Regulation (EU) No 575/2013 of the ... - Legislation.gov.uk

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 ... SkiptomaincontentSkiptonavigationlegislation.gov.ukhttp://www.nationalarchives.gov.ukCymraegHomeBrowseLegislationNewLegislationCoronavirusLegislationChangesToLegislationSearchLegislationSearchLegislationTitle:(orkeywordsinthetitle)Year:Number:Type:AllUKLegislation(excludingoriginatingfromtheEU)--------------------------------------------AllLegislation(includingoriginatingfromtheEU)--------------------------------------------AllPrimaryLegislation    UKPublicGeneralActs    UKLocalActs    ActsoftheScottishParliament    ActsofSeneddCymru    ActsoftheNationalAssemblyforWales    MeasuresoftheNationalAssemblyforWales    ChurchMeasures    ActsoftheNorthernIrelandAssembly    ActsoftheOldScottishParliament    ActsoftheEnglishParliament    ActsoftheOldIrishParliament    ActsoftheParliamentofGreatBritain    NorthernIrelandOrdersinCouncil    MeasuresoftheNorthernIrelandAssembly    ActsoftheNorthernIrelandParliament--------------------------------------------AllSecondaryLegislation    UKStatutoryInstruments    WalesStatutoryInstruments    ScottishStatutoryInstruments    NorthernIrelandStatutoryRules    ChurchInstruments    UKMinisterialDirections    UKMinisterialOrders    UKStatutoryRulesandOrders    NorthernIrelandStatutoryRulesandOrders--------------------------------------------AllLegislationoriginatingfromtheEU    RegulationsoriginatingfromtheEU    DecisionsoriginatingfromtheEU    DirectivesoriginatingfromtheEU    EuropeanUnionTreaties--------------------------------------------AllDraftLegislation    UKDraftStatutoryInstruments    ScottishDraftStatutoryInstruments    NorthernIrelandDraftStatutoryRules--------------------------------------------AllImpactAssessments    UKImpactAssessmentsSearchAdvancedSearchRegulation(EU)No575/2013oftheEuropeanParliamentandoftheCouncilShowfulltitleRegulation(EU)No575/2013oftheEuropeanParliamentandoftheCouncilof26June2013onprudentialrequirementsforcreditinstitutionsandinvestmentfirmsandamendingRegulation(EU)No648/2012(TextwithEEArelevance)Youarehere:RegulationsoriginatingfromtheEU2013 No.575TableofcontentsTableofContentsContentMoreResourcesPlainViewPrintOptionsWhatVersionLatestavailable(Revised)Original(AsadoptedbyEU)OpeningOptionsOpenwholeRegulationOpenRegulationwithoutAnnexesOpenAnnexesonlyMoreResourcesEUOfficialJournalVersionCorrigendum25/01/2017Corrigendum30/11/2013Corrigendum02/08/2013RevisedversionPDFsRevised28/06/20235.43MBRevised28/12/20205.48MBRevised27/06/20205.43MBRevised25/12/20194.80MBRevised27/06/20194.80MBRevised26/04/20194.04MBRevised01/01/20193.86MBRevised01/01/20183.84MBRevised19/07/20163.26MBRevised18/01/20153.82MBRevised28/06/20133.79MBThisisaRegulationoriginatingfromtheEUSeetheEUversionofthislegislationonEUR-LexSeeanarchivedversionfromEUR-LexinthewebarchiveThisisalegislationitemthatoriginatedfromtheEUAfterexitdaytherewillbethreeversionsofthislegislationtoconsultfordifferentpurposes.Thelegislation.gov.ukversionistheversionthatappliesintheUK.TheEUVersioncurrentlyonEUR-lexistheversionthatcurrentlyappliesintheEUi.eyoumayneedthisifyouoperateabusinessintheEU.Thewebarchiveversionistheofficialversionofthislegislationitemasitstoodonexitdaybeforebeingpublishedtolegislation.gov.ukandanysubsequentUKchangesandeffectsapplied.ThewebarchivealsocapturedassociatedcaselawandotherlanguageformatsfromEUR-Lex.Changestolegislation:ThereareoutstandingchangesnotyetmadetoRegulation(EU)No575/2013oftheEuropeanParliamentandoftheCouncil.ThosechangeswillbelistedwhenyouopenthecontentusingtheTableofContentsbelow.Anychangesthathavealreadybeenmadetothelegislationappearinthecontentandarereferencedwithannotations.ChangestoLegislationRevisedlegislationcarriedonthissitemaynotbefullyuptodate.Changesandeffectsarerecordedbyoureditorialteaminlistswhichcanbefoundinthe‘ChangestoLegislation’area.WherethoseeffectshaveyettobeappliedtothetextofthelegislationbytheeditorialteamtheyarealsolistedalongsidetheaffectedprovisionswhenyouopenthecontentusingtheTableofContentsbelow.IntroductoryTextPARTONEGENERALPROVISIONSTITLEISUBJECTMATTER,SCOPEANDDEFINITIONSArticle 1.ScopeArticle 2.SupervisorypowersArticle3.ApplicationofstricterrequirementsbyinstitutionsArticle4.DefinitionsArticle5.DefinitionsspecifictocapitalrequirementsforcreditriskTITLEIILEVELOFAPPLICATIONOFREQUIREMENTSCHAPTER1ApplicationofrequirementsonanindividualbasisArticle6.GeneralprinciplesArticle7.DerogationfromtheapplicationofprudentialrequirementsonanindividualbasisArticle8.DerogationfromtheapplicationofliquidityrequirementsonanindividualbasisArticle9.IndividualconsolidationmethodArticle10.WaiverforcreditinstitutionspermanentlyaffiliatedtoacentralbodyCHAPTER2PrudentialconsolidationSection1ApplicationofrequirementsonaconsolidatedbasisArticle11.GeneraltreatmentArticle12.FinancialholdingcompanyormixedfinancialholdingcompanywithbothasubsidiarycreditinstitutionandasubsidiaryinvestmentfirmArticle 12a.ConsolidatedcalculationforG-SIIswithmultipleresolutionentitiesArticle 13.ApplicationofdisclosurerequirementsonaconsolidatedbasisArticle 14.ApplicationofrequirementsofArticle 5ofRegulation(EU) 2017/2402onaconsolidatedbasisArticle15.DerogationfromtheapplicationofownfundsrequirementsonaconsolidatedbasisforgroupsofinvestmentfirmsArticle16.DerogationfromtheapplicationoftheleverageratiorequirementsonaconsolidatedbasisforgroupsofinvestmentfirmsArticle17.SupervisionofinvestmentfirmswaivedfromtheapplicationofownfundsrequirementsonaconsolidatedbasisSection2MethodsforprudentialconsolidationArticle 18.MethodsofprudentialconsolidationSection3ScopeofprudentialconsolidationArticle19.EntitiesexcludedfromthescopeofprudentialconsolidationArticle20.JointdecisionsonprudentialrequirementsArticle21.JointdecisionsonthelevelofapplicationofliquidityrequirementsArticle22.Sub-consolidationincasesofentitiesinthirdcountriesArticle23.UndertakingsinthirdcountriesArticle24.Valuationofassetsandoff-balancesheetitemsPARTTWOOWNFUNDSANDELIGIBLELIABILITIESTITLEIELEMENTSOFOWNFUNDSCHAPTER1Tier1capitalArticle25.Tier1capitalCHAPTER2CommonEquityTier1capitalSection1CommonEquityTier1itemsandinstrumentsArticle26.CommonEquityTier1itemsArticle27.Capitalinstrumentsofmutuals,cooperativesocieties,savingsinstitutionsorsimilarinstitutionsinCommonEquityTier1itemsArticle28.CommonEquityTier1instrumentsArticle29.Capitalinstrumentsissuedbymutuals,cooperativesocieties,savingsinstitutionsandsimilarinstitutionsArticle30.ConsequencesoftheconditionsforCommonEquityTier1instrumentsceasingtobemetArticle31.CapitalinstrumentssubscribedbypublicauthoritiesinemergencysituationsSection2PrudentialfiltersArticle32.SecuritisedassetsArticle33.CashflowhedgesandchangesinthevalueofownliabilitiesArticle34.AdditionalvalueadjustmentsArticle35.UnrealisedgainsandlossesmeasuredatfairvalueSection3DeductionsfromCommonEquityTier1items,exemptionsandalternativesSub-Section1DeductionsfromCommonEquityTier1itemsArticle36.DeductionsfromCommonEquityTier1itemsArticle37.DeductionofintangibleassetsArticle38.DeductionofdeferredtaxassetsthatrelyonfutureprofitabilityArticle39.Taxoverpayments,taxlosscarrybacksanddeferredtaxassetsthatdonotrelyonfutureprofitabilityArticle40.DeductionofnegativeamountsresultingfromthecalculationofexpectedlossamountsArticle41.DeductionofdefinedbenefitpensionfundassetsArticle42.DeductionofholdingsofownCommonEquityTier1instrumentsArticle43.SignificantinvestmentinafinancialsectorentityArticle44.DeductionofholdingsofCommonEquityTier1instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfundsArticle45.DeductionofholdingsofCommonEquityTier1instrumentsoffinancialsectorentitiesArticle46.DeductionofholdingsofCommonEquityTier1instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinafinancialsectorentityArticle47.DeductionofholdingsofCommonEquityTier1instrumentswhereaninstitutionhasasignificantinvestmentinafinancialsectorentityArticle47a.Non-performingexposuresArticle47b.ForbearancemeasuresArticle47c.Deductionfornon-performingexposuresSub-Section2ExemptionsfromandalternativestodeductionfromCommonEquityTier1itemsArticle48.ThresholdexemptionsfromdeductionfromCommonEquityTier1itemsArticle49.Requirementfordeductionwhereconsolidation,supplementarysupervisionorinstitutionalprotectionschemesareappliedSection4CommonEquityTier1capitalArticle50.CommonEquityTier1capitalCHAPTER3AdditionalTier1capitalSection1AdditionalTier1itemsandinstrumentsArticle51.AdditionalTier1itemsArticle52.AdditionalTier1instrumentsArticle53.RestrictionsonthecancellationofdistributionsonAdditionalTier1instrumentsandfeaturesthatcouldhindertherecapitalisationoftheinstitutionArticle54.WritedownorconversionofAdditionalTier1instrumentsArticle55.ConsequencesoftheconditionsforAdditionalTier1instrumentsceasingtobemetSection2DeductionsfromAdditionalTier1itemsArticle56.DeductionsfromAdditionalTier1itemsArticle57.DeductionsofholdingsofownAdditionalTier1instrumentsArticle58.DeductionofholdingsofAdditionalTier1instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfundsArticle59.DeductionofholdingsofAdditionalTier1instrumentsoffinancialsectorentitiesArticle60.DeductionofholdingsofAdditionalTier1instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinafinancialsectorentitySection3AdditionalTier1capitalArticle61.AdditionalTier1capitalCHAPTER4Tier2capitalSection1Tier2itemsandinstrumentsArticle62.Tier2itemsArticle63.Tier2instrumentsArticle 64.AmortisationofTier 2instrumentsArticle65.ConsequencesoftheconditionsforTier2instrumentsceasingtobemetSection2DeductionsfromTier2itemsArticle66.DeductionsfromTier2itemsArticle67.DeductionsofholdingsofownTier2instrumentsArticle68.DeductionofholdingsofTier2instrumentsoffinancialsectorentitiesandwhereaninstitutionhasareciprocalcrossholdingdesignedartificiallytoinflateownfundsArticle69.DeductionofholdingsofTier2instrumentsoffinancialsectorentitiesArticle70.DeductionofTier2instrumentswhereaninstitutiondoesnothaveasignificantinvestmentinarelevantentitySection3Tier2capitalArticle71.Tier2capitalCHAPTER5OwnfundsArticle72.OwnfundsCHAPTER 5aEligibleliabilitiesSection 1EligibleliabilitiesitemsandinstrumentsArticle 72a.EligibleliabilitiesitemsArticle 72b.EligibleliabilitiesinstrumentsArticle 72c.AmortisationofeligibleliabilitiesinstrumentsArticle 72d.ConsequencesoftheeligibilityconditionsceasingtobemetSection 2DeductionsfromeligibleliabilitiesitemsArticle 72e.DeductionsfromeligibleliabilitiesitemsArticle 72f.DeductionofholdingsofowneligibleliabilitiesinstrumentsArticle 72g.DeductionbaseforeligibleliabilitiesitemsArticle 72h.DeductionofholdingsofeligibleliabilitiesofotherG-SIIentitiesArticle 72i.DeductionofeligibleliabilitieswheretheinstitutiondoesnothaveasignificantinvestmentinG-SIIentitiesArticle 72j.TradingbookexceptionfromdeductionsfromeligibleliabilitiesitemsSection 3OwnfundsandeligibleliabilitiesArticle 72k.EligibleliabilitiesArticle 72l.OwnfundsandeligibleliabilitiesCHAPTER6GeneralrequirementsforownfundsandeligibleliabilitiesArticle73.DistributionsoninstrumentsArticle74.HoldingsofcapitalinstrumentsissuedbyregulatedfinancialsectorentitiesthatdonotqualifyasregulatorycapitalArticle75.DeductionandmaturityrequirementsforshortpositionsArticle76.IndexholdingsofcapitalinstrumentsArticle 77.ConditionsforreducingownfundsandeligibleliabilitiesArticle 78.SupervisorypermissiontoreduceownfundsArticle 78a.PermissiontoreduceeligibleliabilitiesinstrumentsArticle79.TemporarywaiverfromdeductionfromownfundsandeligibleliabilitiesArticle 79a.AssessmentofcompliancewiththeconditionsforownfundsandeligibleliabilitiesinstrumentsArticle80.ContinuingreviewofthequalityofownfundsandeligibleliabilitiesinstrumentsTITLEIIMINORITYINTERESTANDADDITIONALTIER1ANDTIER2INSTRUMENTSISSUEDBYSUBSIDIARIESArticle81.MinorityintereststhatqualifyforinclusioninconsolidatedCommonEquityTier1capitalArticle 82.QualifyingAdditionalTier 1,Tier 1,Tier 2capitalandqualifyingownfundsArticle83.QualifyingAdditionalTier1andTier2capitalissuedbyaspecialpurposeentityArticle84.MinorityinterestsincludedinconsolidatedCommonEquityTier1capitalArticle85.QualifyingTier1instrumentsincludedinconsolidatedTier1capitalArticle86.QualifyingTier1capitalincludedinconsolidatedAdditionalTier1capitalArticle87.QualifyingownfundsincludedinconsolidatedownfundsArticle88.QualifyingownfundsinstrumentsincludedinconsolidatedTier2capitalTITLEIIIQUALIFYINGHOLDINGSOUTSIDETHEFINANCIALSECTORArticle89.RiskweightingandprohibitionofqualifyingholdingsoutsidethefinancialsectorArticle90.Alternativeto1250 %riskweightArticle91.ExceptionsPARTTHREECAPITALREQUIREMENTSTITLEIGENERALREQUIREMENTS,VALUATIONANDREPORTINGCHAPTER1RequiredlevelofownfundsSection1OwnfundsrequirementsforinstitutionsArticle92.OwnfundsrequirementsArticle 92a.RequirementsforownfundsandeligibleliabilitiesforG-SIIsArticle 92b.Requirementforownfundsandeligibleliabilitiesfornon-EUG-SIIsArticle93.InitialcapitalrequirementongoingconcernArticle94.DerogationforsmalltradingbookbusinessSection2OwnfundsrequirementsforinvestmentfirmswithlimitedauthorisationtoprovideinvestmentservicesArticle95.OwnfundsrequirementsforinvestmentfirmswithlimitedauthorisationtoprovideinvestmentservicesArticle96.OwnfundsrequirementsforinvestmentfirmswhichholdinitialcapitalaslaiddowninArticle28(2)ofDirective2013/36/EUArticle97.OwnFundsbasedonFixedOverheadsArticle98.OwnfundsforinvestmentfirmsonaconsolidatedbasisCHAPTER2CalculationandreportingrequirementsArticle99.ReportingonownfundsrequirementsandfinancialinformationArticle100.AdditionalreportingrequirementsArticle101.SpecificreportingobligationsCHAPTER3TradingbookArticle102.RequirementsforthetradingbookArticle103.ManagementofthetradingbookArticle104.InclusioninthetradingbookArticle 104b.RequirementsfortradingdeskArticle105.RequirementsforprudentvaluationArticle106.InternalHedgesTITLEIICAPITALREQUIREMENTSFORCREDITRISKCHAPTER1GeneralprinciplesArticle107.ApproachestocreditriskArticle108.UseofcreditriskmitigationtechniqueundertheStandardisedApproachandtheIRBApproachArticle109.TreatmentofsecuritisationpositionsArticle110.TreatmentofcreditriskadjustmentCHAPTER2StandardisedapproachSection1GeneralprinciplesArticle111.ExposurevalueArticle112.ExposureclassesArticle113.Calculationofrisk-weightedexposureamountsSection2RiskweightsArticle114.ExposurestocentralgovernmentsorcentralbanksArticle115.ExposurestoregionalgovernmentsorlocalauthoritiesArticle116.ExposurestopublicsectorentitiesArticle117.ExposurestomultilateraldevelopmentbanksArticle118.ExposurestointernationalorganisationsArticle119.ExposurestoinstitutionsArticle120.ExposurestoratedinstitutionsArticle121.ExposurestounratedinstitutionsArticle122.ExposurestocorporatesArticle123.RetailexposuresArticle124.ExposuressecuredbymortgagesonimmovablepropertyArticle125.ExposuresfullyandcompletelysecuredbymortgagesonresidentialpropertyArticle126.ExposuresfullyandcompletelysecuredbymortgagesoncommercialimmovablepropertyArticle127.ExposuresindefaultArticle128.ItemsassociatedwithparticularhighriskArticle129.ExposuresintheformofcoveredbondsArticle130.ItemsrepresentingsecuritisationpositionsArticle131.Exposurestoinstitutionsandcorporateswithashort-termcreditassessmentArticle132.ExposuresintheformofunitsorsharesinCIUsArticle 132a.Approachesforcalculatingrisk-weightedexposureamountsofCIUsArticle133.EquityexposuresArticle134.OtheritemsSection3RecognitionandmappingofcreditriskassessmentSub-Section1RecognitionofECAIsArticle135.UseofcreditassessmentsbyECAIsSub-Section2MappingofECAI'screditassessmentsArticle136.MappingofECAI'screditassessmentsSub-Section3UseofcreditassessmentsbyExportCreditAgenciesArticle137.UseofcreditassessmentsbyexportcreditagenciesSection4UseoftheECAIcreditassessmentsforthedeterminationofriskweightsArticle138.GeneralrequirementsArticle139.IssuerandissuecreditassessmentArticle140.Long-termandshort-termcreditassessmentsArticle141.DomesticandforeigncurrencyitemsCHAPTER3InternalRatingsBasedApproachSection1PermissionbycompetentauthoritiestousetheIRBapproachArticle142.DefinitionsArticle143.PermissiontousetheIRBApproachArticle144.Competentauthorities'assessmentofanapplicationtouseanIRBApproachArticle145.PriorexperienceofusingIRBapproachesArticle146.MeasurestobetakenwheretherequirementsofthisChapterceasetobemetArticle147.MethodologytoassignexposurestoexposureclassesArticle148.ConditionsforimplementingtheIRBApproachacrossdifferentclassesofexposureandbusinessunitsArticle149.ConditionstoreverttotheuseoflesssophisticatedapproachesArticle150.ConditionsforpermanentpartialuseSection2Calculationofrisk-weightedexposureamountsSub-Section1TreatmentbytypeofexposureclassArticle151.TreatmentbyexposureclassArticle152.TreatmentofexposuresintheformofunitsorsharesinCIUsSub-Section2Calculationofrisk-weightedexposureamountsforcreditriskArticle153.Risk-weightedexposureamountsforexposurestocorporates,institutionsandcentralgovernmentsandcentralbanksArticle154.Risk-weightedexposureamountsforretailexposuresArticle155.Risk-weightedexposureamountsforequityexposuresArticle156.Risk-weightedexposureamountsforothernoncredit-obligationassetsSub-Section3Calculationofrisk-weightedexposureamountsfordilutionriskofpurchasedreceivablesArticle157.Risk-weightedexposureamountsfordilutionriskofpurchasedreceivablesSection3ExpectedlossamountsArticle158.TreatmentbyexposuretypeArticle159.TreatmentofexpectedlossamountsSection4PD,LGDandmaturitySub-Section1Exposurestocorporates,institutionsandcentralgovernmentsandcentralbanksArticle160.Probabilityofdefault(PD)Article161.LossGivenDefault(LGD)Article162.MaturitySub-Section2RetailexposuresArticle163.Probabilityofdefault(PD)Article164.LossGivenDefault(LGD)Sub-Section3EquityexposuressubjecttoPD/LGDmethodArticle165.EquityexposuressubjecttothePD/LGDmethodSection5ExposurevalueArticle166.Exposurestocorporates,institutions,centralgovernmentsandcentralbanksandretailexposuresArticle167.EquityexposuresArticle168.Othernoncredit-obligationassetsSection6RequirementsfortheIRBapproachSub-Section1RatingsystemsArticle169.GeneralprinciplesArticle170.StructureofratingsystemsArticle171.AssignmenttogradesorpoolsArticle172.AssignmentofexposuresArticle173.IntegrityofassignmentprocessArticle174.UseofmodelsArticle175.DocumentationofratingsystemsArticle176.DatamaintenanceArticle177.StresstestsusedinassessmentofcapitaladequacySub-Section2RiskquantificationArticle178.DefaultofanobligorArticle179.OverallrequirementsforestimationArticle180.RequirementsspecifictoPDestimationArticle181.Requirementsspecifictoown-LGDestimatesArticle182.Requirementsspecifictoown-conversionfactorestimatesArticle183.Requirementsforassessingtheeffectofguaranteesandcreditderivativesforexposurestocorporates,institutionsandcentralgovernmentsandcentralbankswhereownestimatesofLGDareusedandforretailexposuresArticle184.RequirementsforpurchasedreceivablesSub-Section3ValidationofinternalestimatesArticle185.ValidationofinternalestimatesSub-Section4RequirementsforequityexposuresundertheinternalmodelsapproachArticle186.OwnfundsrequirementandriskquantificationArticle187.RiskmanagementprocessandcontrolsArticle188.ValidationanddocumentationSub-Section5InternalgovernanceandoversightArticle189.CorporateGovernanceArticle190.CreditriskcontrolArticle191.InternalAuditCHAPTER4CreditriskmitigationSection1DefinitionsandgeneralrequirementsArticle192.DefinitionsArticle193.PrinciplesforrecognisingtheeffectofcreditriskmitigationtechniquesArticle194.PrinciplesgoverningtheeligibilityofcreditriskmitigationtechniquesSection2EligibleformsofcreditriskmitigationSub-Section1FundedcreditprotectionArticle195.On-balancesheetnettingArticle196.Masternettingagreementscoveringrepurchasetransactionsorsecuritiesorcommoditieslendingorborrowingtransactionsorothercapitalmarket-driventransactionsArticle197.EligibilityofcollateralunderallapproachesandmethodsArticle198.AdditionaleligibilityofcollateralundertheFinancialCollateralComprehensiveMethodArticle199.AdditionaleligibilityforcollateralundertheIRBApproachArticle200.OtherfundedcreditprotectionSub-Section2UnfundedcreditprotectionArticle201.EligibilityofprotectionprovidersunderallapproachesArticle202.EligibilityofprotectionprovidersundertheIRBApproachwhichqualifyforthetreatmentsetoutinArticle153(3)Article203.EligibilityofguaranteesasunfundedcreditprotectionSub-Section3TypesofderivativesArticle204.EligibletypesofcreditderivativesSection3RequirementsSub-Section1FundedcreditprotectionArticle205.Requirementsforon-balancesheetnettingagreementsotherthanmasternettingagreementsreferredtoinArticle206Article206.RequirementsformasternettingagreementscoveringrepurchasetransactionsorsecuritiesorcommoditieslendingorborrowingtransactionsorothercapitalmarketdriventransactionsArticle207.RequirementsforfinancialcollateralArticle208.RequirementsforimmovablepropertycollateralArticle209.RequirementsforreceivablesArticle210.RequirementsforotherphysicalcollateralArticle211.RequirementsfortreatingleaseexposuresascollateralisedArticle212.RequirementsforotherfundedcreditprotectionSub-Section2UnfundedcreditprotectionandcreditlinkednotesArticle213.RequirementscommontoguaranteesandcreditderivativesArticle214.Sovereignandotherpublicsectorcounter-guaranteesArticle215.AdditionalrequirementsforguaranteesArticle216.AdditionalrequirementsforcreditderivativesArticle217.RequirementstoqualifyforthetreatmentsetoutinArticle153(3)Section4CalculatingtheeffectsofcreditriskmitigationSub-Section1FundedcreditprotectionArticle218.CreditlinkednotesArticle219.On-balancesheetnettingArticle220.UsingtheSupervisoryVolatilityAdjustmentsApproachortheOwnEstimatesVolatilityAdjustmentsApproachformasternettingagreementsArticle221.UsingtheinternalmodelsapproachformasternettingagreementsArticle222.FinancialCollateralSimpleMethodArticle223.FinancialCollateralComprehensiveMethodArticle224.SupervisoryvolatilityadjustmentundertheFinancialCollateralComprehensiveMethodArticle225.OwnestimatesofvolatilityadjustmentsundertheFinancialCollateralComprehensiveMethodArticle226.ScalingupofvolatilityadjustmentundertheFinancialCollateralComprehensiveMethodArticle227.Conditionsforapplyinga0 %volatilityadjustmentundertheFinancialCollateralComprehensiveMethodArticle228.Calculatingrisk-weightedexposureamountsandexpectedlossamountsundertheFinancialCollateralComprehensivemethodArticle229.ValuationprinciplesforothereligiblecollateralundertheIRBApproachArticle230.Calculatingrisk-weightedexposureamountsandexpectedlossamountsforothereligiblecollateralundertheIRBApproachArticle231.Calculatingrisk-weightedexposureamountsandexpectedlossamountsinthecaseofmixedpoolsofcollateralArticle232.OtherfundedcreditprotectionSub-Section2UnfundedcreditprotectionArticle233.ValuationArticle234.Calculatingrisk-weightedexposureamountsandexpectedlossamountsintheeventofpartialprotectionandtranchingArticle235.Calculatingrisk-weightedexposureamountsundertheStandardisedApproachArticle236.Calculatingrisk-weightedexposureamountsandexpectedlossamountsundertheIRBApproachSection5MaturitymismatchesArticle237.MaturitymismatchArticle238.MaturityofcreditprotectionArticle239.ValuationofprotectionSection6BasketCRMtechniquesArticle240.First-to-defaultcreditderivativesArticle241.Nth-to-defaultcreditderivativesCHAPTER5SecuritisationSection1Definitionsandcriteriaforsimple,transparentandstandardisedsecuritisationsArticle242.DefinitionsArticle243.CriteriaforSTSsecuritisationsqualifyingfordifferentiatedcapitaltreatmentSection2RecognitionofsignificantrisktransferArticle244.TraditionalsecuritisationArticle245.SyntheticsecuritisationArticle246.OperationalrequirementsforearlyamortisationprovisionsSection3Calculationofrisk-weightedexposureamountsSubsection1GeneralProvisionsArticle247.Calculationofrisk-weightedexposureamountsArticle248.ExposurevalueArticle249.RecognitionofcreditriskmitigationforsecuritisationpositionsArticle250.ImplicitsupportArticle251.Originatorinstitutions’calculationofrisk-weightedexposureamountssecuritisedinasyntheticsecuritisationArticle252.TreatmentofmaturitymismatchesinsyntheticsecuritisationsArticle253.Reductioninrisk-weightedexposureamountsSubsection2HierarchyofmethodsandcommonparametersArticle254.HierarchyofmethodsArticle255.DeterminationofKIRBandKSAArticle256.Determinationofattachmentpoint(A)anddetachmentpoint(D)Article257.Determinationoftranchematurity(MT)Subsection3Methodstocalculaterisk-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-weightedexposureamountsundertheInternalAssessmentApproachSubsection4CapsforsecuritisationpositionsArticle267.Maximumriskweightforseniorsecuritisationpositions:look-throughapproachArticle268.MaximumcapitalrequirementsSubsection5MiscellaneousprovisionsArticle269.Re-securitisationsArticle270.SeniorpositionsinSMEsecuritisationsArticle270a.AdditionalriskweightSection4ExternalcreditassessmentsArticle270b.UseofcreditassessmentsbyECAIsArticle270c.RequirementstobemetbythecreditassessmentsofECAIsArticle270d.UseofcreditassessmentsArticle270e.SecuritisationmappingCHAPTER6CounterpartycreditriskSection1DefinitionsArticle271.DeterminationoftheexposurevalueArticle272.DefinitionsSection2MethodsforcalculatingtheexposurevalueArticle273.MethodsforcalculatingtheexposurevalueSection3Mark-to-MarketMethodArticle274.Mark-to-MarketMethodSection4OriginalExposureMethodArticle275.OriginalExposureMethodSection5StandardisedMethodArticle276.StandardisedMethodArticle277.TransactionswithalinearriskprofileArticle278.Transactionswithanon-linearriskprofileArticle279.TreatmentofcollateralArticle 279a.SupervisorydeltaArticle280.CalculationofriskpositionsArticle281.InterestrateriskpositionsArticle282.HedgingsetsSection6InternalModelMethodArticle283.PermissiontousetheInternalModelMethodArticle284.ExposurevalueArticle285.ExposurevaluefornettingsetssubjecttoamarginagreementArticle286.ManagementofCCR—Policies,processesandsystemsArticle287.OrganisationstructuresforCCRmanagementArticle288.ReviewofCCRmanagementsystemArticle289.UsetestArticle290.StresstestingArticle291.Wrong-WayRiskArticle292.IntegrityofthemodellingprocessArticle293.RequirementsfortheriskmanagementsystemArticle294.ValidationrequirementsSection7ContractualnettingArticle295.Recognitionofcontractualnettingasrisk-reducingArticle296.RecognitionofcontractualnettingagreementsArticle297.ObligationsofinstitutionsArticle298.Effectsofrecognitionofnettingasrisk-reducingSection8ItemsinthetradingbookArticle299.ItemsinthetradingbookSection9OwnfundsrequirementsforexposurestoacentralcounterpartyArticle300.DefinitionsArticle301.MaterialscopeArticle302.MonitoringofexposurestoCCPsArticle303.Treatmentofclearingmembers'exposurestoCCPsArticle304.Treatmentofclearingmembers'exposurestoclientsArticle305.Treatmentofclients'exposuresArticle306.OwnfundsrequirementsfortradeexposuresArticle307.Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofaCCPArticle308.Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofaQCCPArticle309.Ownfundsrequirementsforpre-fundedcontributionstothedefaultfundofanon-qualifyingCCPandforunfundedcontributionstoanon-qualifyingCCPArticle310.AlternativecalculationofownfundsrequirementforexposurestoaQCCPArticle311.OwnfundsrequirementsforexposurestoCCPsthatceasetomeetcertainconditionsTITLEIIIOWNFUNDSREQUIREMENTSFOROPERATIONALRISKCHAPTER1GeneralprinciplesgoverningtheuseofthedifferentapproachesArticle312.PermissionandnotificationArticle313.RevertingtotheuseoflesssophisticatedapproachesArticle314.CombineduseofdifferentapproachesCHAPTER2BasicIndicatorApproachArticle315.OwnfundsrequirementArticle316.RelevantindicatorCHAPTER3StandardisedApproachArticle317.OwnfundsrequirementArticle318.PrinciplesforbusinesslinemappingArticle319.AlternativeStandardisedApproachArticle320.CriteriafortheStandardisedApproachCHAPTER4AdvancedmeasurementapproachesArticle321.QualitativestandardsArticle322.QuantitativeStandardsArticle323.ImpactofinsuranceandotherrisktransfermechanismsArticle324.LosseventtypeclassificationTITLEIVOWNFUNDSREQUIREMENTSFORMARKETRISKCHAPTER 1GeneralprovisionsArticle 325.ApproachesforcalculatingtheownfundsrequirementsformarketriskArticle 325a.ExemptionsfromspecificreportingrequirementsformarketriskArticle 325b.PermissionforconsolidatedrequirementsCHAPTER 1aAlternativestandardisedapproachSection 1GeneralprovisionsArticle 325c.ScopeandstructureofthealternativestandardisedapproachSection 2Sensitivities-basedmethodforcalculatingtheownfundsrequirementArticle 325d.DefinitionsArticle 325e.Componentsofthesensitivities-basedmethodArticle 325f.OwnfundsrequirementsfordeltaandvegarisksArticle 325g.OwnfundsrequirementsforcurvatureriskArticle 325h.Aggregationofrisk-classspecificownfundsrequirementsfordelta,vegaandcurvaturerisksArticle 325i.Treatmentofindexinstrumentsandmulti-underlyingoptionsArticle 325j.TreatmentofcollectiveinvestmentundertakingsArticle 325k.UnderwritingpositionsSection 3RiskfactorandsensitivitydefinitionsSubsection 1RiskfactordefinitionsArticle 325l.GeneralinterestrateriskfactorsArticle 325m.Creditspreadriskfactorsfornon-securitisationArticle 325n.CreditspreadriskfactorsforsecuritisationArticle 325o.EquityriskfactorsArticle 325p.CommodityriskfactorsArticle 325q.ForeignexchangeriskfactorsSubsection 2SensitivitydefinitionsArticle 325r.DeltarisksensitivitiesArticle 325s.VegarisksensitivitiesArticle 325t.RequirementsonsensitivitycomputationsSection 4Theresidualriskadd-onArticle 325u.OwnfundsrequirementsforresidualrisksSection 5OwnfundsrequirementsforthedefaultriskArticle 325v.DefinitionsandgeneralprovisionsSubsection 1Ownfundsrequirementsforthedefaultriskfornon-securitisationsArticle 325w.Grossjump-to-defaultamountsArticle 325x.Netjump-to-defaultamountsArticle 325y.CalculationoftheownfundsrequirementsforthedefaultriskSubsection 2OwnfundsrequirementsforthedefaultriskforsecuritisationsnotincludedintheACTPArticle 325z.Jump-to-defaultamountsArticle 325aa.CalculationoftheownfundsrequirementforthedefaultriskforsecuritisationsSubsection 3OwnfundsrequirementsforthedefaultriskforsecuritisationsincludedintheACTPArticle 325ab.ScopeArticle 325ac.Jump-to-defaultamountsfortheACTPArticle 325ad.CalculationoftheownfundsrequirementsforthedefaultriskfortheACTPSection 6RiskweightsandcorrelationsSubsection 1DeltariskweightsandcorrelationsArticle 325ae.RiskweightsforgeneralinterestrateriskArticle 325af.IntrabucketcorrelationsforgeneralinterestrateriskArticle 325ag.CorrelationsacrossbucketsforgeneralinterestrateriskArticle 325ah.Riskweightsforcreditspreadriskfornon-securitisationsArticle 325ai.Intra-bucketcorrelationsforcreditspreadriskfornon-securitisationsArticle 325aj.Correlationsacrossbucketsforcreditspreadriskfornon-securitisationsArticle 325ak.RiskweightsforcreditspreadriskforsecuritisationsincludedintheACTPArticle 325al.CorrelationsforcreditspreadriskforsecuritisationsincludedintheACTPArticle 325am.RiskweightsforcreditspreadriskforsecuritisationsnotincludedintheACTPArticle 325an.Intra-bucketcorrelationsforcreditspreadriskforsecuritisationsnotincludedintheACTPArticle 325ao.CorrelationsacrossbucketsforcreditspreadriskforsecuritisationsnotincludedintheACTPArticle 325ap.RiskweightsforequityriskArticle 325aq.Intra-bucketcorrelationsforequityriskArticle 325ar.CorrelationsacrossbucketsforequityriskArticle 325as.RiskweightsforcommodityriskArticle 325at.Intra-bucketcorrelationsforcommodityriskArticle 325au.CorrelationsacrossbucketsforcommodityriskArticle 325av.RiskweightsforforeignexchangeriskArticle 325aw.CorrelationsforforeignexchangeriskSubsection 2VegaandcurvatureriskweightsandcorrelationsArticle 325ax.VegaandcurvatureriskweightsArticle 325ay.VegaandcurvatureriskcorrelationsCHAPTER 1bAlternativeinternalmodelapproachSection 1PermissionandownfundsrequirementsArticle 325az.AlternativeinternalmodelapproachandpermissiontousealternativeinternalmodelsArticle 325ba.OwnfundsrequirementswhenusingalternativeinternalmodelsSection 2GeneralrequirementsArticle 325bb.ExpectedshortfallriskmeasureArticle 325bc.PartialexpectedshortfallcalculationsArticle 325bd.LiquidityhorizonsArticle 325be.AssessmentofthemodellabilityofriskfactorsArticle 325bf.Regulatoryback-testingrequirementsandmultiplicationfactorsArticle 325bg.ProfitandlossattributionrequirementArticle 325bh.RequirementsonriskmeasurementArticle 325bi.QualitativerequirementsArticle 325bj.InternalvalidationArticle 325bk.CalculationofstressscenarioriskmeasureSection 3InternaldefaultriskmodelArticle 325bl.ScopeoftheinternaldefaultriskmodelArticle 325bm.PermissiontouseaninternaldefaultriskmodelArticle 325bn.OwnfundsrequirementsfordefaultriskusinganinternaldefaultriskmodelArticle 325bo.RecognitionofhedgesinaninternaldefaultriskmodelArticle 325bp.ParticularrequirementsforaninternaldefaultriskmodelCHAPTER2OwnfundsrequirementsforpositionriskSection1GeneralprovisionsandspecificinstrumentsArticle326.OwnfundsrequirementsforpositionriskArticle327.NettingArticle328.InterestratefuturesandforwardsArticle329.OptionsandwarrantsArticle330.SwapsArticle331.InterestrateriskonderivativeinstrumentsArticle332.CreditDerivativesArticle333.SecuritiessoldunderarepurchaseagreementorlentSection2DebtinstrumentsArticle334.NetpositionsindebtinstrumentsSub-Section1SpecificriskArticle335.CapontheownfundsrequirementforanetpositionArticle336.Ownfundsrequirementfornon-securitisationdebtinstrumentsArticle337.OwnfundsrequirementforsecuritisationinstrumentsArticle338.OwnfundsrequirementforthecorrelationtradingportfolioSub-Section2GeneralriskArticle339.Maturity-basedcalculationofgeneralriskArticle340.Duration-basedcalculationofgeneralriskSection3EquitiesArticle341.NetpositionsinequityinstrumentsArticle342.SpecificriskofequityinstrumentsArticle343.GeneralriskofequityinstrumentsArticle344.StockindicesSection4UnderwritingArticle345.ReductionofnetpositionsSection5SpecificriskownfundsrequirementsforpositionshedgedbycreditderivativesArticle346.AllowanceforhedgesbycreditderivativesArticle347.Allowanceforhedgesbyfirstandnth-todefaultcreditderivativesSection6OwnfundsrequirementsforCIUsArticle348.OwnfundsrequirementsforCIUsArticle349.GeneralcriteriaforCIUsArticle350.SpecificmethodsforCIUsCHAPTER3Ownfundsrequirementsforforeign-exchangeriskArticle351.DeminimisandweightingforforeignexchangeriskArticle352.CalculationoftheoverallnetforeignexchangepositionArticle353.ForeignexchangeriskofCIUsArticle354.CloselycorrelatedcurrenciesCHAPTER4OwnfundsrequirementsforcommoditiesriskArticle355.ChoiceofmethodforcommoditiesriskArticle356.AncillarycommoditiesbusinessArticle357.PositionsincommoditiesArticle358.ParticularinstrumentsArticle359.MaturityladderapproachArticle360.SimplifiedapproachArticle361.ExtendedmaturityladderapproachCHAPTER5UseofinternalmodelstocalculateownfundsrequirementsSection1PermissionandownfundsrequirementsArticle362.SpecificandgeneralrisksArticle363.PermissiontouseinternalmodelsArticle364.OwnfundsrequirementswhenusinginternalmodelsSection2GeneralrequirementsArticle365.VaRandstressedVaRCalculationArticle366.RegulatorybacktestingandmultiplicationfactorsArticle367.RequirementsonriskmeasurementArticle368.QualitativerequirementsArticle369.InternalValidationSection3RequirementsparticulartospecificriskmodellingArticle370.RequirementsformodellingspecificriskArticle371.ExclusionsfromspecificriskmodelsSection4InternalmodelforincrementaldefaultandmigrationriskArticle372.RequirementtohaveaninternalIRCmodelArticle373.ScopeoftheinternalIRCmodelArticle374.ParametersoftheinternalIRCmodelArticle375.RecognitionofhedgesintheinternalIRCmodelArticle376.ParticularrequirementsfortheinternalIRCmodelSection5InternalmodelforcorrelationtradingArticle377.RequirementsforaninternalmodelforcorrelationtradingTITLEVOWNFUNDSREQUIREMENTSFORSETTLEMENTRISKArticle378.Settlement/deliveryriskArticle379.FreedeliveriesArticle380.WaiverTITLEVIOWNFUNDSREQUIREMENTSFORCREDITVALUATIONADJUSTMENTRISKArticle381.MeaningofcreditvaluationadjustmentArticle382.ScopeArticle383.AdvancedmethodArticle384.StandardisedmethodArticle385.AlternativetousingCVAmethodstocalculatingownfundsrequirementsArticle386.EligiblehedgesPARTFOURLARGEEXPOSURESArticle387.SubjectmatterArticle388.NegativeScopeArticle389.DefinitionArticle390.CalculationoftheexposurevalueArticle391.DefinitionofaninstitutionforlargeexposurespurposesArticle392.DefinitionofalargeexposureArticle393.CapacitytoidentifyandmanagelargeexposuresArticle394.ReportingrequirementsArticle395.LimitstolargeexposuresArticle396.CompliancewithlargeexposuresrequirementsArticle397.CalculatingadditionalownfundsrequirementsforlargeexposuresinthetradingbookArticle398.ProcedurestopreventinstitutionsfromavoidingtheadditionalownfundsrequirementArticle399.EligiblecreditmitigationtechniquesArticle400.ExemptionsArticle401.CalculatingtheeffectoftheuseofcreditriskmitigationtechniquesArticle402.ExposuresarisingfrommortgagelendingArticle403.SubstitutionapproachPARTFIVEEXPOSURESTOTRANSFERREDCREDITRISKTITLEIGENERALPROVISIONSFORTHISPARTArticle404.ScopeofapplicationTITLEIIREQUIREMENTSFORINVESTORINSTITUTIONSArticle405.RetainedinterestoftheissuerArticle406.DuediligenceArticle407.AdditionalriskweightTITLEIIIREQUIREMENTSFORSPONSORANDORIGINATORINSTITUTIONSArticle408.CriteriaforcreditgrantingArticle409.DisclosuretoinvestorsArticle410.UniformconditionofapplicationPARTSIXLIQUIDITYTITLEIDEFINITIONSANDLIQUIDITYCOVERAGEREQUIREMENTArticle411.DefinitionsArticle412.LiquiditycoveragerequirementArticle413.StableFundingArticle414.CompliancewithliquidityrequirementsTITLEIILIQUIDITYREPORTINGArticle415.ReportingobligationandreportingformatArticle416.ReportingonliquidassetsArticle417.OperationalrequirementsforholdingsofliquidassetsArticle418.ValuationofliquidassetsArticle419.CurrencieswithconstraintsontheavailabilityofliquidassetsArticle420.LiquidityoutflowsArticle421.OutflowsonretaildepositsArticle422.OutflowsonotherliabilitiesArticle423.AdditionaloutflowsArticle424.OutflowsfromcreditandliquidityfacilitiesArticle425.InflowsArticle426.UpdatingFutureliquidityrequirementsTITLEIIIREPORTINGONSTABLEFUNDINGArticle427.ItemsprovidingstablefundingArticle428.ItemsrequiringstablefundingPARTSEVENLEVERAGEArticle429.CalculationoftheleverageratioArticle429a.ExposurevalueofderivativesArticle429b.Counterpartycreditriskadd-onforrepurchasetransactions,securitiesorcommoditieslendingorborrowingtransactions,longsettlementtransactionsandmarginlendingtransactionsPARTSEVENAREPORTINGREQUIREMENTSArticle 430.ReportingonprudentialrequirementsandfinancialinformationArticle 430b.SpecificreportingrequirementsformarketriskArticle 430c.FeasibilityreportontheintegratedreportingsystemPARTEIGHTDISCLOSUREBYINSTITUTIONSTITLEIGENERALPRINCIPLESArticle431.ScopeofdisclosurerequirementsArticle432.Non-material,proprietaryorconfidentialinformationArticle433.FrequencyofdisclosureArticle434.MeansofdisclosuresArticle 434a.UniformdisclosureformatsTITLEIITECHNICALCRITERIAONTRANSPARENCYANDDISCLOSUREArticle435.RiskmanagementobjectivesandpoliciesArticle436.ScopeofapplicationArticle437.OwnfundsArticle438.CapitalrequirementsArticle439.ExposuretocounterpartycreditriskArticle440.CapitalbuffersArticle441.IndicatorsofglobalsystemicimportanceArticle442.CreditriskadjustmentsArticle443.UnencumberedassetsArticle444.UseofECAIsArticle445.ExposuretomarketriskArticle446.OperationalriskArticle447.ExposuresinequitiesnotincludedinthetradingbookArticle448.ExposuretointerestrateriskonpositionsnotincludedinthetradingbookArticle449.ExposuretosecuritisationpositionsArticle450.RemunerationpolicyArticle451.LeverageTITLEIIIQUALIFYINGREQUIREMENTSFORTHEUSEOFPARTICULARINSTRUMENTSORMETHODOLOGIESArticle452.UseoftheIRBApproachtocreditriskArticle453.UseofcreditriskmitigationtechniquesArticle454.UseoftheAdvancedMeasurementApproachestooperationalriskArticle455.UseofInternalMarketRiskModelsPARTNINEDELEGATEDANDIMPLEMENTINGACTSArticle456.DelegatedactsArticle457.TechnicaladjustmentsandcorrectionsArticle458.MacroprudentialorsystemicriskidentifiedatthelevelofaMemberStateArticle459.PrudentialrequirementsArticle460.LiquidityArticle461.Reviewofthephasing-inoftheliquiditycoveragerequirementArticle 461a.AlternativestandardisedapproachformarketriskArticle 462.ExerciseofthedelegationArticle463.ObjectionstoregulatorytechnicalstandardsArticle464.EuropeanBankingCommitteePARTTENTRANSITIONALPROVISIONS,REPORTS,REVIEWSANDAMENDMENTSTITLEITRANSITIONALPROVISIONSCHAPTER1Ownfundsrequirements,unrealisedgainsandlossesmeasuredatfairvalueanddeductionsSection1OwnfundsrequirementsArticle465.OwnfundsrequirementsArticle466.FirsttimeapplicationofInternationalFinancialReportingStandardsSection2UnrealisedgainsandlossesmeasuredatfairvalueArticle467.UnrealisedlossesmeasuredatfairvalueArticle468.TemporarytreatmentofunrealisedgainsandlossesmeasuredatfairvaluethroughothercomprehensiveincomeinviewoftheCOVID-19pandemicSection3DeductionsSub-Section1DeductionsfromCommonEquityTier1itemsArticle469.DeductionsfromCommonEquityTier1itemsArticle469a.DerogationfromdeductionsfromCommonEquityTier1itemsfornon-performingexposuresArticle470.ExemptionfromdeductionfromCommonEquityTier1itemsArticle471.ExemptionfromDeductionofEquityHoldingsinInsuranceCompaniesfromCommonEquityTier1ItemsArticle472.ItemsnotdeductedfromCommonEquityTier1Article473.IntroductionofamendmentstoIAS19Article473a.IntroductionofIFRS9Sub-Section2DeductionsfromAdditionalTier1itemsArticle474.DeductionsfromAdditionalTier1itemsArticle475.ItemsnotdeductedfromAdditionalTier1itemsSub-Section3DeductionsfromTier2itemsArticle476.DeductionsfromTier2itemsArticle477.DeductionsfromTier2itemsSub-Section4ApplicablepercentagesfordeductionArticle478.ApplicablepercentagesfordeductionfromCommonEquityTier1,AdditionalTier1andTier2itemsSection4minorityinterestandadditionalTier1andTier2instrumentsissuedbysubsidiariesArticle479.RecognitioninconsolidatedCommonEquityTier1capitalofinstrumentsanditemsthatdonotqualifyasminorityinterestsArticle480.RecognitioninconsolidatedownfundsofminorityinterestsandqualifyingAdditionalTier1andTier2capitalSection5AdditionalfiltersanddeductionsArticle481.AdditionalfiltersanddeductionsArticle482.ScopeofapplicationforderivativestransactionswithpensionfundsCHAPTER2GrandfatheringofcapitalinstrumentsSection1InstrumentsconstitutingStateaidArticle483.GrandfatheringofStateaidinstrumentsSection2InstrumentsnotconstitutingStateaidSub-Section1GrandfatheringeligibilityandlimitsArticle484.EligibilityforgrandfatheringofitemsthatqualifiedasownfundsundernationaltranspositionmeasuresforDirective2006/48/ECArticle485.EligibilityforinclusionintheCommonEquityTier1ofsharepremiumaccountsrelatedtoitemsthatqualifiedasownfundsundernationaltranspositionmeasuresforDirective2006/48/ECArticle486.LimitsforgrandfatheringofitemswithinCommonEquityTier1,AdditionalTier1andTier2itemsArticle487.ItemsexcludedfromgrandfatheringinCommonEquityTier1orAdditionalTier1itemsinotherelementsofownfundsArticle488.AmortisationofitemsgrandfatheredasTier2itemsSub-Section2InclusionofinstrumentswithacallandincentivetoredeeminadditionalTier1andTier2itemsArticle489.HybridinstrumentswithacallandincentivetoredeemArticle490.Tier2itemswithanincentivetoredeemArticle491.EffectivematurityCHAPTER3TransitionalprovisionsfordisclosureofownfundsArticle492.DisclosureofownfundsCHAPTER4Largeexposures,ownfundsrequirements,leverageandtheBaselIFloorArticle493.TransitionalprovisionsforlargeexposuresArticle 494.TransitionalprovisionsconcerningtherequirementforownfundsandeligibleliabilitiesArticle 494a.GrandfatheringofissuancesthroughspecialpurposeentitiesArticle 494b.GrandfatheringofownfundsinstrumentsandeligibleliabilitiesinstrumentsArticle495.TreatmentofequityexposuresundertheIRBApproachArticle496.OwnfundsrequirementsforcoveredbondsArticle 497.OwnfundsrequirementsforexposurestoCCPsArticle498.ExemptionforCommoditiesdealersArticle499.LeverageArticle 500.AdjustmentformassivedisposalsArticle500a.TemporarytreatmentofpublicdebtissuedinthecurrencyofanotherMemberStateArticle500b.TemporaryexclusionofcertainexposurestocentralbanksfromthetotalexposuremeasureinviewoftheCOVID-19pandemicArticle500c.Exclusionofovershootingsfromthecalculationoftheback-testingaddendinviewoftheCOVID-19pandemicArticle500d.Temporarycalculationoftheexposurevalueofregular-waypurchasesandsalesawaitingsettlementinviewoftheCOVID-19pandemicArticle 501.Adjustmentofrisk-weightednon-defaultedSMEexposuresArticle 501a.Adjustmenttoownfundsrequirementsforcreditriskforexposurestoentitiesthatoperateorfinancephysicalstructuresorfacilities,systemsandnetworksthatprovideorsupportessentialpublicservicesArticle 501b.DerogationfromreportingrequirementsTITLEIIREPORTSANDREVIEWSArticle 501c.Prudentialtreatmentofexposuresrelatedtoenvironmentaland/orsocialobjectivesArticle502.CyclicalityofcapitalrequirementsArticle503.OwnfundsrequirementsforexposuresintheformofcoveredbondsArticle504.CapitalinstrumentssubscribedbypublicauthoritiesinemergencysituationsArticle 504a.HoldingsofeligibleliabilitiesinstrumentsArticle505.Reviewoflong-termfinancingArticle506.Creditrisk—definitionofdefaultArticle 507.LargeexposuresArticle508.LevelofapplicationArticle509.LiquidityrequirementsArticle510.NetStableFundingRequirementsArticle 511.LeverageArticle512.ExposurestotransferredcreditriskArticle 513.MacroprudentialrulesArticle 514.MethodforthecalculationoftheexposurevalueofderivativetransactionsArticle515.MonitoringandevaluationArticle516.Long-termfinancingArticle517.DefinitionofeligiblecapitalArticle518.Reviewofcapitalinstrumentswhichmaybewrittendownorconvertedatthepointofnon-viabilityArticle 518a.Reviewofcross-defaultprovisionsArticle518b.ReportonovershootingsandsupervisorypowerstolimitdistributionsArticle519.DeductionofdefinedbenefitpensionfundassetsfromCommonEquityTier1itemsArticle519a.ReportingandreviewArticle 519b.OwnfundsrequirementsformarketriskTITLEIIAIMPLEMENTATIONOFRULESArticle 519c.CompliancetoolTITLEIIIAMENDMENTSArticle520.AmendmentofRegulation(EU)No 648/2012PARTELEVENFINALPROVISIONSArticle521.EntryintoforceanddateofapplicationSignatureANNEXIClassificationofoff-balancesheetitems1.Fullrisk:2.Mediumrisk:3.Medium/lowrisk:4.Lowrisk:ANNEXIITypesofderivatives1.Interest-ratecontracts:2.Foreign-exchangecontractsandcontractsconcerninggold:3.Contractsofanaturesimilartothoseinpoints1(a)...ANNEXIIIItemssubjecttosupplementaryreportingofliquidassets1.Cash.2.Centralbankexposures,totheextentthattheseexposurescan...3.Transferablesecuritiesrepresentingclaimsonorclaimsguaranteedbysovereigns,...4.Transferablesecuritiesotherthanthosereferredtoinpoint3...5.Transferablesecuritiesrepresentingclaimsonorclaimsguaranteedbysovereigns,...6.Transferablesecuritiesotherthanthosereferredtoinpoints3,...7.Transferablesecuritiesotherthanthosereferredtoinpoints3...8.Transferablesecuritiesotherthanthosereferredtoinpoints3...9.Standbycreditfacilitiesgrantedbycentralbankswithinthescope...10.Legalorstatutoryminimumdepositswiththecentralcreditinstitution...11.Exchangetraded,centrallyclearedcommonequityshares,thatarea...12.Goldlistedonarecognisedexchange,heldonanallocated...ANNEXIVCorrelationtableThisRegulationDirective2006/48/ECDirective2006/49/ECArticle1Article2...BacktotopOptions/HelpPrintOptionsPrintTableofContentsPDF 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