Capital Requirements Regulation (CRR)

For the authentic version of EU legislation users should refer to the Official Journal of the European Union. Capital Requirements Regulation (CRR): REGULATION ... Skiptomaincontent Home» Regulationandpolicy» SingleRulebook» InteractiveSingleRulebook» CapitalRequirementsRegulation(CRR) Followuson: Collapseall Expandall TableofContentsBack Importantnote: ThisInteractiveSingleRulebookismeantpurelyasadocumentationtoolandtheEBAdoesnotassumeanyliabilityforitscontents.FortheauthenticversionofEUlegislationusersshouldrefertotheOfficialJournaloftheEuropeanUnion. CapitalRequirementsRegulation(CRR):REGULATION(EU)No575/2013OFTHEEUROPEANPARLIAMENTANDOFTHECOUNCILof26June2013onprudentialrequirementsforcreditinstitutionsandinvestmentfirmsandamendingRegulation(EU)No648/2012 Recital:Recital PARTONE:GENERALPROVISIONS TITLEI:SUBJECTMATTER,SCOPEANDDEFINITIONS Article1:Scope Article2:Supervisorypowers Article3:Applicationofstricterrequirementsbyinstitutions Article4:Definitions Article5:Definitionsspecifictocapitalrequirementsforcreditrisk TITLEII:LEVELOFAPPLICATIONOFREQUIREMENTS CHAPTER1:Applicationofrequirementsonanindividualbasis Article6:Generalprinciples Article7:Derogationfromtheapplicationofprudentialrequirementsonanindividualbasis Article8:Derogationfromtheapplicationofliquidityrequirementsonanindividualbasis Article9:Individualconsolidationmethod Article10:Waiverforcreditinstitutionspermanentlyaffiliatedtoacentralbody CHAPTER2:Prudentialconsolidation Section1:Applicationofrequirementsonaconsolidatedbasis Article11:Generaltreatment Article12:Financialholdingcompanyormixedfinancialholdingcompanywithbothasubsidiarycreditinstitutionandasubsidiaryinvestmentfirm Article13:Applicationofdisclosurerequirementsonaconsolidatedbasis Article14:ApplicationofrequirementsofPartFiveonaconsolidatedbasis Article15:Derogationfromtheapplicationofownfundsrequirementsonaconsolidatedbasisforgroupsofinvestmentfirms Article16:Derogationfromtheapplicationoftheleverageratiorequirementsonaconsolidatedbasisforgroupsofinvestmentfirms Article17:Supervisionofinvestmentfirmswaivedfromtheapplicationofownfundsrequirementsonaconsolidatedbasis Section2:Methodsforprudentialconsolidation Article18:Methodsforprudentialconsolidation Section3:Scopeofprudentialconsolidation Article19:Entitiesexcludedfromthescopeofprudentialconsolidation Article20:Jointdecisionsonprudentialrequirements Article21:Jointdecisionsonthelevelofapplicationofliquidityrequirements Article22:Sub-consolidationincasesofentitiesinthirdcountries Article23:Undertakingsinthirdcountries Article24:Valuationofassetsandoff-balancesheetitems PARTTWO:OWNFUNDS TITLEI:ELEMENTSOFOWNFUNDS CHAPTER1:Tier1capital Article25:Tier1capital CHAPTER2:CommonEquityTier1capital Section1:CommonEquityTier1itemsandinstruments Article26:CommonEquityTier1items Article27:Capitalinstrumentsofmutuals,cooperativesocieties,savingsinstitutionsorsimilarinstitutionsinCommonEquityTier1items Article28:CommonEquityTier1instruments Article29:Capitalinstrumentsissuedbymutuals,cooperativesocieties,savingsinstitutionsandsimilarinstitutions Article30:ConsequencesoftheconditionsforCommonEquityTier1instrumentsceasingtobemet Article31:Capitalinstrumentssubscribedbypublicauthoritiesinemergencysituations Section2:Prudentialfilters Article32:Securitisedassets Article33:Cashflowhedgesandchangesinthevalueofownliabilities Article34:Additionalvalueadjustments Article35:Unrealisedgainsandlossesmeasuredatfairvalue Section3:DeductionsfromCommonEquityTier1items,exemptionsandalternatives Sub-Section1:DeductionsfromCommonEquityTier1items Article36:DeductionsfromCommonEquityTier1items Article37:Deductionofintangibleassets Article38:Deductionofdeferredtaxassetsthatrelyonfutureprofitability Article39:Taxoverpayments,taxlosscarrybacksanddeferredtaxassetsthatdonotrelyonfutureprofitability Article40:Deductionofnegativeamountsresultingfromthecalculationofexpectedlossamounts Article41:Deductionofdefinedbenefitpensionfundassets Article42:DeductionofholdingsofownCommonEquityTier1instruments Article43:Significantinvestmentinafinancialsectorentity Article44:DeductionofholdingsofCommonEquityTier1instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfunds Article45:DeductionofholdingsofCommonEquityTier1instrumentsoffinancialsectorentities Article46:DeductionofholdingsofCommonEquityTier1instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinafinancialsectorentity Article47:DeductionofholdingsofCommonEquityTier1instrumentswhereaninstitutionhasasignificantinvestmentinafinancialsectorentity Sub-Section2:ExemptionsfromandalternativestodeductionfromCommonEquityTier1items Article48:ThresholdexemptionsfromdeductionfromCommonEquityTier1items Article49:Requirementfordeductionwhereconsolidation,supplementarysupervisionorinstitutionalprotectionschemesareapplied Section4:CommonEquityTier1capital Article50:CommonEquityTier1capital CHAPTER3:AdditionalTier1capital Section1:AdditionalTier1itemsandinstruments Article51:AdditionalTier1items Article52:AdditionalTier1instruments Article53:RestrictionsonthecancellationofdistributionsonAdditionalTier1instrumentsandfeaturesthatcouldhindertherecapitalisationoftheinstitution Article54:WritedownorconversionofAdditionalTier1instruments Article55:ConsequencesoftheconditionsforAdditionalTier1instrumentsceasingtobemet Section2:DeductionsfromAdditionalTier1items Article56:DeductionsfromAdditionalTier1items Article57:DeductionsofholdingsofownAdditionalTier1instruments Article58:DeductionofholdingsofAdditionalTier1instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfunds Article59:DeductionofholdingsofAdditionalTier1instrumentsoffinancialsectorentities Article60:DeductionofholdingsofAdditionalTier1instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinafinancialsectorentity Section3:AdditionalTier1capital Article61:AdditionalTier1capital CHAPTER4:Tier2capital Section1:Tier2itemsandinstruments Article62:Tier2items Article63:Tier2instruments Article64:AmortisationofTier2instruments Article65:ConsequencesoftheconditionsforTier2instrumentsceasingtobemet Section2:DeductionsfromTier2items Article66:DeductionsfromTier2items Article67:DeductionsofholdingsofownTier2instruments Article68:DeductionofholdingsofTier2instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfunds Article69:DeductionofholdingsofTier2instrumentsoffinancialsectorentities Article70:DeductionofTier2instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinarelevantentity Section3:Tier2capital Article71:Tier2capital CHAPTER5:Ownfunds Article72:Ownfunds CHAPTER6:Generalrequirements Article73:Distributionsonownfundsinstruments Article74:Holdingsofcapitalinstrumentsissuedbyregulatedfinancialsectorentitiesthatdonotqualifyasregulatorycapital Article75:Deductionandmaturityrequirementsforshortpositions Article76:Indexholdingsofcapitalinstruments Article77:Conditionsforreducingownfunds Article78:Supervisorypermissionforreducingownfunds Article79:Temporarywaiverofdeductionfromownfunds Article80:Continuingreviewofqualityofownfunds TITLEII:MINORITYINTERESTANDADDITIONALTIER1ANDTIER2INSTRUMENTSISSUEDBYSUBSIDIARIES Article81:MinorityintereststhatqualifyforinclusioninconsolidatedCommonEquityTier1capital Article82:QualifyingAdditionalTier1,Tier1,Tier2capitalandqualifyingownfunds Article83:QualifyingAdditionalTier1andTier2capitalissuedbyaspecialpurposeentity Article84:MinorityinterestsincludedinconsolidatedCommonEquityTier1capital Article85:QualifyingTier1instrumentsincludedinconsolidatedTier1capital Article86:QualifyingTier1capitalincludedinconsolidatedAdditionalTier1capital Article87:Qualifyingownfundsincludedinconsolidatedownfunds Article88:QualifyingownfundsinstrumentsincludedinconsolidatedTier2capital TITLEIII:QUALIFYINGHOLDINGSOUTSIDETHEFINANCIALSECTOR Article89:Riskweightingandprohibitionofqualifyingholdingsoutsidethefinancialsector Article90:Alternativeto1250%riskweight Article91:Exceptions PARTTHREE:CAPITALREQUIREMENTS TITLEI:GENERALREQUIREMENTS,VALUATIONANDREPORTING CHAPTER1:Requiredlevelofownfunds Section1:Ownfundsrequirementsforinstitutions Article92:Ownfundsrequirements Article93:Initialcapitalrequirementongoingconcern Article94:Derogationforsmalltradingbookbusiness Section2:Ownfundsrequirementsforinvestmentfirmswithlimitedauthorisationtoprovideinvestmentservices Article95:Ownfundsrequirementsforinvestmentfirmswithlimitedauthorisationtoprovideinvestmentservices Article96:OwnfundsrequirementsforinvestmentfirmswhichholdinitialcapitalaslaiddowninArticle28(2)ofDirective2013/36/EU Article97:OwnFundsbasedonFixedOverheads Article98:Ownfundsforinvestmentfirmsonaconsolidatedbasis CHAPTER2:Calculationandreportingrequirements Article99:Reportingonownfundsrequirementsandfinancialinformation Article100:Additionalreportingrequirements Article101:Specificreportingobligations CHAPTER3:Tradingbook Article102:Requirementsforthetradingbook Article103:Managementofthetradingbook Article104:Inclusioninthetradingbook Article105:Requirementsforprudentvaluation Article106:InternalHedges TITLEII:CAPITALREQUIREMENTSFORCREDITRISK CHAPTER1:Generalprinciples Article107:Approachestocreditrisk Article108:UseofcreditriskmitigationtechniqueundertheStandardisedApproachandtheIRBApproach Article109:TreatmentofsecuritisedexposuresundertheStandardisedApproachandtheIRBApproach Article110:Treatmentofcreditriskadjustment CHAPTER2:Standardisedapproach Section1:Generalprinciples Article111:Exposurevalue Article112:Exposureclasses Article113:Calculationofrisk-weightedexposureamounts Section2:Riskweights Article114:Exposurestocentralgovernmentsorcentralbanks Article115:Exposurestoregionalgovernmentsorlocalauthorities Article116:Exposurestopublicsectorentities Article117:Exposurestomultilateraldevelopmentbanks Article118:Exposurestointernationalorganisations Article119:Exposurestoinstitutions Article120:Exposurestoratedinstitutions Article121:Exposurestounratedinstitutions Article122:Exposurestocorporates Article123:Retailexposures Article124:Exposuressecuredbymortgagesonimmovableproperty Article125:Exposuresfullyandcompletelysecuredbymortgagesonresidentialproperty Article126:Exposuresfullyandcompletelysecuredbymortgagesoncommercialimmovableproperty Article127:Exposuresindefault Article128:Itemsassociatedwithparticularhighrisk Article129:Exposuresintheformofcoveredbonds Article130:Itemsrepresentingsecuritisationpositions Article131:Exposurestoinstitutionsandcorporateswithashort-termcreditassessment Article132:ExposuresintheformofunitsorsharesinCIUs Article133:Equityexposures Article134:Otheritems Section3:Recognitionandmappingofcreditriskassessment Sub-Section1:RecognitionofECAIs Article135:UseofcreditassessmentsbyECAIs Sub-Section2:MappingofECAI'screditassessments Article136:MappingofECAI'screditassessments Sub-Section3:UseofcreditassessmentsbyExportCreditAgencies Article137:Useofcreditassessmentsbyexportcreditagencies Section4:UseoftheECAIcreditassessmentsforthedeterminationofriskweights Article138:Generalrequirements Article139:Issuerandissuecreditassessment Article140:Long-termandshort-termcreditassessments Article141:Domesticandforeigncurrencyitems CHAPTER3:InternalRatingsBasedApproach Section1:PermissionbycompetentauthoritiestousetheIRBapproach Article142:Definitions Article143:PermissiontousetheIRBApproach Article144:Competentauthorities'assessmentofanapplicationtouseanIRBApproach Article145:PriorexperienceofusingIRBapproaches Article146:MeasurestobetakenwheretherequirementsofthisChapterceasetobemet Article147:Methodologytoassignexposurestoexposureclasses Article148:ConditionsforimplementingtheIRBApproachacrossdifferentclassesofexposureandbusinessunits Article149:Conditionstoreverttotheuseoflesssophisticatedapproaches Article150:Conditionsforpermanentpartialuse Section2:Calculationofrisk-weightedexposureamounts Sub-Section1:Treatmentbytypeofexposureclass Article151:Treatmentbyexposureclass Article152:TreatmentofexposuresintheformofunitsorsharesinCIUs Sub-Section2:Calculationofrisk-weightedexposureamountsforcreditrisk Article153:Risk-weightedexposureamountsforexposurestocorporates,institutionsandcentralgovernmentsandcentralbanks Article154:Risk-weightedexposureamountsforretailexposures Article155:Risk-weightedexposureamountsforequityexposures Article156:Risk-weightedexposureamountsforothernoncredit-obligationassets Sub-Section3:Calculationofrisk-weightedexposureamountsfordilutionriskofpurchasedreceivables Article157:Risk-weightedexposureamountsfordilutionriskofpurchasedreceivables Section3:Expectedlossamounts Article158:Treatmentbyexposuretype Article159:Treatmentofexpectedlossamounts Section4:PD,LGDandmaturity Sub-Section1:Exposurestocorporates,institutionsandcentralgovernmentsandcentralbanks Article160:Probabilityofdefault(PD) Article161:LossGivenDefault(LGD) Article162:Maturity Sub-Section2:Retailexposures Article163:Probabilityofdefault(PD) Article164:LossGivenDefault(LGD) Sub-Section3:EquityexposuressubjecttoPD/LGDmethod Article165:EquityexposuressubjecttothePD/LGDmethod Section5:Exposurevalue Article166:Exposurestocorporates,institutions,centralgovernmentsandcentralbanksandretailexposures Article167:Equityexposures Article168:Othernoncredit-obligationassets Section6:RequirementsfortheIRBapproach Sub-Section1:Ratingsystems Article169:Generalprinciples Article170:Structureofratingsystems Article171:Assignmenttogradesorpools Article172:Assignmentofexposures Article173:Integrityofassignmentprocess Article174:Useofmodels Article175:Documentationofratingsystems Article176:Datamaintenance Article177:Stresstestsusedinassessmentofcapitaladequacy Sub-Section2:Riskquantification Article178:Defaultofanobligor Article179:Overallrequirementsforestimation Article180:RequirementsspecifictoPDestimation Article181:Requirementsspecifictoown-LGDestimates Article182:Requirementsspecifictoown-conversionfactorestimates Article183:Requirementsforassessingtheeffectofguaranteesandcreditderivativesforexposurestocorporates,institutionsandcentralgovernmentsandcentralbankswhereownestimatesofLGDareusedandforretailexposures Article184:Requirementsforpurchasedreceivables Sub-Section3:Validationofinternalestimates Article185:Validationofinternalestimates Sub-Section4:Requirementsforequityexposuresundertheinternalmodelsapproach Article186:Ownfundsrequirementandriskquantification Article187:Riskmanagementprocessandcontrols Article188:Validationanddocumentation Sub-Section5:Internalgovernanceandoversight Article189:CorporateGovernance Article190:Creditriskcontrol Article191:InternalAudit CHAPTER4:Creditriskmitigation Section1:Definitionsandgeneralrequirements Article192:Definitions Article193:Principlesforrecognisingtheeffectofcreditriskmitigationtechniques Article194:Principlesgoverningtheeligibilityofcreditriskmitigationtechniques Section2:Eligibleformsofcreditriskmitigation Sub-Section1:Fundedcreditprotection Article195:On-balancesheetnetting Article196:Masternettingagreementscoveringrepurchasetransactionsorsecuritiesorcommoditieslendingorborrowingtransactionsorothercapitalmarket-driventransactions Article197:Eligibilityofcollateralunderallapproachesandmethods Article198:AdditionaleligibilityofcollateralundertheFinancialCollateralComprehensiveMethod Article199:AdditionaleligibilityforcollateralundertheIRBApproach Article200:Otherfundedcreditprotection Sub-Section2:Unfundedcreditprotection Article201:Eligibilityofprotectionprovidersunderallapproaches Article202:EligibilityofprotectionprovidersundertheIRBApproachwhichqualifyforthetreatmentsetoutinArticle153(3) Article203:Eligibilityofguaranteesasunfundedcreditprotection Sub-Section3:Typesofderivatives Article204:Eligibletypesofcreditderivatives Section3:Requirements Sub-Section1:Fundedcreditprotection Article205:Requirementsforon-balancesheetnettingagreementsotherthanmasternettingagreementsreferredtoinArticle206 Article206:Requirementsformasternettingagreementscoveringrepurchasetransactionsorsecuritiesorcommoditieslendingorborrowingtransactionsorothercapitalmarketdriventransactions Article207:Requirementsforfinancialcollateral Article208:Requirementsforimmovablepropertycollateral Article209:Requirementsforreceivables Article210:Requirementsforotherphysicalcollateral Article211:Requirementsfortreatingleaseexposuresascollateralised Article212:Requirementsforotherfundedcreditprotection Sub-Section2:Unfundedcreditprotectionandcreditlinkednotes Article213:Requirementscommontoguaranteesandcreditderivatives Article214:Sovereignandotherpublicsectorcounter-guarantees Article215:Additionalrequirementsforguarantees Article216:Additionalrequirementsforcreditderivatives Article217:RequirementstoqualifyforthetreatmentsetoutinArticle153(3) Section4:Calculatingtheeffectsofcreditriskmitigation Sub-Section1:Fundedcreditprotection Article218:Creditlinkednotes Article219:On-balancesheetnetting Article220:UsingtheSupervisoryVolatilityAdjustmentsApproachortheOwnEstimatesVolatilityAdjustmentsApproachformasternettingagreements Article221:Usingtheinternalmodelsapproachformasternettingagreements Article222:FinancialCollateralSimpleMethod Article223:FinancialCollateralComprehensiveMethod Article224:SupervisoryvolatilityadjustmentundertheFinancialCollateralComprehensiveMethod Article225:OwnestimatesofvolatilityadjustmentsundertheFinancialCollateralComprehensiveMethod Article226:ScalingupofvolatilityadjustmentundertheFinancialCollateralComprehensiveMethod Article227:Conditionsforapplyinga0%volatilityadjustmentundertheFinancialCollateralComprehensiveMethod Article228:Calculatingrisk-weightedexposureamountsandexpectedlossamountsundertheFinancialCollateralComprehensivemethod Article229:ValuationprinciplesforothereligiblecollateralundertheIRBApproach Article230:Calculatingrisk-weightedexposureamountsandexpectedlossamountsforothereligiblecollateralundertheIRBApproach Article231:Calculatingrisk-weightedexposureamountsandexpectedlossamountsinthecaseofmixedpoolsofcollateral Article232:Otherfundedcreditprotection Sub-Section2:Unfundedcreditprotection Article233:Valuation Article234:Calculatingrisk-weightedexposureamountsandexpectedlossamountsintheeventofpartialprotectionandtranching Article235:Calculatingrisk-weightedexposureamountsundertheStandardisedApproach Article236:Calculatingrisk-weightedexposureamountsandexpectedlossamountsundertheIRBApproach Section5:Maturitymismatches Article237:Maturitymismatch Article238:Maturityofcreditprotection Article239:Valuationofprotection Section6:BasketCRMtechniques Article240:First-to-defaultcreditderivatives Article241:Nth-to-defaultcreditderivatives CHAPTER5:Securitisation Section1:Definitions Article242:Definitions Section2:Recognitionofsignificantrisktransfer Article243:Traditionalsecuritisation Article244:Syntheticsecuritisation Section3:Calculationoftherisk-weightedexposureamounts Sub-Section1:Principles Article245:Calculationofrisk-weightedexposureamounts Article246:Exposurevalue Article247:Recognitionofcreditriskmitigationforsecuritisationpositions Article248:Implicitsupport Sub-Section2:Originatorinstitutions'calculationofrisk-weightedexposureamountssecuritisedinasyntheticsecuritisation Article249:Generaltreatment Article250:Treatmentofmaturitymismatchesinsyntheticsecuritisations Sub-Section3:Calculationofrisk-weightedexposureamountsundertheStandardisedApproach Article251:Risk-weights Article252:Originatorandsponsorinstitutions Article253:Treatmentofunratedpositions Article254:TreatmentofsecuritisationpositionsinasecondlosstrancheorbetterinanABCPprogramme Article255:Treatmentofunratedliquidityfacilities Article256:Additionalownfundsrequirementsforsecuritisationsofrevolvingexposureswithearlyamortisationprovisions Article257:CreditriskmitigationforsecuritisationpositionssubjecttotheStandardisedApproach Article258:Reductioninrisk-weightedexposureamounts Sub-Section4:Calculationofrisk-weightedexposureamountsundertheIRBapproach Article259:Hierarchyofmethods Article260:Maximumrisk-weightedexposureamounts Article261:RatingsBasedMethod Article262:SupervisoryFormulaMethod Article263:LiquidityFacilities Article264:CreditriskmitigationforsecuritisationpositionssubjecttotheIRBApproach Article265:Additionalownfundsrequirementsforsecuritisationsofrevolvingexposureswithearlyamortisationprovisions Article266:Reductioninrisk-weightedexposureamounts Section4:Externalcreditassessments Article267:UseofCreditAssessmentsbyECAIs Article268:RequirementstobemetbythecreditassessmentsofECAIs Article269:Useofcreditassessments Article270:Mapping CHAPTER6:Counterpartycreditrisk Section1:Definitions Article271:Determinationoftheexposurevalue Article272:Definitions Section2:Methodsforcalculatingtheexposurevalue Article273:Methodsforcalculatingtheexposurevalue Section3:Mark-to-MarketMethod Article274:Mark-to-MarketMethod Section4:OriginalExposureMethod Article275:OriginalExposureMethod Section5:StandardisedMethod Article276:StandardisedMethod Article277:Transactionswithalinearriskprofile Article278:Transactionswithanon-linearriskprofile Article279:Treatmentofcollateral Article280:Calculationofriskpositions Article281:Interestrateriskpositions Article282:Hedgingsets Section6:InternalModelMethod Article283:PermissiontousetheInternalModelMethod Article284:Exposurevalue Article285:Exposurevaluefornettingsetssubjecttoamarginagreement Article286:ManagementofCCR—Policies,processesandsystems Article287:OrganisationstructuresforCCRmanagement Article288:ReviewofCCRmanagementsystem Article289:Usetest Article290:Stresstesting Article291:Wrong-WayRisk Article292:Integrityofthemodellingprocess Article293:Requirementsfortheriskmanagementsystem Article294:Validationrequirements Section7:Contractualnetting Article295:Recognitionofcontractualnettingasrisk-reducing Article296:Recognitionofcontractualnettingagreements Article297:Obligationsofinstitutions Article298:Effectsofrecognitionofnettingasrisk-reducing Section8:Itemsinthetradingbook Article299:Itemsinthetradingbook Section9:Ownfundsrequirementsforexposurestoacentralcounterparty Article300:Definitions Article301:Materialscope Article302:MonitoringofexposurestoCCPs Article303:Treatmentofclearingmembers'exposurestoCCPs Article304:Treatmentofclearingmembers'exposurestoclients Article305:Treatmentofclients'exposures Article306:Ownfundsrequirementsfortradeexposures Article307:Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofaCCP Article308:Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofaQCCP Article309:Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofanon-qualifyingCCPandforunfundedcontributionstoanon-qualifyingCCP Article310:AlternativecalculationofownfundsrequirementforexposurestoaQCCP Article311:OwnfundsrequirementsforexposurestoCCPsthatceasetomeetcertainconditions TITLEIII:OWNFUNDSREQUIREMENTSFOROPERATIONALRISK CHAPTER1:Generalprinciplesgoverningtheuseofthedifferentapproaches Article312:Permissionandnotification Article313:Revertingtotheuseoflesssophisticatedapproaches Article314:Combineduseofdifferentapproaches CHAPTER2:BasicIndicatorApproach Article315:Ownfundsrequirement Article316:Relevantindicator CHAPTER3:StandardisedApproach Article317:Ownfundsrequirement Article318:Principlesforbusinesslinemapping Article319:AlternativeStandardisedApproach Article320:CriteriafortheStandardisedApproach CHAPTER4:Advancedmeasurementapproaches Article321:Qualitativestandards Article322:QuantitativeStandards Article323:Impactofinsuranceandotherrisktransfermechanisms Article324:Losseventtypeclassification TITLEIV:OWNFUNDSREQUIREMENTSFORMARKETRISK CHAPTER1:Generalprovisions Article325:Allowancesforconsolidatedrequirements CHAPTER2:Ownfundsrequirementsforpositionrisk Section1:Generalprovisionsandspecificinstruments Article326:Ownfundsrequirementsforpositionrisk Article327:Netting Article328:Interestratefuturesandforwards Article329:Optionsandwarrants Article330:Swaps Article331:Interestrateriskonderivativeinstruments Article332:CreditDerivatives Article333:Securitiessoldunderarepurchaseagreementorlent Section2:Debtinstruments Article334:Netpositionsindebtinstruments Sub-Section1:Specificrisk Article335:Capontheownfundsrequirementforanetposition Article336:Ownfundsrequirementfornon-securitisationdebtinstruments Article337:Ownfundsrequirementforsecuritisationinstruments Article338:Ownfundsrequirementforthecorrelationtradingportfolio Sub-Section2:Generalrisk Article339:Maturity-basedcalculationofgeneralrisk Article340:Duration-basedcalculationofgeneralrisk Section3:Equities Article341:Netpositionsinequityinstruments Article342:Specificriskofequityinstruments Article343:Generalriskofequityinstruments Article344:Stockindices Section4:Underwriting Article345:Reductionofnetpositions Section5:Specificriskownfundsrequirementsforpositionshedgedbycreditderivatives Article346:Allowanceforhedgesbycreditderivatives Article347:Allowanceforhedgesbyfirstandnth-todefaultcreditderivatives Section6:OwnfundsrequirementsforCIUs Article348:OwnfundsrequirementsforCIUs Article349:GeneralcriteriaforCIUs Article350:SpecificmethodsforCIUs CHAPTER3:Ownfundsrequirementsforforeign-exchangerisk Article351:Deminimisandweightingforforeignexchangerisk Article352:Calculationoftheoverallnetforeignexchangeposition Article353:ForeignexchangeriskofCIUs Article354:Closelycorrelatedcurrencies CHAPTER4:Ownfundsrequirementsforcommoditiesrisk Article355:Choiceofmethodforcommoditiesrisk Article356:Ancillarycommoditiesbusiness Article357:Positionsincommodities Article358:Particularinstruments Article359:Maturityladderapproach Article360:Simplifiedapproach Article361:Extendedmaturityladderapproach CHAPTER5:Useofinternalmodelstocalculateownfundsrequirements Section1:Permissionandownfundsrequirements Article362:Specificandgeneralrisks Article363:Permissiontouseinternalmodels Article364:Ownfundsrequirementswhenusinginternalmodels Section2:Generalrequirements Article365:VaRandstressedVaRCalculation Article366:Regulatorybacktestingandmultiplicationfactors Article367:Requirementsonriskmeasurement Article368:Qualitativerequirements Article369:InternalValidation Section3:Requirementsparticulartospecificriskmodelling Article370:Requirementsformodellingspecificrisk Article371:Exclusionsfromspecificriskmodels Section4:Internalmodelforincrementaldefaultandmigrationrisk Article372:RequirementtohaveaninternalIRCmodel Article373:ScopeoftheinternalIRCmodel Article374:ParametersoftheinternalIRCmodel Article375:RecognitionofhedgesintheinternalIRCmodel Article376:ParticularrequirementsfortheinternalIRCmodel Section5:Internalmodelforcorrelationtrading Article377:Requirementsforaninternalmodelforcorrelationtrading TITLEV:OWNFUNDSREQUIREMENTSFORSETTLEMENTRISK Article378:Settlement/deliveryrisk Article379:Freedeliveries Article380:Waiver TITLEVI:OWNFUNDSREQUIREMENTSFORCREDITVALUATIONADJUSTMENTRISK Article381:Meaningofcreditvaluationadjustment Article382:Scope Article383:Advancedmethod Article384:Standardisedmethod Article385:AlternativetousingCVAmethodstocalculatingownfundsrequirements Article386:Eligiblehedges PARTFOUR:LARGEEXPOSURES Article387:Subjectmatter Article388:NegativeScope Article389:Definition Article390:Calculationoftheexposurevalue Article391:Definitionofaninstitutionforlargeexposurespurposes Article392:Definitionofalargeexposure Article393:Capacitytoidentifyandmanagelargeexposures Article394:Reportingrequirements Article395:Limitstolargeexposures Article396:Compliancewithlargeexposuresrequirements Article397:Calculatingadditionalownfundsrequirementsforlargeexposuresinthetradingbook Article398:Procedurestopreventinstitutionsfromavoidingtheadditionalownfundsrequirement Article399:Eligiblecreditmitigationtechniques Article400:Exemptions Article401:Calculatingtheeffectoftheuseofcreditriskmitigationtechniques Article402:Exposuresarisingfrommortgagelending Article403:Substitutionapproach PARTFIVE:EXPOSURESTOTRANSFERREDCREDITRISK TITLEI:GENERALPROVISIONSFORTHISPART Article404:Scopeofapplication TITLEII:REQUIREMENTSFORINVESTORINSTITUTIONS Article405:Retainedinterestoftheissuer Article406:Duediligence Article407:Additionalriskweight TITLEIII:REQUIREMENTSFORSPONSORANDORIGINATORINSTITUTIONS Article408:Criteriaforcreditgranting Article409:Disclosuretoinvestors Article410:Uniformconditionofapplication PARTSIX:LIQUIDITY TITLEI:DEFINITIONSANDLIQUIDITYCOVERAGEREQUIREMENT Article411:Definitions Article412:Liquiditycoveragerequirement Article413:StableFunding Article414:Compliancewithliquidityrequirements TITLEII:LIQUIDITYREPORTING Article415:Reportingobligationandreportingformat Article416:Reportingonliquidassets Article417:Operationalrequirementsforholdingsofliquidassets Article418:Valuationofliquidassets Article419:Currencieswithconstraintsontheavailabilityofliquidassets Article420:Liquidityoutflows Article421:Outflowsonretaildeposits Article422:Outflowsonotherliabilities Article423:Additionaloutflows Article424:Outflowsfromcreditandliquidityfacilities Article425:Inflows Article426:UpdatingFutureliquidityrequirements TITLEIII:REPORTINGONSTABLEFUNDING Article427:Itemsprovidingstablefunding Article428:Itemsrequiringstablefunding PARTSEVEN:LEVERAGE Article429:Calculationoftheleverageratio Article429a:Exposurevalueofderivatives Article429b:Counterpartycreditriskadd-onforrepurchasetransactions,securitiesorcommoditieslendingorborrowingtransactions,longsettlementtransactionsandmarginlendingtransactions Article430:Reportingrequirement PARTEIGHT:DISCLOSUREBYINSTITUTIONS TITLEI:GENERALPRINCIPLES Article431:Scopeofdisclosurerequirements Article432:Non-material,proprietaryorconfidentialinformation Article433:Frequencyofdisclosure Article434:Meansofdisclosures TITLEII:TECHNICALCRITERIAONTRANSPARENCYANDDISCLOSURE Article435:Riskmanagementobjectivesandpolicies Article436:Scopeofapplication Article437:Ownfunds Article438:Capitalrequirements Article439:Exposuretocounterpartycreditrisk Article440:Capitalbuffers Article441:Indicatorsofglobalsystemicimportance Article442:Creditriskadjustments Article443:Unencumberedassets Article444:UseofECAIs Article445:Exposuretomarketrisk Article446:Operationalrisk Article447:Exposuresinequitiesnotincludedinthetradingbook Article448:Exposuretointerestrateriskonpositionsnotincludedinthetradingbook Article449:Exposuretosecuritisationpositions Article450:Remunerationpolicy Article451:Leverage TITLEIII:QUALIFYINGREQUIREMENTSFORTHEUSEOFPARTICULARINSTRUMENTSORMETHODOLOGIES Article452:UseoftheIRBApproachtocreditrisk Article453:Useofcreditriskmitigationtechniques Article454:UseoftheAdvancedMeasurementApproachestooperationalrisk Article455:UseofInternalMarketRiskModels PARTNINE:DELEGATEDANDIMPLEMENTINGACTS Article456:Delegatedacts Article457:Technicaladjustmentsandcorrections Article458:MacroprudentialorsystemicriskidentifiedatthelevelofaMemberState Article459:Prudentialrequirements Article460:Liquidity Article461:Reviewofthephasing-inoftheliquiditycoveragerequirement Article462:Exerciseofthedelegation Article463:Objectionstoregulatorytechnicalstandards Article464:EuropeanBankingCommittee PARTTEN:TRANSITIONALPROVISIONS,REPORTS,REVIEWSANDAMENDMENTS TITLEI:TRANSITIONALPROVISIONS CHAPTER1:Ownfundsrequirements,unrealisedgainsandlossesmeasuredatfairvalueanddeductions Section1:Ownfundsrequirements Article465:Ownfundsrequirements Article466:FirsttimeapplicationofInternationalFinancialReportingStandards Section2:Unrealisedgainsandlossesmeasuredatfairvalue Article467:Unrealisedlossesmeasuredatfairvalue Article468:Unrealisedgainsmeasuredatfairvalue Section3:Deductions Sub-Section1:DeductionsfromCommonEquityTier1items Article469:DeductionsfromCommonEquityTier1items Article470:ExemptionfromdeductionfromCommonEquityTier1items Article471:ExemptionfromDeductionofEquityHoldingsinInsuranceCompaniesfromCommonEquityTier1Items Article472:ItemsnotdeductedfromCommonEquityTier1 Article473:IntroductionofamendmentstoIAS19 Article473a:IntroductionofIFRS9 Sub-Section2:DeductionsfromAdditionalTier1items Article474:DeductionsfromAdditionalTier1items Article475:ItemsnotdeductedfromAdditionalTier1items Sub-Section3:DeductionsfromTier2items Article476:DeductionsfromTier2items Article477:DeductionsfromTier2items Sub-Section4:Applicablepercentagesfordeduction Article478:ApplicablepercentagesfordeductionfromCommonEquityTier1,AdditionalTier1andTier2items Section4:minorityinterestandadditionalTier1andTier2instrumentsissuedbysubsidiaries Article479:RecognitioninconsolidatedCommonEquityTier1capitalofinstrumentsanditemsthatdonotqualifyasminorityinterests Article480:RecognitioninconsolidatedownfundsofminorityinterestsandqualifyingAdditionalTier1andTier2capital Section5:Additionalfiltersanddeductions Article481:Additionalfiltersanddeductions Article482:Scopeofapplicationforderivativestransactionswithpensionfunds CHAPTER2:Grandfatheringofcapitalinstruments Section1:InstrumentsconstitutingStateaid Article483:GrandfatheringofStateaidinstruments Section2:InstrumentsnotconstitutingStateaid Sub-Section1:Grandfatheringeligibilityandlimits Article484:EligibilityforgrandfatheringofitemsthatqualifiedasownfundsundernationaltranspositionmeasuresforDirective2006/48/EC Article485:EligibilityforinclusionintheCommonEquityTier1ofsharepremiumaccountsrelatedtoitemsthatqualifiedasownfundsundernationaltranspositionmeasuresforDirective2006/48/EC Article486:LimitsforgrandfatheringofitemswithinCommonEquityTier1,AdditionalTier1andTier2items Article487:ItemsexcludedfromgrandfatheringinCommonEquityTier1orAdditionalTier1itemsinotherelementsofownfunds Article488:AmortisationofitemsgrandfatheredasTier2items Sub-Section2:InclusionofinstrumentswithacallandincentivetoredeeminadditionalTier1andTier2items Article489:Hybridinstrumentswithacallandincentivetoredeem Article490:Tier2itemswithanincentivetoredeem Article491:Effectivematurity CHAPTER3:Transitionalprovisionsfordisclosureofownfunds Article492:Disclosureofownfunds CHAPTER4:Largeexposures,ownfundsrequirements,leverageandtheBaselIFloor Article493:Transitionalprovisionsforlargeexposures Article494:Transitionalprovisionsforeligiblecapital Article495:TreatmentofequityexposuresundertheIRBApproach Article496:Ownfundsrequirementsforcoveredbonds Article497:OwnfundsrequirementsforexposurestoCCPs Article498:ExemptionforCommoditiesdealers Article499:Leverage Article500:Transitionalprovisions—BaselIfloor Article501:CapitalrequirementsdeductionforcreditriskonexposurestoSMEs TITLEII:REPORTSANDREVIEWS Article502:Cyclicalityofcapitalrequirements Article503:Ownfundsrequirementsforexposuresintheformofcoveredbonds Article504:Capitalinstrumentssubscribedbypublicauthoritiesinemergencysituations Article505:Reviewoflong-termfinancing Article506:Creditrisk—definitionofdefault Article507:Largeexposures Article508:Levelofapplication Article509:Liquidityrequirements Article510:NetStableFundingRequirements Article511:Leverage Article512:Exposurestotransferredcreditrisk Article513:Macroprudentialrules Article514:CounterpartycreditriskandtheOriginalExposureMethod Article515:Monitoringandevaluation Article516:Long-termfinancing Article517:Definitionofeligiblecapital Article518:Reviewofcapitalinstrumentswhichmaybewrittendownorconvertedatthepointofnon-viability Article519:DeductionofdefinedbenefitpensionfundassetsfromCommonEquityTier1items TITLEIII:AMENDMENTS Article520:AmendmentofRegulation(EU)No648/2012 PARTELEVEN:FINALPROVISIONS Article521:Entryintoforceanddateofapplication Signs:Signs ANNEXI:Classificationofoff-balancesheetitems ANNEXII:Typesofderivatives ANNEXIII:Itemssubjecttosupplementaryreportingofliquidassets ANNEXIV:Correlationtable