Calculation of the overall net foreign exchange position

Article 352 — Calculation of the overall net foreign exchange position ... The institution's net open position in each currency (including the reporting currency) ... 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RecitalsPARTONE—GENERALPROVISIONSTITLEI—SUBJECTMATTER,SCOPEANDDEFINITIONSArticle1—ScopeArticle2—SupervisorypowersArticle3—ApplicationofstricterrequirementsbyinstitutionsArticle4—DefinitionsArticle5—DefinitionsspecifictocapitalrequirementsforcreditriskTITLEII—LEVELOFAPPLICATIONOFREQUIREMENTSCHAPTER1—ApplicationofrequirementsonanindividualbasisArticle6—GeneralprinciplesArticle7—DerogationfromtheapplicationofprudentialrequirementsonanindividualbasisArticle8—DerogationfromtheapplicationofliquidityrequirementsonanindividualbasisArticle9—IndividualconsolidationmethodArticle10—WaiverforcreditinstitutionspermanentlyaffiliatedtoacentralbodyCHAPTER2—PrudentialconsolidationSection1—ApplicationofrequirementsonaconsolidatedbasisArticle11—GeneraltreatmentArticle12a—ConsolidatedcalculationforG-SIIswithmultipleresolutionentitiesArticle13—ApplicationofdisclosurerequirementsonaconsolidatedbasisArticle14—ApplicationofrequirementsofArticle5ofRegulation(EU)2017/2402onaconsolidatedbasisArticle15—DerogationfromtheapplicationofownfundsrequirementsonaconsolidatedbasisforgroupsofinvestmentfirmsArticle16—DerogationfromtheapplicationoftheleverageratiorequirementsonaconsolidatedbasisforgroupsofinvestmentfirmsArticle17—SupervisionofinvestmentfirmswaivedfromtheapplicationofownfundsrequirementsonaconsolidatedbasisSection2—MethodsforprudentialconsolidationArticle18—MethodsofprudentialconsolidationSection3—ScopeofprudentialconsolidationArticle19—EntitiesexcludedfromthescopeofprudentialconsolidationArticle20—JointdecisionsonprudentialrequirementsArticle21—JointdecisionsonthelevelofapplicationofliquidityrequirementsArticle22—Sub-consolidationincasesofentitiesinthirdcountriesArticle23—UndertakingsinthirdcountriesArticle24—Valuationofassetsandoff-balancesheetitemsPARTTWO—OWNFUNDSANDELIGIBLELIABILITIESTITLEI—ELEMENTSOFOWNFUNDSCHAPTER1—Tier1capitalArticle25—Tier1capitalCHAPTER2—CommonEquityTier1capitalSection1—CommonEquityTier1itemsandinstrumentsArticle26—CommonEquityTier1itemsArticle27—Capitalinstrumentsofmutuals,cooperativesocieties,savingsinstitutionsorsimilarinstitutionsinCommonEquityTier1itemsArticle28—CommonEquityTier1instrumentsArticle29—Capitalinstrumentsissuedbymutuals,cooperativesocieties,savingsinstitutionsandsimilarinstitutionsArticle30—ConsequencesoftheconditionsforCommonEquityTier1instrumentsceasingtobemetArticle31—CapitalinstrumentssubscribedbypublicauthoritiesinemergencysituationsSection2—PrudentialfiltersArticle32—SecuritisedassetsArticle33—CashflowhedgesandchangesinthevalueofownliabilitiesArticle34—AdditionalvalueadjustmentsArticle35—UnrealisedgainsandlossesmeasuredatfairvalueSection3—DeductionsfromCommonEquityTier1items,exemptionsandalternativesSub-Section1—DeductionsfromCommonEquityTier1itemsArticle36—DeductionsfromCommonEquityTier1itemsArticle37—DeductionofintangibleassetsArticle38—DeductionofdeferredtaxassetsthatrelyonfutureprofitabilityArticle39—Taxoverpayments,taxlosscarrybacksanddeferredtaxassetsthatdonotrelyonfutureprofitabilityArticle40—DeductionofnegativeamountsresultingfromthecalculationofexpectedlossamountsArticle41—DeductionofdefinedbenefitpensionfundassetsArticle42—DeductionofholdingsofownCommonEquityTier1instrumentsArticle43—SignificantinvestmentinafinancialsectorentityArticle44—DeductionofholdingsofCommonEquityTier1instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfundsArticle45—DeductionofholdingsofCommonEquityTier1instrumentsoffinancialsectorentitiesArticle46—DeductionofholdingsofCommonEquityTier1instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinafinancialsectorentityArticle47—DeductionofholdingsofCommonEquityTier1instrumentswhereaninstitutionhasasignificantinvestmentinafinancialsectorentityArticle47a—Non-performingexposuresArticle47b—ForbearancemeasuresArticle47c—Deductionfornon-performingexposuresSub-Section2—ExemptionsfromandalternativestodeductionfromCommonEquityTier1itemsArticle48—ThresholdexemptionsfromdeductionfromCommonEquityTier1itemsArticle49—Requirementfordeductionwhereconsolidation,supplementarysupervisionorinstitutionalprotectionschemesareappliedSection4—CommonEquityTier1capitalArticle50—CommonEquityTier1capitalCHAPTER3—AdditionalTier1capitalSection1—AdditionalTier1itemsandinstrumentsArticle51—AdditionalTier1itemsArticle52—AdditionalTier1instrumentsArticle53—RestrictionsonthecancellationofdistributionsonAdditionalTier1instrumentsandfeaturesthatcouldhindertherecapitalisationoftheinstitutionArticle54—WritedownorconversionofAdditionalTier1instrumentsArticle55—ConsequencesoftheconditionsforAdditionalTier1instrumentsceasingtobemetSection2—DeductionsfromAdditionalTier1itemsArticle56—DeductionsfromAdditionalTier1itemsArticle57—DeductionsofholdingsofownAdditionalTier1instrumentsArticle58—DeductionofholdingsofAdditionalTier1instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfundsArticle59—DeductionofholdingsofAdditionalTier1instrumentsoffinancialsectorentitiesArticle60—DeductionofholdingsofAdditionalTier1instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinafinancialsectorentitySection3—AdditionalTier1capitalArticle61—AdditionalTier1capitalCHAPTER4—Tier2capitalSection1—Tier2itemsandinstrumentsArticle62—Tier2itemsArticle63—Tier2instrumentsArticle64—AmortisationofTier2instrumentsArticle65—ConsequencesoftheconditionsforTier2instrumentsceasingtobemetSection2—DeductionsfromTier2itemsArticle66—DeductionsfromTier2itemsArticle67—DeductionsofholdingsofownTier2instrumentsArticle68—DeductionofholdingsofTier2instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfundsArticle69—DeductionofholdingsofTier2instrumentsoffinancialsectorentitiesArticle70—DeductionofTier2instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinarelevantentitySection3—Tier2capitalArticle71—Tier2capitalCHAPTER5—OwnfundsArticle72—OwnfundsCHAPTER5a—EligibleliabilitiesSection1—EligibleliabilitiesitemsandinstrumentsArticle72a—EligibleliabilitiesitemsArticle72b—EligibleliabilitiesinstrumentsArticle72c—AmortisationofeligibleliabilitiesinstrumentsArticle72d—ConsequencesoftheeligibilityconditionsceasingtobemetSection2—DeductionsfromeligibleliabilitiesitemsArticle72e—DeductionsfromeligibleliabilitiesitemsArticle72f—DeductionofholdingsofowneligibleliabilitiesinstrumentsArticle72g—DeductionbaseforeligibleliabilitiesitemsArticle72h—DeductionofholdingsofeligibleliabilitiesofotherG-SIIentitiesArticle72i—DeductionofeligibleliabilitieswheretheinstitutiondoesnothaveasignificantinvestmentinG-SIIentitiesArticle72j—TradingbookexceptionfromdeductionsfromeligibleliabilitiesitemsSection3—OwnfundsandeligibleliabilitiesArticle72k—EligibleliabilitiesArticle72l—OwnfundsandeligibleliabilitiesCHAPTER6—GeneralrequirementsforownfundsandeligibleliabilitiesArticle73—DistributionsoninstrumentsArticle74—HoldingsofcapitalinstrumentsissuedbyregulatedfinancialsectorentitiesthatdonotqualifyasregulatorycapitalArticle75—DeductionandmaturityrequirementsforshortpositionsArticle76—IndexholdingsofcapitalinstrumentsArticle77—ConditionsforreducingownfundsandeligibleliabilitiesArticle78—SupervisorypermissiontoreduceownfundsArticle78a—PermissiontoreduceeligibleliabilitiesinstrumentsArticle79—TemporarywaiverfromdeductionfromownfundsandeligibleliabilitiesArticle79a—AssessmentofcompliancewiththeconditionsforownfundsandeligibleliabilitiesinstrumentsArticle80—ContinuingreviewofthequalityofownfundsandeligibleliabilitiesinstrumentsTITLEII—MINORITYINTERESTANDADDITIONALTIER1ANDTIER2INSTRUMENTSISSUEDBYSUBSIDIARIESArticle81—MinorityintereststhatqualifyforinclusioninconsolidatedCommonEquityTier1capitalArticle82—QualifyingAdditionalTier1,Tier1,Tier2capitalandqualifyingownfundsArticle83—QualifyingAdditionalTier1andTier2capitalissuedbyaspecialpurposeentityArticle84—MinorityinterestsincludedinconsolidatedCommonEquityTier1capitalArticle85—QualifyingTier1instrumentsincludedinconsolidatedTier1capitalArticle86—QualifyingTier1capitalincludedinconsolidatedAdditionalTier1capitalArticle87—QualifyingownfundsincludedinconsolidatedownfundsArticle88—QualifyingownfundsinstrumentsincludedinconsolidatedTier2capitalTITLEIII—QUALIFYINGHOLDINGSOUTSIDETHEFINANCIALSECTORArticle89—RiskweightingandprohibitionofqualifyingholdingsoutsidethefinancialsectorArticle90—Alternativeto1250%riskweightArticle91—ExceptionsPARTTHREE—CAPITALREQUIREMENTSTITLEI—GENERALREQUIREMENTS,VALUATIONANDREPORTINGCHAPTER1—RequiredlevelofownfundsSection1—OwnfundsrequirementsforinstitutionsArticle92—OwnfundsrequirementsArticle92a—RequirementsforownfundsandeligibleliabilitiesforG-SIIsArticle92b—Requirementforownfundsandeligibleliabilitiesfornon-EUG-SIIsArticle93—InitialcapitalrequirementongoingconcernArticle94—DerogationforsmalltradingbookbusinessSection2—OwnfundsrequirementsforinvestmentfirmswithlimitedauthorisationtoprovideinvestmentservicesArticle95—OwnfundsrequirementsforinvestmentfirmswithlimitedauthorisationtoprovideinvestmentservicesArticle96—OwnfundsrequirementsforinvestmentfirmswhichholdinitialcapitalaslaiddowninArticle28(2)ofDirective2013/36/EUArticle97—OwnFundsbasedonFixedOverheadsArticle98—OwnfundsforinvestmentfirmsonaconsolidatedbasisCHAPTER2—CalculationandreportingrequirementsArticle99—ReportingonownfundsrequirementsandfinancialinformationArticle100—AdditionalreportingrequirementsArticle101—SpecificreportingobligationsCHAPTER3—TradingbookArticle102—RequirementsforthetradingbookArticle103—ManagementofthetradingbookArticle104—InclusioninthetradingbookArticle104b—RequirementsfortradingdeskArticle105—RequirementsforprudentvaluationArticle106—InternalHedgesTITLEII—CAPITALREQUIREMENTSFORCREDITRISKCHAPTER1—GeneralprinciplesArticle107—ApproachestocreditriskArticle108—UseofcreditriskmitigationtechniqueundertheStandardisedApproachandtheIRBApproachArticle109—TreatmentofsecuritisationpositionsArticle110—TreatmentofcreditriskadjustmentCHAPTER2—StandardisedapproachSection1—GeneralprinciplesArticle111—ExposurevalueArticle112—ExposureclassesArticle113—Calculationofrisk-weightedexposureamountsSection2—RiskweightsArticle114—ExposurestocentralgovernmentsorcentralbanksArticle115—ExposurestoregionalgovernmentsorlocalauthoritiesArticle116—ExposurestopublicsectorentitiesArticle117—ExposurestomultilateraldevelopmentbanksArticle118—ExposurestointernationalorganisationsArticle119—ExposurestoinstitutionsArticle120—ExposurestoratedinstitutionsArticle121—ExposurestounratedinstitutionsArticle122—ExposurestocorporatesArticle123—RetailexposuresArticle124—ExposuressecuredbymortgagesonimmovablepropertyArticle125—ExposuresfullyandcompletelysecuredbymortgagesonresidentialpropertyArticle126—ExposuresfullyandcompletelysecuredbymortgagesoncommercialimmovablepropertyArticle127—ExposuresindefaultArticle128—ItemsassociatedwithparticularhighriskArticle129—ExposuresintheformofcoveredbondsArticle130—ItemsrepresentingsecuritisationpositionsArticle131—Exposurestoinstitutionsandcorporateswithashort-termcreditassessmentArticle132—ExposuresintheformofunitsorsharesinCIUsArticle132a—Approachesforcalculatingrisk-weightedexposureamountsofCIUsArticle133—EquityexposuresArticle134—OtheritemsSection3—RecognitionandmappingofcreditriskassessmentSub-Section1—RecognitionofECAIsArticle135—UseofcreditassessmentsbyECAIsSub-Section2—MappingofECAI'screditassessmentsArticle136—MappingofECAI'screditassessmentsSub-Section3—UseofcreditassessmentsbyExportCreditAgenciesArticle137—UseofcreditassessmentsbyexportcreditagenciesSection4—UseoftheECAIcreditassessmentsforthedeterminationofriskweightsArticle138—GeneralrequirementsArticle139—IssuerandissuecreditassessmentArticle140—Long-termandshort-termcreditassessmentsArticle141—DomesticandforeigncurrencyitemsCHAPTER3—InternalRatingsBasedApproachSection1—PermissionbycompetentauthoritiestousetheIRBapproachArticle142—DefinitionsArticle143—PermissiontousetheIRBApproachArticle144—Competentauthorities'assessmentofanapplicationtouseanIRBApproachArticle145—PriorexperienceofusingIRBapproachesArticle146—MeasurestobetakenwheretherequirementsofthisChapterceasetobemetArticle147—MethodologytoassignexposurestoexposureclassesArticle148—ConditionsforimplementingtheIRBApproachacrossdifferentclassesofexposureandbusinessunitsArticle149—ConditionstoreverttotheuseoflesssophisticatedapproachesArticle150—ConditionsforpermanentpartialuseSection2—Calculationofrisk-weightedexposureamountsSub-Section1—TreatmentbytypeofexposureclassArticle151—TreatmentbyexposureclassArticle152—TreatmentofexposuresintheformofunitsorsharesinCIUsSub-Section2—Calculationofrisk-weightedexposureamountsforcreditriskArticle153—Risk-weightedexposureamountsforexposurestocorporates,institutionsandcentralgovernmentsandcentralbanksArticle154—Risk-weightedexposureamountsforretailexposuresArticle155—Risk-weightedexposureamountsforequityexposuresArticle156—Risk-weightedexposureamountsforothernoncredit-obligationassetsSub-Section3—Calculationofrisk-weightedexposureamountsfordilutionriskofpurchasedreceivablesArticle157—Risk-weightedexposureamountsfordilutionriskofpurchasedreceivablesSection3—ExpectedlossamountsArticle158—TreatmentbyexposuretypeArticle159—TreatmentofexpectedlossamountsSection4—PD,LGDandmaturitySub-Section1—Exposurestocorporates,institutionsandcentralgovernmentsandcentralbanksArticle160—Probabilityofdefault(PD)Article161—LossGivenDefault(LGD)Article162—MaturitySub-Section2—RetailexposuresArticle163—Probabilityofdefault(PD)Article164—LossGivenDefault(LGD)Sub-Section3—EquityexposuressubjecttoPD/LGDmethodArticle165—EquityexposuressubjecttothePD/LGDmethodSection5—ExposurevalueArticle166—Exposurestocorporates,institutions,centralgovernmentsandcentralbanksandretailexposuresArticle167—EquityexposuresArticle168—Othernoncredit-obligationassetsSection6—RequirementsfortheIRBapproachSub-Section1—RatingsystemsArticle169—GeneralprinciplesArticle170—StructureofratingsystemsArticle171—AssignmenttogradesorpoolsArticle172—AssignmentofexposuresArticle173—IntegrityofassignmentprocessArticle174—UseofmodelsArticle175—DocumentationofratingsystemsArticle176—DatamaintenanceArticle177—StresstestsusedinassessmentofcapitaladequacySub-Section2—RiskquantificationArticle178—DefaultofanobligorArticle179—OverallrequirementsforestimationArticle180—RequirementsspecifictoPDestimationArticle181—Requirementsspecifictoown-LGDestimatesArticle182—Requirementsspecifictoown-conversionfactorestimatesArticle183—Requirementsforassessingtheeffectofguaranteesandcreditderivativesforexposurestocorporates,institutionsandcentralgovernmentsandcentralbankswhereownestimatesofLGDareusedandforretailexposuresArticle184—RequirementsforpurchasedreceivablesSub-Section3—ValidationofinternalestimatesArticle185—ValidationofinternalestimatesSub-Section4—RequirementsforequityexposuresundertheinternalmodelsapproachArticle186—OwnfundsrequirementandriskquantificationArticle187—RiskmanagementprocessandcontrolsArticle188—ValidationanddocumentationSub-Section5—InternalgovernanceandoversightArticle189—CorporateGovernanceArticle190—CreditriskcontrolArticle191—InternalAuditCHAPTER4—CreditriskmitigationSection1—DefinitionsandgeneralrequirementsArticle192—DefinitionsArticle193—PrinciplesforrecognisingtheeffectofcreditriskmitigationtechniquesArticle194—PrinciplesgoverningtheeligibilityofcreditriskmitigationtechniquesSection2—EligibleformsofcreditriskmitigationSub-Section1—FundedcreditprotectionArticle195—On-balancesheetnettingArticle196—Masternettingagreementscoveringrepurchasetransactionsorsecuritiesorcommoditieslendingorborrowingtransactionsorothercapitalmarket-driventransactionsArticle197—EligibilityofcollateralunderallapproachesandmethodsArticle198—AdditionaleligibilityofcollateralundertheFinancialCollateralComprehensiveMethodArticle199—AdditionaleligibilityforcollateralundertheIRBApproachArticle200—OtherfundedcreditprotectionSub-Section2—UnfundedcreditprotectionArticle201—EligibilityofprotectionprovidersunderallapproachesArticle202—EligibilityofprotectionprovidersundertheIRBApproachwhichqualifyforthetreatmentsetoutinArticle153(3)Article203—EligibilityofguaranteesasunfundedcreditprotectionSub-Section3—TypesofderivativesArticle204—EligibletypesofcreditderivativesSection3—RequirementsSub-Section1—FundedcreditprotectionArticle205—Requirementsforon-balancesheetnettingagreementsotherthanmasternettingagreementsreferredtoinArticle206Article206—RequirementsformasternettingagreementscoveringrepurchasetransactionsorsecuritiesorcommoditieslendingorborrowingtransactionsorothercapitalmarketdriventransactionsArticle207—RequirementsforfinancialcollateralArticle208—RequirementsforimmovablepropertycollateralArticle209—RequirementsforreceivablesArticle210—RequirementsforotherphysicalcollateralArticle211—RequirementsfortreatingleaseexposuresascollateralisedArticle212—RequirementsforotherfundedcreditprotectionSub-Section2—UnfundedcreditprotectionandcreditlinkednotesArticle213—RequirementscommontoguaranteesandcreditderivativesArticle214—Sovereignandotherpublicsectorcounter-guaranteesArticle215—AdditionalrequirementsforguaranteesArticle216—AdditionalrequirementsforcreditderivativesArticle217—RequirementstoqualifyforthetreatmentsetoutinArticle153(3)Section4—CalculatingtheeffectsofcreditriskmitigationSub-Section1—FundedcreditprotectionArticle218—CreditlinkednotesArticle219—On-balancesheetnettingArticle220—UsingtheSupervisoryVolatilityAdjustmentsApproachortheOwnEstimatesVolatilityAdjustmentsApproachformasternettingagreementsArticle221—UsingtheinternalmodelsapproachformasternettingagreementsArticle222—FinancialCollateralSimpleMethodArticle223—FinancialCollateralComprehensiveMethodArticle224—SupervisoryvolatilityadjustmentundertheFinancialCollateralComprehensiveMethodArticle225—OwnestimatesofvolatilityadjustmentsundertheFinancialCollateralComprehensiveMethodArticle226—ScalingupofvolatilityadjustmentundertheFinancialCollateralComprehensiveMethodArticle227—Conditionsforapplyinga0%volatilityadjustmentundertheFinancialCollateralComprehensiveMethodArticle228—Calculatingrisk-weightedexposureamountsandexpectedlossamountsundertheFinancialCollateralComprehensivemethodArticle229—ValuationprinciplesforothereligiblecollateralundertheIRBApproachArticle230—Calculatingrisk-weightedexposureamountsandexpectedlossamountsforothereligiblecollateralundertheIRBApproachArticle231—Calculatingrisk-weightedexposureamountsandexpectedlossamountsinthecaseofmixedpoolsofcollateralArticle232—OtherfundedcreditprotectionSub-Section2—UnfundedcreditprotectionArticle233—ValuationArticle234—Calculatingrisk-weightedexposureamountsandexpectedlossamountsintheeventofpartialprotectionandtranchingArticle235—Calculatingrisk-weightedexposureamountsundertheStandardisedApproachArticle236—Calculatingrisk-weightedexposureamountsandexpectedlossamountsundertheIRBApproachSection5—MaturitymismatchesArticle237—MaturitymismatchArticle238—MaturityofcreditprotectionArticle239—ValuationofprotectionSection6—BasketCRMtechniquesArticle240—First-to-defaultcreditderivativesArticle241—Nth-to-defaultcreditderivativesCHAPTER5—SecuritisationSection1—Definitionsandcriteriaforsimple,transparentandstandardisedsecuritisationsArticle242—DefinitionsArticle243—CriteriaforSTSsecuritisationsqualifyingfordifferentiatedcapitaltreatmentSection2—RecognitionofsignificantrisktransferArticle244—TraditionalsecuritisationArticle245—SyntheticsecuritisationArticle246—OperationalrequirementsforearlyamortisationprovisionsSection3—Calculationofrisk-weightedexposureamountsSubsection1—GeneralProvisionsArticle247—Calculationofrisk-weightedexposureamountsArticle248—ExposurevalueArticle249—RecognitionofcreditriskmitigationforsecuritisationpositionsArticle250—ImplicitsupportArticle251—Originatorinstitutions’calculationofrisk-weightedexposureamountssecuritisedinasyntheticsecuritisationArticle252—TreatmentofmaturitymismatchesinsyntheticsecuritisationsArticle253—Reductioninrisk-weightedexposureamountsSubsection2—HierarchyofmethodsandcommonparametersArticle254—HierarchyofmethodsArticle255—DeterminationofKIRBandKSAArticle256—Determinationofattachmentpoint(A)anddetachmentpoint(D)Article257—Determinationoftranchematurity(MT)Subsection3—Methodstocalculaterisk-weightedexposureamountsArticle258—ConditionsfortheuseoftheInternalRatingsBasedApproach(SEC-IRBA)Article259—Calculationofrisk-weightedexposureamountsundertheSEC-IRBAArticle260—TreatmentofSTSsecuritisationsundertheSEC-IRBAArticle261—Calculationofrisk-weightedexposureamountsundertheStandardisedApproach(SEC-SA)Article262—TreatmentofSTSsecuritisationsundertheSEC-SAArticle263—Calculationofrisk-weightedexposureamountsundertheExternalRatingsBasedApproach(SEC-ERBA)Article264—TreatmentofSTSsecuritisationsundertheSEC-ERBAArticle265—ScopeandoperationalrequirementsfortheInternalAssessmentApproachArticle266—Calculationofrisk-weightedexposureamountsundertheInternalAssessmentApproachSubsection4—CapsforsecuritisationpositionsArticle267—Maximumriskweightforseniorsecuritisationpositions:look-throughapproachArticle268—MaximumcapitalrequirementsSubsection5—MiscellaneousprovisionsArticle269—Re-securitisationsArticle270—SeniorpositionsinSMEsecuritisationsArticle270a—AdditionalriskweightSection4—ExternalcreditassessmentsArticle270b—UseofcreditassessmentsbyECAIsArticle270c—RequirementstobemetbythecreditassessmentsofECAIsArticle270d—UseofcreditassessmentsArticle270e—SecuritisationmappingCHAPTER6—CounterpartycreditriskSection1—DefinitionsArticle271—DeterminationoftheexposurevalueArticle272—DefinitionsSection2—MethodsforcalculatingtheexposurevalueArticle273—MethodsforcalculatingtheexposurevalueSection3—Mark-to-MarketMethodArticle274—Mark-to-MarketMethodSection4—OriginalExposureMethodArticle275—OriginalExposureMethodSection5—StandardisedMethodArticle276—StandardisedMethodArticle277—TransactionswithalinearriskprofileArticle278—Transactionswithanon-linearriskprofileArticle279—TreatmentofcollateralArticle279a—SupervisorydeltaArticle280—CalculationofriskpositionsArticle281—InterestrateriskpositionsArticle282—HedgingsetsSection6—InternalModelMethodArticle283—PermissiontousetheInternalModelMethodArticle284—ExposurevalueArticle285—ExposurevaluefornettingsetssubjecttoamarginagreementArticle286—ManagementofCCR—Policies,processesandsystemsArticle287—OrganisationstructuresforCCRmanagementArticle288—ReviewofCCRmanagementsystemArticle289—UsetestArticle290—StresstestingArticle291—Wrong-WayRiskArticle292—IntegrityofthemodellingprocessArticle293—RequirementsfortheriskmanagementsystemArticle294—ValidationrequirementsSection7—ContractualnettingArticle295—Recognitionofcontractualnettingasrisk-reducingArticle296—RecognitionofcontractualnettingagreementsArticle297—ObligationsofinstitutionsArticle298—Effectsofrecognitionofnettingasrisk-reducingSection8—ItemsinthetradingbookArticle299—ItemsinthetradingbookSection9—OwnfundsrequirementsforexposurestoacentralcounterpartyArticle300—DefinitionsArticle301—MaterialscopeArticle302—MonitoringofexposurestoCCPsArticle303—Treatmentofclearingmembers'exposurestoCCPsArticle304—Treatmentofclearingmembers'exposurestoclientsArticle305—Treatmentofclients'exposuresArticle306—OwnfundsrequirementsfortradeexposuresArticle307—Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofaCCPArticle308—Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofaQCCPArticle309—Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofanon-qualifyingCCPandforunfundedcontributionstoanon-qualifyingCCPArticle310—AlternativecalculationofownfundsrequirementforexposurestoaQCCPArticle311—OwnfundsrequirementsforexposurestoCCPsthatceasetomeetcertainconditionsTITLEIII—OWNFUNDSREQUIREMENTSFOROPERATIONALRISKCHAPTER1—GeneralprinciplesgoverningtheuseofthedifferentapproachesArticle312—PermissionandnotificationArticle313—RevertingtotheuseoflesssophisticatedapproachesArticle314—CombineduseofdifferentapproachesCHAPTER2—BasicIndicatorApproachArticle315—OwnfundsrequirementArticle316—RelevantindicatorCHAPTER3—StandardisedApproachArticle317—OwnfundsrequirementArticle318—PrinciplesforbusinesslinemappingArticle319—AlternativeStandardisedApproachArticle320—CriteriafortheStandardisedApproachCHAPTER4—AdvancedmeasurementapproachesArticle321—QualitativestandardsArticle322—QuantitativeStandardsArticle323—ImpactofinsuranceandotherrisktransfermechanismsArticle324—LosseventtypeclassificationTITLEIV—OWNFUNDSREQUIREMENTSFORMARKETRISKCHAPTER1—GeneralprovisionsArticle325—ApproachesforcalculatingtheownfundsrequirementsformarketriskArticle325a—ExemptionsfromspecificreportingrequirementsformarketriskArticle325b—PermissionforconsolidatedrequirementsCHAPTER1a—AlternativestandardisedapproachSection1—GeneralprovisionsArticle325c—ScopeandstructureofthealternativestandardisedapproachSection2—Sensitivities-basedmethodforcalculatingtheownfundsrequirementArticle325d—DefinitionsArticle325e—Componentsofthesensitivities-basedmethodArticle325f—OwnfundsrequirementsfordeltaandvegarisksArticle325g—OwnfundsrequirementsforcurvatureriskArticle325h—Aggregationofrisk-classspecificownfundsrequirementsfordelta,vegaandcurvaturerisksArticle325i—Treatmentofindexinstrumentsandmulti-underlyingoptionsArticle325j—TreatmentofcollectiveinvestmentundertakingsArticle325k—UnderwritingpositionsSection3—RiskfactorandsensitivitydefinitionsSubsection1—RiskfactordefinitionsArticle325l—GeneralinterestrateriskfactorsArticle325m—Creditspreadriskfactorsfornon-securitisationArticle325n—CreditspreadriskfactorsforsecuritisationArticle325o—EquityriskfactorsArticle325p—CommodityriskfactorsArticle325q—ForeignexchangeriskfactorsSubsection2—SensitivitydefinitionsArticle325r—DeltarisksensitivitiesArticle325s—VegarisksensitivitiesArticle325t—RequirementsonsensitivitycomputationsSection4—Theresidualriskadd-onArticle325u—OwnfundsrequirementsforresidualrisksSection5—OwnfundsrequirementsforthedefaultriskArticle325v—DefinitionsandgeneralprovisionsSubsection1—Ownfundsrequirementsforthedefaultriskfornon-securitisationsArticle325w—Grossjump-to-defaultamountsArticle325x—Netjump-to-defaultamountsArticle325y—CalculationoftheownfundsrequirementsforthedefaultriskSubsection2—OwnfundsrequirementsforthedefaultriskforsecuritisationsnotincludedintheACTPArticle325z—Jump-to-defaultamountsArticle325aa—CalculationoftheownfundsrequirementforthedefaultriskforsecuritisationsSubsection3—OwnfundsrequirementsforthedefaultriskforsecuritisationsincludedintheACTPArticle325ab—ScopeArticle325ac—Jump-to-defaultamountsfortheACTPArticle325ad—CalculationoftheownfundsrequirementsforthedefaultriskfortheACTPSection6—RiskweightsandcorrelationsSubsection1—DeltariskweightsandcorrelationsArticle325ae—RiskweightsforgeneralinterestrateriskArticle325af—IntrabucketcorrelationsforgeneralinterestrateriskArticle325ag—CorrelationsacrossbucketsforgeneralinterestrateriskArticle325ah—Riskweightsforcreditspreadriskfornon-securitisationsArticle325ai—Intra-bucketcorrelationsforcreditspreadriskfornon-securitisationsArticle325aj—Correlationsacrossbucketsforcreditspreadriskfornon-securitisationsArticle325ak—RiskweightsforcreditspreadriskforsecuritisationsincludedintheACTPArticle325al—CorrelationsforcreditspreadriskforsecuritisationsincludedintheACTPArticle325am—RiskweightsforcreditspreadriskforsecuritisationsnotincludedintheACTPArticle325an—Intra-bucketcorrelationsforcreditspreadriskforsecuritisationsnotincludedintheACTPArticle325ao—CorrelationsacrossbucketsforcreditspreadriskforsecuritisationsnotincludedintheACTPArticle325ap—RiskweightsforequityriskArticle325aq—Intra-bucketcorrelationsforequityriskArticle325ar—CorrelationsacrossbucketsforequityriskArticle325as—RiskweightsforcommodityriskArticle325at—Intra-bucketcorrelationsforcommodityriskArticle325au—CorrelationsacrossbucketsforcommodityriskArticle325av—RiskweightsforforeignexchangeriskArticle325aw—CorrelationsforforeignexchangeriskSubsection2—VegaandcurvatureriskweightsandcorrelationsArticle325ax—VegaandcurvatureriskweightsArticle325ay—VegaandcurvatureriskcorrelationsCHAPTER1b—AlternativeinternalmodelapproachSection1—PermissionandownfundsrequirementsArticle325az—AlternativeinternalmodelapproachandpermissiontousealternativeinternalmodelsArticle325ba—OwnfundsrequirementswhenusingalternativeinternalmodelsSection2—GeneralrequirementsArticle325bb—ExpectedshortfallriskmeasureArticle325bc—PartialexpectedshortfallcalculationsArticle325bd—LiquidityhorizonsArticle325be—AssessmentofthemodellabilityofriskfactorsArticle325bf—Regulatoryback-testingrequirementsandmultiplicationfactorsArticle325bg—ProfitandlossattributionrequirementArticle325bh—RequirementsonriskmeasurementArticle325bi—QualitativerequirementsArticle325bj—InternalvalidationArticle325bk—CalculationofstressscenarioriskmeasureSection3—InternaldefaultriskmodelArticle325bl—ScopeoftheinternaldefaultriskmodelArticle325bm—PermissiontouseaninternaldefaultriskmodelArticle325bn—OwnfundsrequirementsfordefaultriskusinganinternaldefaultriskmodelArticle325bo—RecognitionofhedgesinaninternaldefaultriskmodelArticle325bp—ParticularrequirementsforaninternaldefaultriskmodelCHAPTER2—OwnfundsrequirementsforpositionriskSection1—GeneralprovisionsandspecificinstrumentsArticle326—OwnfundsrequirementsforpositionriskArticle327—NettingArticle328—InterestratefuturesandforwardsArticle329—OptionsandwarrantsArticle330—SwapsArticle331—InterestrateriskonderivativeinstrumentsArticle332—CreditDerivativesArticle333—SecuritiessoldunderarepurchaseagreementorlentSection2—DebtinstrumentsArticle334—NetpositionsindebtinstrumentsSub-Section1—SpecificriskArticle335—CapontheownfundsrequirementforanetpositionArticle336—Ownfundsrequirementfornon-securitisationdebtinstrumentsArticle337—OwnfundsrequirementforsecuritisationinstrumentsArticle338—OwnfundsrequirementforthecorrelationtradingportfolioSub-Section2—GeneralriskArticle339—Maturity-basedcalculationofgeneralriskArticle340—Duration-basedcalculationofgeneralriskSection3—EquitiesArticle341—NetpositionsinequityinstrumentsArticle342—SpecificriskofequityinstrumentsArticle343—GeneralriskofequityinstrumentsArticle344—StockindicesSection4—UnderwritingArticle345—ReductionofnetpositionsSection5—SpecificriskownfundsrequirementsforpositionshedgedbycreditderivativesArticle346—AllowanceforhedgesbycreditderivativesArticle347—Allowanceforhedgesbyfirstandnth-todefaultcreditderivativesSection6—OwnfundsrequirementsforCIUsArticle348—OwnfundsrequirementsforCIUsArticle349—GeneralcriteriaforCIUsArticle350—SpecificmethodsforCIUsCHAPTER3—Ownfundsrequirementsforforeign-exchangeriskArticle351—DeminimisandweightingforforeignexchangeriskArticle352—CalculationoftheoverallnetforeignexchangepositionArticle353—ForeignexchangeriskofCIUsArticle354—CloselycorrelatedcurrenciesCHAPTER4—OwnfundsrequirementsforcommoditiesriskArticle355—ChoiceofmethodforcommoditiesriskArticle356—AncillarycommoditiesbusinessArticle357—PositionsincommoditiesArticle358—ParticularinstrumentsArticle359—MaturityladderapproachArticle360—SimplifiedapproachArticle361—ExtendedmaturityladderapproachCHAPTER5—UseofinternalmodelstocalculateownfundsrequirementsSection1—PermissionandownfundsrequirementsArticle362—SpecificandgeneralrisksArticle363—PermissiontouseinternalmodelsArticle364—OwnfundsrequirementswhenusinginternalmodelsSection2—GeneralrequirementsArticle365—VaRandstressedVaRCalculationArticle366—RegulatorybacktestingandmultiplicationfactorsArticle367—RequirementsonriskmeasurementArticle368—QualitativerequirementsArticle369—InternalValidationSection3—RequirementsparticulartospecificriskmodellingArticle370—RequirementsformodellingspecificriskArticle371—ExclusionsfromspecificriskmodelsSection4—InternalmodelforincrementaldefaultandmigrationriskArticle372—RequirementtohaveaninternalIRCmodelArticle373—ScopeoftheinternalIRCmodelArticle374—ParametersoftheinternalIRCmodelArticle375—RecognitionofhedgesintheinternalIRCmodelArticle376—ParticularrequirementsfortheinternalIRCmodelSection5—InternalmodelforcorrelationtradingArticle377—RequirementsforaninternalmodelforcorrelationtradingTITLEV—OWNFUNDSREQUIREMENTSFORSETTLEMENTRISKArticle378—Settlement/deliveryriskArticle379—FreedeliveriesArticle380—WaiverTITLEVI—OWNFUNDSREQUIREMENTSFORCREDITVALUATIONADJUSTMENTRISKArticle381—MeaningofcreditvaluationadjustmentArticle382—ScopeArticle383—AdvancedmethodArticle384—StandardisedmethodArticle385—AlternativetousingCVAmethodstocalculatingownfundsrequirementsArticle386—EligiblehedgesPARTFOUR—LARGEEXPOSURESArticle387—SubjectmatterArticle388—NegativeScopeArticle389—DefinitionArticle390—CalculationoftheexposurevalueArticle391—DefinitionofaninstitutionforlargeexposurespurposesArticle392—DefinitionofalargeexposureArticle393—CapacitytoidentifyandmanagelargeexposuresArticle394—ReportingrequirementsArticle395—LimitstolargeexposuresArticle396—CompliancewithlargeexposuresrequirementsArticle397—CalculatingadditionalownfundsrequirementsforlargeexposuresinthetradingbookArticle398—ProcedurestopreventinstitutionsfromavoidingtheadditionalownfundsrequirementArticle399—EligiblecreditmitigationtechniquesArticle400—ExemptionsArticle401—CalculatingtheeffectoftheuseofcreditriskmitigationtechniquesArticle402—ExposuresarisingfrommortgagelendingArticle403—SubstitutionapproachPARTSIX—LIQUIDITYTITLEI—DEFINITIONSANDLIQUIDITYCOVERAGEREQUIREMENTArticle411—DefinitionsArticle412—LiquiditycoveragerequirementArticle413—StableFundingArticle414—CompliancewithliquidityrequirementsTITLEII—LIQUIDITYREPORTINGArticle415—ReportingobligationandreportingformatArticle416—ReportingonliquidassetsArticle417—OperationalrequirementsforholdingsofliquidassetsArticle418—ValuationofliquidassetsArticle419—CurrencieswithconstraintsontheavailabilityofliquidassetsArticle420—LiquidityoutflowsArticle421—OutflowsonretaildepositsArticle422—OutflowsonotherliabilitiesArticle423—AdditionaloutflowsArticle424—OutflowsfromcreditandliquidityfacilitiesArticle425—InflowsArticle426—UpdatingFutureliquidityrequirementsTITLEIII—REPORTINGONSTABLEFUNDINGArticle427—ItemsprovidingstablefundingArticle428—ItemsrequiringstablefundingPARTSEVEN—LEVERAGEArticle429—CalculationoftheleverageratioArticle429a—ExposurevalueofderivativesArticle429b—Counterpartycreditriskadd-onforrepurchasetransactions,securitiesorcommoditieslendingorborrowingtransactions,longsettlementtransactionsandmarginlendingtransactionsPARTSEVENA—REPORTINGREQUIREMENTSArticle430—ReportingonprudentialrequirementsandfinancialinformationArticle430b—SpecificreportingrequirementsformarketriskArticle430c—FeasibilityreportontheintegratedreportingsystemPARTEIGHT—DISCLOSUREBYINSTITUTIONSTITLEI—GENERALPRINCIPLESArticle431—ScopeofdisclosurerequirementsArticle432—Non-material,proprietaryorconfidentialinformationArticle433—FrequencyofdisclosureArticle434—MeansofdisclosuresArticle434a—UniformdisclosureformatsTITLEII—TECHNICALCRITERIAONTRANSPARENCYANDDISCLOSUREArticle435—RiskmanagementobjectivesandpoliciesArticle436—ScopeofapplicationArticle437—OwnfundsArticle438—CapitalrequirementsArticle439—ExposuretocounterpartycreditriskArticle440—CapitalbuffersArticle441—IndicatorsofglobalsystemicimportanceArticle442—CreditriskadjustmentsArticle443—UnencumberedassetsArticle444—UseofECAIsArticle445—ExposuretomarketriskArticle446—OperationalriskArticle447—ExposuresinequitiesnotincludedinthetradingbookArticle448—ExposuretointerestrateriskonpositionsnotincludedinthetradingbookArticle449—ExposuretosecuritisationpositionsArticle450—RemunerationpolicyArticle451—LeverageTITLEIII—QUALIFYINGREQUIREMENTSFORTHEUSEOFPARTICULARINSTRUMENTSORMETHODOLOGIESArticle452—UseoftheIRBApproachtocreditriskArticle453—UseofcreditriskmitigationtechniquesArticle454—UseoftheAdvancedMeasurementApproachestooperationalriskArticle455—UseofInternalMarketRiskModelsPARTNINE—DELEGATEDANDIMPLEMENTINGACTSArticle456—DelegatedactsArticle457—TechnicaladjustmentsandcorrectionsArticle458—MacroprudentialorsystemicriskidentifiedatthelevelofaMemberStateArticle459—PrudentialrequirementsArticle460—LiquidityArticle461—Reviewofthephasing-inoftheliquiditycoveragerequirementArticle461a—AlternativestandardisedapproachformarketriskArticle462—ExerciseofthedelegationArticle463—ObjectionstoregulatorytechnicalstandardsArticle464—EuropeanBankingCommitteePARTTEN—TRANSITIONALPROVISIONS,REPORTS,REVIEWSANDAMENDMENTSTITLEI—TRANSITIONALPROVISIONSCHAPTER1—Ownfundsrequirements,unrealisedgainsandlossesmeasuredatfairvalueanddeductionsSection1—OwnfundsrequirementsArticle465—OwnfundsrequirementsArticle466—FirsttimeapplicationofInternationalFinancialReportingStandardsSection2—UnrealisedgainsandlossesmeasuredatfairvalueArticle468—TemporarytreatmentofunrealisedgainsandlossesmeasuredatfairvaluethroughothercomprehensiveincomeinviewoftheCOVID-19pandemicSection3—DeductionsSub-Section1—DeductionsfromCommonEquityTier1itemsArticle469—DeductionsfromCommonEquityTier1itemsArticle469a—DerogationfromdeductionsfromCommonEquityTier1itemsfornon-performingexposuresArticle470—ExemptionfromdeductionfromCommonEquityTier1itemsArticle471—ExemptionfromDeductionofEquityHoldingsinInsuranceCompaniesfromCommonEquityTier1ItemsArticle472—ItemsnotdeductedfromCommonEquityTier1Article473—IntroductionofamendmentstoIAS19Article473a—IntroductionofIFRS9Sub-Section2—DeductionsfromAdditionalTier1itemsArticle474—DeductionsfromAdditionalTier1itemsArticle475—ItemsnotdeductedfromAdditionalTier1itemsSub-Section3—DeductionsfromTier2itemsArticle476—DeductionsfromTier2itemsArticle477—DeductionsfromTier2itemsSub-Section4—ApplicablepercentagesfordeductionArticle478—ApplicablepercentagesfordeductionfromCommonEquityTier1,AdditionalTier1andTier2itemsSection4—minorityinterestandadditionalTier1andTier2instrumentsissuedbysubsidiariesArticle479—RecognitioninconsolidatedCommonEquityTier1capitalofinstrumentsanditemsthatdonotqualifyasminorityinterestsArticle480—RecognitioninconsolidatedownfundsofminorityinterestsandqualifyingAdditionalTier1andTier2capitalSection5—AdditionalfiltersanddeductionsArticle481—AdditionalfiltersanddeductionsArticle482—ScopeofapplicationforderivativestransactionswithpensionfundsCHAPTER2—GrandfatheringofcapitalinstrumentsSection1—InstrumentsconstitutingStateaidArticle483—GrandfatheringofStateaidinstrumentsSection2—InstrumentsnotconstitutingStateaidSub-Section1—GrandfatheringeligibilityandlimitsArticle484—EligibilityforgrandfatheringofitemsthatqualifiedasownfundsundernationaltranspositionmeasuresforDirective2006/48/ECArticle485—EligibilityforinclusionintheCommonEquityTier1ofsharepremiumaccountsrelatedtoitemsthatqualifiedasownfundsundernationaltranspositionmeasuresforDirective2006/48/ECArticle486—LimitsforgrandfatheringofitemswithinCommonEquityTier1,AdditionalTier1andTier2itemsArticle487—ItemsexcludedfromgrandfatheringinCommonEquityTier1orAdditionalTier1itemsinotherelementsofownfundsArticle488—AmortisationofitemsgrandfatheredasTier2itemsSub-Section2—InclusionofinstrumentswithacallandincentivetoredeeminadditionalTier1andTier2itemsArticle489—HybridinstrumentswithacallandincentivetoredeemArticle490—Tier2itemswithanincentivetoredeemArticle491—EffectivematurityCHAPTER3—TransitionalprovisionsfordisclosureofownfundsArticle492—DisclosureofownfundsCHAPTER4—Largeexposures,ownfundsrequirements,leverageandtheBaselIFloorArticle493—TransitionalprovisionsforlargeexposuresArticle494—TransitionalprovisionsconcerningtherequirementforownfundsandeligibleliabilitiesArticle494a—GrandfatheringofissuancesthroughspecialpurposeentitiesArticle494b—GrandfatheringofownfundsinstrumentsandeligibleliabilitiesinstrumentsArticle495—TreatmentofequityexposuresundertheIRBApproachArticle496—OwnfundsrequirementsforcoveredbondsArticle497—OwnfundsrequirementsforexposurestoCCPsArticle498—ExemptionforCommoditiesdealersArticle499—LeverageArticle500—AdjustmentformassivedisposalsArticle500a—TemporarytreatmentofpublicdebtissuedinthecurrencyofanotherMemberStateArticle500b—TemporaryexclusionofcertainexposurestocentralbanksfromthetotalexposuremeasureinviewoftheCOVID-19pandemicArticle500c—Exclusionofovershootingsfromthecalculationoftheback-testingaddendinviewoftheCOVID-19pandemicArticle500d—Temporarycalculationoftheexposurevalueofregular-waypurchasesandsalesawaitingsettlementinviewoftheCOVID-19pandemicArticle501—Adjustmentofrisk-weightednon-defaultedSMEexposuresArticle501a—Adjustmenttoownfundsrequirementsforcreditriskforexposurestoentitiesthatoperateorfinancephysicalstructuresorfacilities,systemsandnetworksthatprovideorsupportessentialpublicservicesArticle501b—DerogationfromreportingrequirementsTITLEII—REPORTSANDREVIEWSArticle501c—Prudentialtreatmentofexposuresrelatedtoenvironmentaland/orsocialobjectivesArticle502—CyclicalityofcapitalrequirementsArticle503—OwnfundsrequirementsforexposuresintheformofcoveredbondsArticle504—CapitalinstrumentssubscribedbypublicauthoritiesinemergencysituationsArticle504a—HoldingsofeligibleliabilitiesinstrumentsArticle505—Reviewoflong-termfinancingArticle506—Creditrisk—definitionofdefaultArticle507—LargeexposuresArticle508—LevelofapplicationArticle509—LiquidityrequirementsArticle510—NetStableFundingRequirementsArticle511—LeverageArticle512—ExposurestotransferredcreditriskArticle513—MacroprudentialrulesArticle514—MethodforthecalculationoftheexposurevalueofderivativetransactionsArticle515—MonitoringandevaluationArticle516—Long-termfinancingArticle517—DefinitionofeligiblecapitalArticle518—Reviewofcapitalinstrumentswhichmaybewrittendownorconvertedatthepointofnon-viabilityArticle518a—Reviewofcross-defaultprovisionsArticle518b—ReportonovershootingsandsupervisorypowerstolimitdistributionsArticle519—DeductionofdefinedbenefitpensionfundassetsfromCommonEquityTier1itemsArticle519a—ReportingandreviewArticle519b—OwnfundsrequirementsformarketriskTITLEIIA—IMPLEMENTATIONOFRULESArticle519c—CompliancetoolTITLEIII—AMENDMENTSArticle520—AmendmentofRegulation(EU)No648/2012PARTELEVEN—FINALPROVISIONSArticle521—EntryintoforceanddateofapplicationFinalANNEXI—Classificationofoff-balancesheetitemsANNEXII—TypesofderivativesANNEXIII—ItemssubjecttosupplementaryreportingofliquidassetsANNEXIV—Correlationtable Timeline Publishedon:June27th2013 Inforcesince:June28th2013 Passedby CounciloftheEuropeanUnionEuropeanParliament Basedon: TFEU Correctedby: Corrigendum(01) Corrigendum(04) Corrigendum(02) Amendedby: Corrigendum32019R2033R(05) Regulation(EU)2017/2395 Regulation(EU)2017/2401 Regulation(EU)2018/405 Corrigendum32019R0630R(02) Regulation(EU)2017/2188 Regulation(EU)2019/2033 Regulation(EU)2019/876 Regulation(EU)2016/1014 Regulation(EU)2019/2160 Regulation(EU)2020/873 Regulation(EU)2015/62 Regulation(EU)2019/630 Completedby: Regulation(EU)2017/1230 Regulation(EU)2017/72 Regulation(EU)2017/208 Regulation(EU)2018/959 Regulation(EU)2017/2295 Regulation(EU)2018/171 Regulation(EU)2018/728 Amends: Regulation(EU)No648/2012 Cites: Regulation(EU)No236/2012 Regulation(EC)No1606/2002 Regulation(EU)2017/2402 Directive2001/34/EC Directive2006/49/EC Directive2014/49/EU Regulation(EC)No1060/2009 Regulation(EU)No806/2014 Directive2001/24/EC Directive87/102/EEC Directive2002/87/EC Directive2009/111/EC Regulation(EC)No1745/2003 Directive2002/65/EC Directive2011/61/EU Regulation(EU)No1093/2010 Directive2003/41/EC Directive2009/138/EC Regulation(EU)No1205/2011 Directive2006/43/EC Directive2006/48/EC Regulation(EU)No182/2011 Directive2012/30/EU Directive2007/36/EC Directive2013/36/EU Directive98/26/EC Decision2009/937 Regulation(EC)No1126/2008 Regulation(EU)No646/2012 Decision2004/10 Directive2011/35/EU Directive2009/65/EC Directive93/6/EEC Regulation(EU)No909/2014 Directive2005/56/EC Regulation(EU)No1024/2013 Regulation(EU)No1095/2010 Directive2008/48/EC Directive2004/39/EC Regulation(EC)No1093/2002 Regulation(EU)No1094/2010 Regulation(EU)No1092/2010 Directive(EU)2015/2366 Directive2004/109/EC Directive2014/65/EU Regulation(EU)2016/679 Directive(EU)2019/2034 Directive2000/12/EC Directive82/891/EEC Directive94/19/EC Regulation(EU)No680/2014 Directive(EU)2019/2162 Directive2009/110/EC Directive85/611/EEC Regulation(EU)No600/2014 Directive2013/34/EU Directive2007/64/EC Directive78/660/EEC Directive2002/92/EC Directive95/46/EC Directive83/349/EEC Directive93/22/EEC Regulation(EC)No45/2001 Directive86/635/EEC Directive2004/25/EC Directive2014/59/EU Directive2002/47/EC Citedby: Regulation(EU)No183/2014 Regulation(EU)No1072/2013 Regulation(EU)No710/2014 Regulation(EU)2020/744 Regulation(EU)2015/79 Regulation(EU)No1024/2013 Regulation(EU)2018/990 Regulation(EU)2017/565 Regulation(EU)2016/861 Regulation(EU)2015/850 Regulation(EU)2015/488 Regulation(EU)2019/1238 Decision2014/660 Regulation(EU)2016/2070 Directive2009/65/EC Regulation(EU)2015/923 Regulation(EU)2019/2091 Regulation(EU)No1011/2012 Decision(EU)2016/2358 Directive(EU)2019/1937 Directive(EU)2017/2399 Regulation(EU)2015/942 Regulation(EU)No537/2014 Regulation(EU)2019/1868 Regulation(EU)2018/1624 Regulation(EU)No909/2014 Regulation(EU)2016/322 Regulation(EU)2016/1075 Regulation(EU)2016/962 Regulation(EU)2016/778 Regulation(EU)2019/2176 Regulation(EU)No1409/2013 Regulation(EU)No625/2014 Regulation(EU)No1092/2010 Regulation(EU)2016/1799 Regulation(EU)2017/1443 Regulation(EU)2018/1221 Regulation(EU)No1187/2014 Regulation(EU)2016/451 Regulation(EU)2016/467 Regulation(EU)2015/1555 Regulation(EU)2015/534 Regulation(EU)2016/1178 Regulation(EU)2016/1434 Regulation(EU)2016/818 Regulation(EU)2019/113 Regulation(EU)No620/2014 Regulation(EU)No342/2014 Regulation(EU)2017/867 Decision(EU)2016/230 Regulation(EU)2017/2402 Regulation(EU)No602/2014 Regulation(EU)No655/2014 Regulation(EU)No1333/2014 Decision(EU)2015/218 Regulation(EU)2015/2 Regulation(EU)No1423/2013 Regulation(EU)2015/1278 Regulation(EU)2017/2241 Regulation(EU)2018/634 Directive2013/36/EU Regulation(EU)2016/100 Regulation(EU)2016/1450 Regulation(EU)2016/1702 Decision(EU)2016/153 Regulation(EU)No527/2014 Regulation(EU)2018/1580 Regulation(EU)2016/867 Regulation(EU)2016/313 Regulation(EU)No1071/2013 Regulation(EU)2015/2326 Regulation(EU)2016/1011 Directive(EU)2019/879 Regulation(EU)2016/99 Regulation(EU)No526/2014 Regulation(EU)2017/579 Regulation(EU)No1074/2013 Directive2001/24/EC Regulation(EU)2019/981 Regulation(EU)No604/2014 Decision(EU)2019/2158 Regulation(EU)2017/1129 Regulation(EU)No523/2014 Directive2014/17/EU Regulation(EU)No591/2014 Regulation(EU)2020/605 Regulation(EU)2015/233 Regulation(EU)2015/585 Regulation(EU)2017/1509 Decision(EU)2019/1376 Regulation(EU)2018/1620 Regulation(EU)No926/2014 Regulation(EU)No1031/2010 Regulation(EU)No806/2014 Regulation(EU)2017/1131 Regulation(EU)2018/1889 Directive(EU)2015/849 Regulation(EU)2015/2205 Regulation(EU)2020/1304 Decision(EU)2015/529 Regulation(EU)2019/348 Regulation(EU)2016/1800 Regulation(EU)No1303/2013 Regulation(EU)2015/1 Regulation(EU)No285/2014 Decision(EU)2015/929 Directive(EU)2016/1148 Regulation(EU)2016/1801 Decision2014/535 Regulation(EU)2019/2155 Regulation(EU)No680/2014 Regulation(EU)No1222/2014 Regulation(EU)No241/2014 Regulation(EU)2016/709 Regulation(EU)No945/2014 Regulation(EU)2016/892 Regulation(EU)2017/392 Regulation(EU)2019/912 Regulation(EU)2017/653 Directive2014/49/EU Regulation(EU)2015/760 Decision2007/7 Regulation(EU)2015/35 Directive2014/59/EU Directive(EU)2019/878 Decision(EU)2015/774 Regulation(EU)2016/98 Regulation(EU)No650/2014 Regulation(EU)2015/2197 Regulation(EU)No468/2014 Regulation(EU)2016/428 Regulation(EU)2017/2114 Directive2014/92/EU Regulation(EU)2015/227 Regulation(EU)2019/2028 Regulation(EU)2016/1646 Regulation(EU)2015/81 Directive(EU)2016/97 Regulation(EU)No1093/2010 Regulation(EU)No1030/2014 Regulation(EU)2018/308 Decision(EU)2015/2363 Directive2014/51/EU Regulation(EU)2015/2344 Decision(EU)2020/187 Regulation(EU)2015/2452 Regulation(EU)2017/747 Regulation(EU)2015/880 Regulation(EU)No525/2014 Regulation(EU)2017/2094 Regulation(EU)2015/1556 Decision(EU)2015/530 Regulation(EU)No530/2014 Regulation(EU)2018/1845 Regulation(EU)No528/2014 Directive2007/36/EC Directive2014/65/EU Directive2014/91/EU Regulation(EU)2015/61 Regulation2014/795 Regulation(EU)2019/834 Directive(EU)2019/1023 Regulation(EU)2015/2450 Regulation(EU)2015/63 Regulation(EU)2015/1798 Decision(EU)2019/322 Decision(EU)2020/188 Regulation(EU)2017/1538 Regulation(EU)2020/125 Decision(EU)2020/1306 Regulation(EU)2016/2251 Regulation(EU)2016/101 Regulation(EU)2016/438 Regulation(EU)No575/2013 Regulation(EU)No1317/2014 Regulation(EU)2016/445 Regulation(EU)2016/200 Regulation(EU)2017/954 Regulation(EU)2018/1844 Regulation(EU)2015/3 Regulation(EU)2018/1627 Regulation(EU)2017/389 Regulation(EU)2020/1226 Decision(EU)2015/656 Decision(EU)2015/2218 Regulation(EU)2017/180 Regulation(EU)2016/1384 Directive2002/87/EC Directive(EU)2019/2162 Regulation(EU)No258/2014 Regulation(EU)No1022/2013 Decision(EU)2019/2166 Regulation(EU)No524/2014 Regulation(EU)2018/708 Regulation(EU)2019/2175 Regulation(EU)2016/1401 Regulation(EU)2017/1943 Regulation(EU)No596/2014 Regulation(EU)No484/2014 Regulation(EU)2020/1224 Decision(EU)2019/536 Regulation(EU)2019/877 Regulation(EU)No1152/2014 Decision(EU)2016/948 Regulation(EU)2017/390 Regulation(EU)No1163/2014 Directive(EU)2015/2366 Directive(EU)2019/2034 Regulation(EU)2016/1066 Decision(EU)2017/1493 Decision(EU)2019/483 Regulation(EU)2018/815 Directive2009/138/EC Regulation(EU)2020/866 Regulation(EU)No600/2014 Regulation(EU)2019/1851 Regulation(EU)No529/2014 Regulation(EU)2016/2227 Regulation(EU)2016/2283 Topics private-sectorliquiditycreditinstitutionfinancialcontrolfinanciallegislationbankingpolicymarketsupervisiontradeinformationinvestmentcompany Lexparency.org lexp Languages Deutsch Español Regulation(EU)No575/2013 (CRR) Status  CapitalRequirementsRegulation (CRR) Article352 gotoarticle Version  Article352 —Calculationoftheoverallnetforeignexchangeposition Theinstitution'snetopenpositionineachcurrency(includingthereportingcurrency)andingoldshallbecalculatedasthesumofthefollowingelements(positiveornegative):thenetspotposition(i.e.allassetitemslessallliabilityitems,includingaccruedinterest,inthecurrencyinquestionor,forgold,thenetspotpositioningold);thenetforwardposition,whichareallamountstobereceivedlessallamountstobepaidunderforwardexchangeandgoldtransactions,includingcurrencyandgoldfuturesandtheprincipaloncurrencyswapsnotincludedinthespotposition;irrevocableguaranteesandsimilarinstrumentsthatarecertaintobecalledandlikelytobeirrecoverable;thenetdelta,ordelta-based,equivalentofthetotalbookofforeign-currencyandgoldoptions;themarketvalueofotheroptions.Thedeltausedforpurposesofpoint(d)shallbethatoftheexchangeconcerned.ForOTCoptions,orwheredeltaisnotavailablefromtheexchangeconcerned,theinstitutionmaycalculatedeltaitselfusinganappropriatemodel,subjecttopermissionbythecompetentauthorities.Permissionshallbegrantedifthemodelappropriatelyestimatestherateofchangeoftheoption'sorwarrant'svaluewithrespecttosmallchangesinthemarketpriceoftheunderlying.Theinstitutionmayincludenetfutureincome/expensesnotyetaccruedbutalreadyfullyhedgedifitdoessoconsistently.Theinstitutionmaybreakdownnetpositionsincompositecurrenciesintothecomponentcurrenciesinaccordancewiththequotasinforce.AnypositionswhichaninstitutionhasdeliberatelytakeninordertohedgeagainsttheadverseeffectoftheexchangerateonitsratiosinaccordancewithArticle92(1)may,subjecttopermissionbythecompetentauthorities,beexcludedfromthecalculationofnetopencurrencypositions.Suchpositionsshallbeofanon-tradingorstructuralnatureandanyvariationofthetermsoftheirexclusion,subjecttoseparatepermissionbythecompetentauthorities.Thesametreatmentsubjecttothesameconditionsmaybeappliedtopositionswhichaninstitutionhaswhichrelatetoitemsthatarealreadydeductedinthecalculationofownfunds.Aninstitutionmayusethenetpresentvaluewhencalculatingthenetopenpositionineachcurrencyandingoldprovidedthattheinstitutionappliesthisapproachconsistently.Netshortandlongpositionsineachcurrencyotherthanthereportingcurrencyandthenetlongorshortpositioningoldshallbeconvertedatspotratesintothereportingcurrency.Theyshallthenbesummedseparatelytoformthetotalofthenetshortpositionsandthetotalofthenetlongpositionsrespectively.Thehigherofthesetwototalsshallbetheinstitution'soverallnetforeign-exchangeposition.Institutionsshalladequatelyreflectotherrisksassociatedwithoptions,apartfromthedeltarisk,intheownfundsrequirements.EBAshalldevelopdraftregulatorytechnicalstandardsdefiningarangeofmethodstoreflectintheownfundsrequirementsotherrisks,apartfromdeltarisk,inamannerproportionatetothescaleandcomplexityofinstitutions'activitiesinoptions.EBAshallsubmitthosedraftregulatorytechnicalstandardstotheCommissionby31December2013.PowerisdelegatedtotheCommissiontoadopttheregulatorytechnicalstandardsreferredtointhefirstsubparagraphinaccordancewithArticles10to14ofRegulation(EU)No1093/2010.Beforetheentryintoforceofthetechnicalstandardsreferredtointhefirstsubparagraph,competentauthoritiesmaycontinuetoapplytheexistingnationaltreatments,wherethecompetentauthoritieshaveappliedthosetreatmentsbefore31December2013. 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