- Latest available (Revised)
- Point in Time (14/06/2006)
- Original (As adopted by EU)
Directive 2006/48/EC of the European Parliament and of the council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed)
After exit day there will be three versions of this legislation to consult for different purposes. The legislation.gov.uk version is the version that applies in the UK. The EU Version currently on EUR-lex is the version that currently applies in the EU i.e you may need this if you operate a business in the EU.
The web archive version is the official version of this legislation item as it stood on exit day before being published to legislation.gov.uk and any subsequent UK changes and effects applied. The web archive also captured associated case law and other language formats from EUR-Lex.
Version Superseded: 01/01/2014
EU Directives are being published on this site to aid cross referencing from UK legislation. After IP completion day (31 December 2020 11pm) no further amendments will be applied to this version.
Where risk‐weighted exposure amounts are calculated under Articles 78 to 83, E is the exposure value for each separate exposure under the agreement that would apply in the absence of the credit protection.
Where risk‐weighted exposure amounts and expected loss amounts are calculated under Articles 84 to 89, E is the exposure value for each separate exposure under the agreement that would apply in the absence of the credit protection.
C is the value of the securities or commodities borrowed, purchased or received or the cash borrowed or received in respect of each such exposure.
S(E) is the sum of all Es under the agreement.
S(C) is the sum of all Cs under the agreement.
Efx is the net position (positive or negative) in a given currency other than the settlement currency of the agreement as calculated under point 8.
Hsec is the volatility adjustment appropriate to a particular type of security.
Hfx is the foreign exchange volatility adjustment.
E* is the fully adjusted exposure value.
the internal risk‐measurement model used for calculation of potential price volatility for the transactions is closely integrated into the daily risk‐management process of the credit institution and serves as the basis for reporting risk exposures to senior management of the credit institution;
the credit institution has a risk control unit that is independent from business trading units and reports directly to senior management. The unit must be responsible for designing and implementing the credit institution's risk‐management system. It shall produce and analyse daily reports on the output of the risk‐measurement model and on the appropriate measures to be taken in terms of position limits;
the daily reports produced by the risk‐control unit are reviewed by a level of management with sufficient authority to enforce reductions of positions taken and of overall risk exposure;
the credit institution has sufficient staff skilled in the use of sophisticated models in the risk control unit;
the credit institution has established procedures for monitoring and ensuring compliance with a documented set of internal policies and controls concerning the overall operation of the risk‐measurement system;
the credit institution's models have a proven track record of reasonable accuracy in measuring risks demonstrated through the back-testing of its output using at least one year of data;
the credit institution frequently conducts a rigorous programme of stress testing and the results of these tests are reviewed by senior management and reflected in the policies and limits it sets;
the credit institution must conduct, as Part of its regular internal auditing process, an independent review of its risk‐measurement system. This review must include both the activities of the business trading units and of the independent risk‐control unit;
at least once a year, the credit institution must conduct a review of its risk‐management system; and
the internal model shall meet the requirements set out in Annex III, Part 6, points 40 to 42.
at least daily calculation of the potential change in value;
a 99th percentile, one-tailed confidence interval;
a 5-day equivalent liquidation period, except in the case of transactions other than securities repurchase transactions or securities lending or borrowing transactions where a 10-day equivalent liquidation period shall be used;
an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility; and
three-monthly data set updates.
Where risk‐weighted exposure amounts are calculated under Articles 78 to 83, E is the exposure value for each separate exposure under the agreement that would apply in the absence of the credit protection.
Where risk‐weighted exposure amounts and expected loss amounts are calculated under Articles 84 to 89, E is the exposure value for each separate exposure under the agreement that would apply in the absence of the credit protection.
C is the value of the securities borrowed, purchased or received or the cash borrowed or received in respect of each such exposure.
Σ(E) is the sum of all Es under the agreement.
Σ(C) is the sum of all Cs under the agreement.
Standardised Approach
IRB Approach
The Whole Directive you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.
Would you like to continue?
The Schedules you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.
Would you like to continue?
Latest Available (revised):The latest available updated version of the legislation incorporating changes made by subsequent legislation and applied by our editorial team. Changes we have not yet applied to the text, can be found in the ‘Changes to Legislation’ area.
Original (As adopted by EU): The original version of the legislation as it stood when it was first adopted in the EU. No changes have been applied to the text.
Point in Time: This becomes available after navigating to view revised legislation as it stood at a certain point in time via Advanced Features > Show Timeline of Changes or via a point in time advanced search.
Geographical Extent: Indicates the geographical area that this provision applies to. For further information see ‘Frequently Asked Questions’.
Show Timeline of Changes: See how this legislation has or could change over time. Turning this feature on will show extra navigation options to go to these specific points in time. Return to the latest available version by using the controls above in the What Version box.
Access essential accompanying documents and information for this legislation item from this tab. Dependent on the legislation item being viewed this may include:
This timeline shows the different versions taken from EUR-Lex before exit day and during the implementation period as well as any subsequent versions created after the implementation period as a result of changes made by UK legislation.
The dates for the EU versions are taken from the document dates on EUR-Lex and may not always coincide with when the changes came into force for the document.
For any versions created after the implementation period as a result of changes made by UK legislation the date will coincide with the earliest date on which the change (e.g an insertion, a repeal or a substitution) that was applied came into force. For further information see our guide to revised legislation on Understanding Legislation.
Use this menu to access essential accompanying documents and information for this legislation item. Dependent on the legislation item being viewed this may include:
Click 'View More' or select 'More Resources' tab for additional information including: