 DA
(196) Artikel 465 affattes således:
"Artikel 465
Overgangsordninger vedrørende nedre grænse for output (outputgulv)
1. Uanset artikel 92, stk. 3 og 6, kan moderinstitutter, finansielle
moderholdingselskaber, blandede finansielle moderholdingselskaber, selvstændige
institutter i Unionen eller selvstændige datterinstitutter i medlemsstaterne anvende
følgende faktor "x" ved beregning af TREA:
a) 50 % i perioden fra 1. januar 2025 til 31. december 2025
b) 55 % i perioden fra 1. januar 2026 til 31. december 2026
c) 60 % i perioden fra 1. januar 2027 til 31. december 2027
d) 65 % i perioden fra 1. januar 2028 til 31. december 2028
e) 70 % i perioden fra 1. januar 2029 til 31. december 2029.
2. Uanset artikel 92, stk. 3, litra a), kan moderinstitutter, finansielle
moderholdingselskaber, blandede finansielle moderholdingselskaber, selvstændige
institutter i Unionen eller selvstændige datterinstitutter i medlemsstaterne indtil den
31. december 2029 anvende følgende formel ved beregning af TREA:
TREA = min{max {U-TREA; x ∙ S-TREA}; 125% ∙ U-TREA}
Med henblik på denne beregning tager moderinstitutter i Unionen, finansielle
moderholdingselskaber i Unionen eller blandede finansielle moderholdingselskaber i
Unionen hensyn til de relevante faktorer "x", der er omhandlet i stk. 1.
3. Uanset artikel 92, stk. 5, litra a), nr. i), kan moderinstitutter, finansielle
moderholdingselskaber eller blandede finansielle moderholdingselskaber,
selvstændige institutter i Unionen eller selvstændige datterinstitutter i
medlemsstaterne indtil den 31. december 2032 tildele eksponeringer mod selskaber,
for hvilke der ikke foreligger en kreditvurdering fra et udpeget ECAI, en risikovægt
på 65 %, forudsat at den pågældende enhed estimerer PD af disse eksponeringer
beregnet i overensstemmelse med tredje del, afsnit II, kapitel 3, til højst 0,5 %.
EBA overvåger anvendelsen af overgangsbehandlingen, jf. første afsnit, og
tilgængeligheden af kreditvurderinger, som er foretaget af udpegede ECAI'er, for
eksponeringer mod selskaber. EBA rapporterer sine resultater til Kommissionen
senest den 31. december 2028.
På grundlag af denne rapport og under behørig hensyntagen til de relevante
internationalt aftalte standarder, der er udarbejdet af BCBS, forelægger
Kommissionen, hvis det er relevant, Europa-Parlamentet og Rådet et
lovgivningsforslag senest den 31. december 2031.
4. Uanset artikel 92, stk. 5, litra a), nr. iv), erstatter moderinstitutter, finansielle
moderholdingselskaber eller blandede finansielle moderholdingselskaber,
selvstændige institutter i Unionen eller selvstændige datterinstitutter i
medlemsstaterne indtil den 31. december 2029 alfa med 1 ved beregningen af
eksponeringsværdien for de kontrakter, der er opført i bilag II, i overensstemmelse
med metoderne i tredje del, afsnit II, kapitel 6, afdeling 3 og 4, hvis de samme
eksponeringsværdier beregnes efter den metode, der er fastlagt i tredje del, afsnit II,
kapitel 3, afdeling 6, med henblik på det samlede risikoeksponeringsbeløb uden gulv.
DA 213 DA
Kommissionen kan under hensyntagen til EBA's rapport, jf. artikel 514, vedtage en
delegeret retsakt i overensstemmelse med artikel 462 med henblik på permanent at
ændre værdien af alfa, hvis det er relevant.
5. Uanset artikel 92, stk. 5, litra a), nr. i), kan medlemsstaterne give tilladelse til, at
moderinstitutter, finansielle moderholdingselskaber, blandede finansielle
moderholdingselskaber, selvstændige institutter i Unionen eller selvstændige
datterinstitutter i medlemsstaterne tildeler følgende risikovægte, forudsat at alle
betingelserne i andet afsnit er opfyldt:
a) indtil den 31. december 2032 en risikovægt på 10 % for den del af
eksponeringerne, som er sikret ved pant i fast ejendom til beboelse på op til
55 % af den resterende ejendomsværdi, efter at eventuelle foranstillede eller
sidestillede panterettigheder, der ikke besiddes af instituttet, er fratrukket
b) indtil den 31. december 2029 en risikovægt på 45 % for en evt. resterende del
af eksponeringerne, som er sikret ved pant i fast ejendom til beboelse på op til
80 % af den resterende ejendomsværdi, efter at eventuelle foranstillede eller
sidestillede panterettigheder, der ikke besiddes af instituttet, er fratrukket,
forudsat at justeringen af kapitalgrundlagskrav vedrørende kreditrisiko, jf.
artikel 501, ikke anvendes.
Med henblik på tildeling af risikovægte i overensstemmelse med første afsnit skal
samtlige følgende betingelser være opfyldt:
a) De kvalificerende eksponeringer befinder sig i den medlemsstat, der har udøvet
skønsbeføjelsen.
b) Tabene på den del af sådanne eksponeringer, der er på op til 55 % af
ejendomsværdien, overstiger i de seneste seks år i gennemsnit ikke 0,25 % af
det samlede beløb, for alle sådanne eksponeringer, for udestående
gældsforpligtelser, i et givent år.
c) For så vidt angår de kvalificerende eksponeringer har instituttet begge følgende
fordringer i tilfælde af låntagerens misligholdelse eller manglende betaling:
i) en fordring på den faste ejendom til beboelse, der sikrer eksponeringen
ii) en fordring på låntagerens øvrige aktiver og indkomst.
d) Den kompetente myndighed har kontrolleret, at betingelserne i litra a), b) og c)
er opfyldt.
Hvis den skønsbeføjelse, der er omhandlet i første afsnit, er blevet udøvet, og alle de
tilknyttede betingelser i andet afsnit er opfyldt, kan institutterne tildele følgende
risikovægte til den resterende del af de eksponeringer, der er omhandlet i andet
afsnit, litra b), indtil den 31. december 2032:
a) 52,5 % i perioden fra 1. januar 2030 til 31. december 2030
b) 60 % i perioden fra 1. januar 2031 til 31. december 2031
c) 67,5 % i perioden fra 1. januar 2032 til 31. december 2032.
Når de kompetente myndigheder udøver denne skønsbeføjelse, underretter de EBA
og begrunder deres beslutning. De kompetente myndigheder underretter EBA om
detaljerne vedrørende alle de kontroller, der er omhandlet i første afsnit, litra c).
DA 214 DA
EBA overvåger anvendelsen af overgangsbehandlingen i første afsnit og aflægger
senest den 31. december 2028 rapport til Kommissionen om hensigtsmæssigheden af
de tilknyttede risikovægte.
På grundlag af denne rapport og under behørig hensyntagen til de relevante
internationalt aftalte standarder, der er udarbejdet af BCBS, forelægger
Kommissionen, hvis det er relevant, Europa-Parlamentet og Rådet et
lovgivningsforslag senest den 31. december 2031."
(197) Følgende indsættes som artikel 494d:
"Artikel 494d
Tilbagevenden fra IRB-metoden til standardmetoden
Uanset artikel 149, stk. 1, 2 og 3, kan et institut fra den 1. januar 2025 til den 31.
december 2027 vende tilbage til standardmetoden for en eller flere af de
eksponeringsklasser, der er omhandlet i artikel 147, stk. 2, hvis samtlige følgende
betingelser er opfyldt:
a) Instituttet var allerede den [Publikationskontoret: Her indsættes datoen = 1 dag
efter denne ændringsforordnings ikrafttræden] eksisterende og meddelt
tilladelse af sin kompetente myndighed til at behandle disse
eksponeringsklasser efter IRB-metoden.
b) Instituttet anmoder kun én gang i løbet af denne treårsperiode om at vende
tilbage til standardmetoden.
c) Anmodningen om tilbagevenden til standardmetoden fremsættes ikke med
henblik på at deltage i regelarbitrage.
d) Instituttet har formelt underrettet den kompetente myndighed om, at det ønsker
at vende tilbage til standardmetoden for disse eksponeringsklasser, mindst seks
måneder før det reelt vender tilbage til denne metode.
e) Den kompetente myndighed har ikke gjort indsigelse mod instituttets
anmodning om en sådan tilbagevenden senest tre måneder efter modtagelsen af
den underretning, der er omhandlet i litra d)."
(198) Artikel 495 affattes således:
"Artikel 495
Behandling af aktieeksponeringer efter IRB-metoden
1. Uanset artikel 107, stk. 1, andet afsnit, beregner institutter, der har fået tilladelse til
at anvende den interne ratingbaserede metode til beregning af det risikovægtede
eksponeringsbeløb for aktieeksponeringer, indtil den 31. december 2029 det
risikovægtede eksponeringsbeløb for hver aktieeksponering, for hvilken de har fået
tilladelse til at anvende den interne ratingbaserede metode, som det højeste af
følgende:
a) det risikovægtede eksponeringsbeløb beregnet i overensstemmelse med artikel
495a, stk. 1 og 2
b) det risikovægtede eksponeringsbeløb beregnet i henhold til denne forordning,
som den var før den [Publikationskontoret: Her indsættes datoen = dagen for
denne ændringsforordnings ikrafttræden].
DA 215 DA
2. I stedet for at anvende behandlingen i stk. 1 kan institutter, der har fået tilladelse til
at anvende den interne ratingbaserede metode til beregning af det risikovægtede
eksponeringsbeløb for aktieeksponeringer, vælge at anvende behandlingen i artikel
133 og overgangsordningerne i artikel 495a på alle deres aktieeksponeringer på et
hvilket som helst tidspunkt indtil den 31. december 2029.
Med henblik på dette stykke finder betingelserne for at vende tilbage til anvendelsen
af mindre avancerede metoder, jf. artikel 149, ikke anvendelse.
3. Institutter, der anvender behandlingen i stk. 1, beregner det forventede tab i
overensstemmelse med artikel 158, stk. 7, 8 eller 9, alt efter hvad der er relevant,
som de nævnte stykker var pr. 1. januar 2021.
4. Hvis institutterne anmoder om tilladelse til at anvende IRB-metoden til beregning
af det risikovægtede eksponeringsbeløb for aktieeksponeringer, må de kompetente
myndigheder ikke give en sådan tilladelse efter den [Publikationskontoret: Her
indsættes datoen = dagen for denne ændringsforordnings anvendelse]."
(199) Følgende indsættes som artikel 495a, 495b og 495d:
"Artikel 495a
Overgangsordninger for aktieeksponeringer
1. Uanset behandlingen i artikel 133, stk. 3, tildeles aktieeksponeringer følgende
risikovægte:
a) 100 % i perioden fra 1. januar 2025 til 31. december 2025
b) 130 % i perioden fra 1. januar 2026 til 31. december 2026
c) 160 % i perioden fra 1. januar 2027 til 31. december 2027
d) 190 % i perioden fra 1. januar 2028 til 31. december 2028
e) 220 % i perioden fra 1. januar 2029 til 31. december 2029.
2. Uanset behandlingen i artikel 133, stk. 4, tildeles aktieeksponeringer følgende
risikovægte:
a) 100 % i perioden fra 1. januar 2025 til 31. december 2025
b) 160 % i perioden fra 1. januar 2026 til 31. december 2026
c) 220 % i perioden fra 1. januar 2027 til 31. december 2027
d) 280 % i perioden fra 1. januar 2028 til 31. december 2028
e) 340 % i perioden fra 1. januar 2029 til 31. december 2029.
3. Uanset artikel 133 kan institutterne fortsat tildele den samme risikovægt, som var
gældende pr. [Publikationskontoret: Her indsættes datoen = 1 dag efter denne
ændringsforordnings ikrafttræden], til aktieeksponeringer mod enheder, som de pr.
[vedtagelsesdato] i seks på hinanden følgende år har været aktionær i, og på hvilke
de udøver betydelig indflydelse i henhold til direktiv 2013/34/EU, eller de
regnskabsstandarder, som et institut er underlagt i henhold til forordning (EF)
nr. 1606/2002, eller et lignende forhold mellem en fysisk eller juridisk person og en
virksomhed.
DA 216 DA
Artikel 495b
Overgangsordninger for specialiseret långivning
1. Uanset artikel 161, stk. 4, er de LGD-inputgulve, der finder anvendelse på
specialiseret långivning, og som behandles efter IRB-metoden, hvis egne estimater af
LGD anvendes, de gældende LGD-inputgulve, jf. artikel 161, stk. 4, multipliceret
med følgende faktorer:
a) 50 % i perioden fra 1. januar 2025 til 31. december 2027
b) 80 % i perioden fra 1. januar 2028 til 31. december 2028
c) 100 % i perioden fra 1. januar 2029 til 31. december 2029.
2. EBA udarbejder en rapport om passende kalibrering af risikoparametre, der finder
anvendelse på specialiseret långivning efter IRB-metoden, og navnlig om egne
estimater af LGD og LGD-inputgulve. EBA medtager navnlig data i sin rapport om
det gennemsnitlige antal misligholdelser og realiserede tab, der er observeret i
Unionen i forbindelse med forskellige stikprøver af institutter med forskellige
forretnings- og risikoprofiler.
EBA forelægger Europa-Parlamentet, Rådet og Kommissionen rapporten om sine
resultater senest den 31. december 2025.
På grundlag af denne rapport tillægges Kommissionen beføjelse til at ændre denne
forordning ved at vedtage en delegeret retsakt, hvis det er relevant, i
overensstemmelse med artikel 462 med henblik på at ændre den behandling, der
finder anvendelse på specialiseret långivning i henhold til tredje del, afsnit II."
Artikel 495c
Overgangsordninger for leasingeksponeringer som kreditrisikoreduktionsteknik
1. Uanset artikel 230 er den gældende værdi af Hc svarende til "anden fysisk
sikkerhed" for de eksponeringer, der er omhandlet i artikel 199, stk. 7, hvis det
leasede formuegode svarer til typen af finansieret kreditrisikoafdækning "anden
fysisk sikkerhed", værdien af Hc for "anden fysisk sikkerhed" som omhandlet i
artikel 230, stk. 2, tabel 1, multipliceret med følgende faktorer:
a) 50 % i perioden fra 1. januar 2025 til 31. december 2027
b) 80 % i perioden fra 1. januar 2028 til 31. december 2028
c) 100 % i perioden fra 1. januar 2029 til 31. december 2029.
2. EBA udarbejder en rapport om passende kalibrering af risikoparametre i
tilknytning til leasingeksponeringer efter IRB-metoden, og navnlig om LGDs og Hc
som foreskrevet i artikel 230. EBA medtager navnlig data i sin rapport om det
gennemsnitlige antal misligholdelser og realiserede tab, der er observeret i Unionen i
forbindelse med forskellige typer af leasede formuegoder og forskellige typer
institutter, der har leasingaktiviteter.
EBA forelægger Europa-Parlamentet, Rådet og Kommissionen rapporten om sine
resultater senest den 30. juni 2026.
På grundlag af denne rapport tillægges Kommissionen beføjelse til at ændre denne
forordning ved at vedtage en delegeret retsakt, hvis det er relevant, i
overensstemmelse med artikel 462 med henblik på at ændre den behandling, der
finder anvendelse på eksponeringer som følge af leasing i henhold til tredje del,
afsnit II."
DA 217 DA
Artikel 495d
Overgangsordninger for tilsagn, der kan opsiges uden betingelser
1. Uanset artikel 111, stk. 2, beregner institutterne eksponeringsværdien af en
ikkebalanceført post i form af tilsagn, der kan opsiges uden betingelser, ved at
multiplicere den procentsats, der er fastsat i nævnte artikel, med følgende faktorer:
a) 0 % i perioden fra 1. januar 2025 til 31. december 2029
b) 25 % i perioden fra 1. januar 2030 til 31. december 2030
c) 50 % i perioden fra 1. januar 2031 til 31. december 2031
d) 75 % i perioden fra 1. januar 2032 til 31. december 2032.
2. EBA udarbejder en rapport med henblik på at vurdere, om undtagelsen omhandlet
i stk. 1, litra a), bør forlænges ud over den 31. december 2032, og om nødvendigt
betingelserne for opretholdelse af undtagelsen.
EBA forelægger Europa-Parlamentet, Rådet og Kommissionen rapporten om sine
resultater senest den 31. december 2028.
På grundlag af denne rapport og under behørig hensyntagen til de relevante
internationalt aftalte standarder, der er udarbejdet af BCBS, forelægger
Kommissionen, hvis det er relevant, Europa-Parlamentet og Rådet et
lovgivningsforslag senest den 31. december 2031."
(200) Artikel 501, stk. 2, litra b), affattes således:
"b) har en SMV den betydning, der er fastsat i artikel 5, nr. 8)".
(201) Artikel 501a, stk. 1, ændres således:
a) Litra a) affattes således:
"a) eksponeringen henføres til den erhvervseksponeringsklasse, der er
omhandlet i enten artikel 112, litra g), eller artikel 147, stk. 2, litra c), med
udelukkelse af misligholdte eksponeringer".
b) Litra f) affattes således:
"f) låntagerens refinansieringsrisiko ved eksponeringen er lav eller
tilstrækkeligt reduceret under hensyntagen til eventuelle støttemidler, tilskud
eller finansiering ydet af en eller flere af de enheder, der er opført i stk. 2, litra
b), nr. i) og ii)".
(202) Artikel 501c affattes således:
"Artikel 501c
Tilsynsmæssig behandling af eksponeringer mod miljømæssige og/eller sociale faktorer
EBA vurderer efter høring af ESRB på grundlag af de disponible data og resultaterne
fra Kommissionens Ekspertgruppe på Højt Plan vedrørende Bæredygtig
Finansiering, om en særlig tilsynsmæssig behandling af eksponeringer vedrørende
aktiver, herunder securitiseringer, eller aktiviteter, som påvirkes af miljømæssige
og/eller sociale faktorer, er berettiget. EBA vurderer navnlig:
a) metoder til vurdering af den effektive risiko ved eksponeringer vedrørende
aktiver og aktiviteter, som påvirkes af miljømæssige og/eller sociale faktorer,
sammenlignet med risikoen ved andre former for eksponering
DA 218 DA
b) udarbejdelse af passende kriterier til vurdering af fysiske risici og
omstillingsrisici, herunder risici vedrørende nedskrivning af aktiver på grund af
reguleringsmæssige ændringer
c) de mulige virkninger på kort, mellemlang og lang sigt af en særlig
tilsynsmæssig behandling af eksponeringer vedrørende aktiver og aktiviteter,
som påvirkes af miljømæssige og/eller sociale faktorer, på den finansielle
stabilitet og bankernes långivning i Unionen.
EBA forelægger Kommissionen, Europa-Parlamentet og Rådet en rapport om sine
resultater senest den 28. juni 2023."
(203) Artikel 505 og 506 affattes således:
"Artikel 505
Gennemgang af landbrugsfinansiering
Senest den 31. december 2030 aflægger EBA rapport til Kommissionen om
virkningerne af denne forordnings krav for landbrugsfinansieringen.
Artikel 506
Kreditrisiko — kreditforsikring
Senest den 31. december 2026 aflægger EBA rapport til Kommissionen om
anerkendelse og anvendelse af forsikring som kreditrisikoreduktionsteknikker og om
hensigtsmæssigheden af de tilknyttede risikoparametre, jf. tredje del, afsnit II, kapitel
3 og 4.
På grundlag af denne rapport tillægges Kommissionen beføjelse til at ændre denne
forordning ved at vedtage en delegeret retsakt, hvis det er relevant, i
overensstemmelse med artikel 462 med henblik på at ændre den behandling, der
finder anvendelse på kreditforsikring, jf. tredje del, afsnit II."
(204) Følgende indsættes som artikel 506c:
"Artikel 506c
Kreditrisiko — interaktion mellem reduktioner af egentlig kernekapital og
kreditrisikoparametre
Senest den 31. december 2026 aflægger EBA rapport til Kommissionen om
overensstemmelsen mellem den nuværende måling af kreditrisiko og de individuelle
kreditrisikoparametre og om behandlingen af eventuelle justeringer med henblik på
beregning af underskuddet eller overskuddet i henhold til IRB, jf. artikel 159, og om
dens overensstemmelse med fastsættelsen af eksponeringsværdien i
overensstemmelse med artikel 166 og LGD-estimatet. I rapporten skal det størst
mulige økonomiske tab som følge af en misligholdelsesbegivenhed samt dets
opnåede dækning i form af reduktioner af egentlig kernekapital tages i betragtning
under hensyntagen til eventuelle regnskabsbaserede reduktioner af den egentlige
kernekapital, herunder fra forventede kredittab eller dagsværdijusteringer, og
eventuelle nedslag i forbindelse med modtagne eksponeringer og deres konsekvenser
for lovbestemte fradrag."
(205) Følgende indsættes som artikel 519c og 519d:
DA 219 DA
"Artikel 519c
Regelsættet vedrørende de nedre haircutgrænser, som finder anvendelse på VFT'er
EBA aflægger i tæt samarbejde med ESMA senest den [Publikationskontoret: Her
indsættes datoen = 12 måneder efter denne forordnings ikrafttræden] rapport til
Kommissionen om, hvorvidt det er hensigtsmæssigt i EU-retten at gennemføre
regelsættet vedrørende de nedre haircutgrænser, som finder anvendelse på VFT'er,
med henblik på at håndtere den potentielle opbygning af gearing uden for
banksektoren.
Den rapport, der er omhandlet i første afsnit, skal behandle følgende:
a) gearingsgraden uden for banksystemet i Unionen, og i hvilket omfang
regelsættet vedrørende de nedre haircutgrænser kan reducere denne gearing,
hvis denne gearing bliver for stor
b) væsentligheden af VFT'er, der besiddes af institutter i Unionen, og som er
omfattet af regelsættet vedrørende de nedre haircutgrænser, herunder
opdelingen af de VFT'er, der ikke overholder de nedre haircutgrænser
c) den anslåede virkning af regelsættet vedrørende de nedre haircutgrænser for
institutter i Unionen i henhold til de to gennemførelsesmetoder, som FSB har
anbefalet, dvs. en markedsregulering eller et mere restriktivt
kapitalgrundlagskrav i henhold til denne forordning, i et scenario, hvor
institutter i Unionen ikke justerer deres VFT'ers haircuts for at overholde de
nedre haircutgrænser, og et alternativt scenario, hvor de justerer disse haircuts,
så de overholder de nedre haircutgrænser
d) de vigtigste drivkræfter bag disse estimerede virkninger samt potentielle
utilsigtede konsekvenser af at indføre regelsættet vedrørende de nedre
haircutgrænser for funktionen af EU's markeder for
værdipapirfinansieringstransaktioner
e) den gennemførelsesmetode, der vil være den mest effektive til at opfylde de
reguleringsmæssige mål for regelsættet vedrørende de nedre haircutgrænser i
lyset af overvejelserne i litra a)-d) og under hensyntagen til lige vilkår i hele
den finansielle sektor i Unionen.
På grundlag af denne rapport og under behørig hensyntagen til FSB's anbefaling om
at gennemføre regelsættet vedrørende de nedre haircutgrænser, som finder
anvendelse på VFT'er, samt de dertil knyttede internationalt aftalte standarder, der er
udviklet af BCBS, forelægger Kommissionen, hvis det er relevant, Europa-
Parlamentet og Rådet et lovgivningsforslag senest den [Publikationskontoret: Her
indsættes datoen = 24 måneder efter denne forordnings ikrafttræden].
Artikel 519d
Operationel risiko
Senest den [Publikationskontoret: Her indsættes datoen = 60 måneder efter
anvendelsesdatoen for tredje del, afsnit III] aflægger EBA rapport til Kommissionen
om følgende:
a) anvendelsen af forsikring i forbindelse med beregningen af
kapitalgrundlagskravene i relation til operationel risiko
DA 220 DA
b) hvorvidt indregning af tabsgenopretning fra forsikring kan give mulighed for
regelarbitrage ved at reducere det årlige tab som følge af operationel risiko
uden en tilsvarende reduktion af den faktiske eksponering for operationelle tab
c) hvorvidt indregning af tabsgenopretning fra forsikring har en anden
indvirkning på den hensigtsmæssige dækning af henholdsvis tilbagevendende
tab og potentielle shortfalls.
På grundlag af denne rapport forelægger Kommissionen, hvis det er relevant,
Europa-Parlamentet og Rådet et lovgivningsforslag senest den [Publikationskontoret:
Her indsættes datoen = 72 måneder efter anvendelsesdatoen for tredje del, afsnit
III]."
(206) Bilag I erstattes af teksten i bilaget til nærværende forordning.
Artikel 2
Ikrafttræden og anvendelsesdato
1. Denne forordning træder i kraft på tyvendedagen efter offentliggørelsen i Den
Europæiske Unions Tidende.
2. Denne forordning anvendes fra den 1. januar 2025, med undtagelse af:
a) bestemmelserne i nr. 1), litra a), b) og c), e)-h), j), u), v) og x), vedrørende
visse definitioner, bestemmelserne i nr. 6) vedrørende anvendelsesområdet for
konsolideringsreglerne samt bestemmelserne i nr. 8), 10)-12) og 14)-23)
vedrørende kapitalgrundlag og nedskrivningsrelevante passiver, som anvendes
fra den [Publikationskontoret: Her indsættes datoen = 6 måneder efter denne
forordnings ikrafttræden]
b) bestemmelserne i nr. 1), litra d), og nr. 4) vedrørende ændringer i
overensstemmelse med forordning (EU) 2019/2033 og bestemmelserne i nr.
47) vedrørende behandling af misligholdte eksponeringer, som anvendes fra
datoen for denne forordnings ikrafttræden
c) bestemmelserne i nr. 9), nr. 26), litra a), nr. 27), nr. 28), litra a), nr. 29), nr. 34),
nr. 41), nr. 42), nr. 44), nr. 47), nr. 54), nr. 59), litra c), 60), litra c), nr. 61), litra
g) og h), nr. 64), litra c), nr. 66), litra d), nr. 69), nr. 81), nr. 85), litra b), nr.
90), litra c), nr. 91), litra c), nr. 92), litra c), nr. 131), nr. 132), litra b), nr. 136),
litra d), nr. 153), nr. 154), litra d), nr. 155), litra c), nr. 156), litra b), nr. 166),
litra c), nr. 169), nr. 178), nr. 182), nr. 183), nr. 189), nr. 192), nr. 194), nr.
196), nr. 199) og nr. 201)-205),som pålægger De Europæiske
Tilsynsmyndigheder eller ESRB at forelægge Kommissionen udkast til
reguleringsmæssige eller gennemførelsesmæssige tekniske standarder og
rapporter, bestemmelserne, som pålægger Kommissionen at udarbejde
rapporter, og bestemmelserne, som tillægger Kommissionen beføjelse til at
vedtage delegerede retsakter eller gennemførelsesretsakter, bestemmelserne om
gennemgang og lovgivningsforslag og bestemmelserne, der pålægger De
Europæiske Tilsynsmyndigheder at udstede retningslinjer, som anvendes fra
denne forordnings ikrafttrædelsesdato.
DA 221 DA
Denne forordning er bindende i alle enkeltheder og gælder umiddelbart i medlemsstaterne i
overensstemmelse med traktaterne.
Udfærdiget i Bruxelles, den […].
På Europa-Parlamentets vegne På Rådets vegne
Formand Formand


DA DA
EUROPA-
KOMMISSIONEN
Bruxelles, den 27.10.2021
COM(2021) 664 final
ANNEX
BILAG
til
Forslag til EUROPA-PARLAMENTETS OG RÅDETS FORORDNING
om ændring af forordning (EU) nr. 575/2013 for så vidt angår krav vedrørende
kreditrisiko, kreditværdijusteringsrisiko, operationel risiko, markedsrisiko og den nedre
grænse for output
Offentligt
KOM (2021) 0664 - Forslag til forordning
Europaudvalget 2021
DA 1 DA
BILAG
Klassificering af ikke-balanceførte poster
Undergruppe Poster
1
 Generelle garantier for gældsætning, herunder afgivne kredittilsagn, der tjener
som finansielle garantier for lån og værdipapirer, og accepter, herunder
endosserede veksler, som har karakter af accepter, samt [eventuelle] andre
direkte kreditsubstitutter
 Salgs- og genkøbsaftaler og salg af aktiver med regresret, hvis kreditrisikoen
forbliver hos instituttet
 Værdipapirer, der udlånes af instituttet, eller værdipapirer, der stilles som
sikkerhed af instituttet, herunder tilfælde, hvor disse opstår som følge af repo-
lignende transaktioner
 Aftalte fremtidige køb af aktiver (forward asset purchases), aftalte fremtidige
indskud (forward deposits) og delvist betalte aktiver og værdipapirer, som
udgør tilsagn med en vis udnyttelse af kreditmuligheden
 Ikke-balanceførte poster, som udgør et kreditsubstitut, hvis de ikke eksplicit
indgår i en anden kategori
 Andre ikke-balanceførte poster med tilsvarende risiko og som meddelt EBA.
2
 "Note issuance facilities" (NIF) og "revolving underwriting facilities" (RUF),
uanset den underliggende facilitets løbetid
 Opfyldelsesgarantier, tilbudsgarantier, garantier og afgivne kredittilsagn, som
vedrører specifikke transaktioner og lignende transaktionsrelaterede
eventualposter
 Ikke-balanceførte poster, som ikke udgør et kreditsubstitut, hvis de ikke
eksplicit indgår i en anden kategori.
 Andre ikke-balanceførte poster med tilsvarende risiko, som meddelt EBA.
3
 Tilsagn, uanset den underliggende facilitets løbetid, medmindre de hører ind
under en anden kategori.
 Andre ikke-balanceførte poster med tilsvarende risiko, som meddelt EBA.
4
 Selvlikviderende handelsrelaterede remburser med kort løbetid, som vedrører
varebevægelser, navnlig rembuser med sikkerhed i den underliggende
forsendelse, i tilfælde af et udstedende institut eller et bekræftende institut
 Andre ikke-balanceførte poster med tilsvarende risiko, som meddelt EBA.
5
 Tilsagn, der kan opsiges uden betingelser
 Det uudnyttede beløb for detaileksponeringer, for hvilke vilkårene sætter
instituttet i stand til at opsige dem i det omfang, det er tilladt i medfør af
forbrugerbeskyttelseslovgivningen og lovgivning i tilknytning hertil
 Uudnyttede kreditfaciliteter for licitations- og fuldførelsesgarantier, som uden
betingelser kan opsiges når som helst uden forudgående varsel, eller som
effektivt muliggør en automatisk opsigelse i tilfælde af en forringelse af
låntagers kreditværdighed
 Andre ikke-balanceførte poster med tilsvarende risiko, som meddelt EBA.