Commission Delegated Regulation (EU) 2015/63Show full title

SECTION 2 METHODOLOGY

Article 4 Determination of the annual contributions

1. The resolution authorities shall determine the annual contributions to be paid by each institution in proportion to its risk profile on the basis of information provided by the institution in accordance with Article 14 and by applying the methodology set out in this Section.

2. The resolution authority shall determine the annual contribution referred to in paragraph 1 on the basis of the annual target level of the resolution financing arrangement by taking into account the target level to be reached by 31 December 2024 in accordance with paragraph 1 of Article 102 of Directive 2014/59/EU and on the basis of the average amount of covered deposits in the previous year, calculated quarterly, of all the institutions authorized in its territory.

Article 5 Risk adjustment of the basic annual contribution

1. The contributions referred to in Article 103(2) of Directive 2014/59/EU shall be calculated by excluding the following liabilities:

(a) the intragroup liabilities arising from transactions entered into by an institution with an institution which is part of the same group, provided that all the following conditions are met:

(i)

each institution is established in the Union;

(ii)

each institution is included in the same consolidated supervision in accordance with Articles 6 to 17 of Regulation (EU) No 575/2013 on a full basis and is subject to an appropriate centralised risk evaluation, measurement and control procedures; and

(iii)

there is no current or foreseen material practical or legal impediment to the prompt repayment of the liability when due;

(b) the liabilities created by an institution, which is member of an IPS as referred to in point (8) of Article 2(1) of Directive 2014/59/EU and which has been allowed by the competent authority to apply Article 113(7) of Regulation (EU) No 575/2013, through an agreement entered into with another institution which is member of the same IPS;

(c) in the case of a central counterparty established in a Member State having availed itself of the option in Article 14(5) of Regulation (EU) No 648/2012, liabilities related to clearing activities as defined in Article 2(3) of that Regulation, including those arising from any measures the central counterparty takes to meet margin requirements, to set up a default fund and to maintain sufficient pre-funded financial resources to cover potential losses as part of the default waterfall in accordance with that Regulation, as well as to invest its financial resources in accordance with Article 47 of that Regulation;

(d) in the case of a central securities depository, the liabilities related to the activities of a central securities depository, including liabilities to participants or service providers of the central securities depository with a maturity of less than seven days arising from activities for which it has obtained an authorisation to provide banking-type ancillary services in accordance with Title IV of Regulation (EU) No 909/2014, but excluding other liabilities arising from such banking-type activities;

(e) in the case of investment firms, the liabilities that arise by virtue of holding client assets or client money including client assets or client money held on behalf of UCITS as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council(1) or of AIFs as defined in point (a) of Article 4(1) of Directive 2011/61/EU of the European Parliament and of the Council(2), provided that such a client is protected under the applicable insolvency law;

(f) in case of institutions operating promotional loans, the liabilities of the intermediary institution towards the originating or another promotional bank or another intermediary institution and the liabilities of the original promotional bank towards its funding parties in so far as the amount of these liabilities is matched by the promotional loans of that institution.

2. The liabilities referred to in paragraph 1(a) and (b) shall be evenly deducted on a transaction by transaction basis from the amount of total liabilities of the institutions which are parties of the transactions or agreements referred to in paragraph 1(a) and (b).

3. For the purpose of this Section, the yearly average amount, calculated on a quarterly basis, of liabilities referred to in paragraph 1 arising from derivative contracts shall be valued in accordance with Article 429(6) and (7) of Regulation (EU) No 575/2013.

However, the value assigned to liabilities arising from derivative contracts may not be less than 75 % of the value of the same liabilities resulting from the application of the accounting provisions applicable to the institution concerned for the purposes of financial reporting.

If, under national accounting standards applying to an institution, there is no accounting measure of exposure for certain derivative instruments because they are held off-balance sheet, the institution shall report to the resolution authority the sum of positive fair values of those derivatives as the replacement cost and add them to its on-balance sheet accounting values.

4. For the purpose of this Section, the total liabilities referred to in paragraph 1 shall exclude the accounting value of liabilities arising from derivative contracts and include the corresponding value determined in accordance with paragraph 3.

5. For verifying whether all conditions and requirements referred to in paragraphs 1 to 4 are met, the resolution authority shall be based on the relevant assessments conducted by competent authorities that are made available in accordance with Article 90 of Directive 2014/59/EU.

Article 6 Risk pillars and indicators

1. The resolution authority shall assess the risk profile of institutions on the basis of the following four risk pillars:

(a) Risk exposure;

(b) Stability and variety of sources of funding;

(c) Importance of an institution to the stability of the financial system or economy;

(d) Additional risk indicators to be determined by the resolution authority.

2. The ‘Risk exposure’ pillar shall consist of the following risk indicators:

(a) Own funds and eligible liabilities held by the institution in excess of MREL;

(b) Leverage Ratio;

(c) Common Equity Tier 1 Capital Ratio;

(d) Total Risk Exposure divided by Total Assets.

3. The ‘Stability and variety of sources of funding’ pillar shall consist of the following risk indicators:

(a) Net Stable Funding Ratio;

(b) LCR.

4. The ‘Importance of an institution to the stability of the financial system or economy’ pillar shall consist of the indicator ‘Share of interbank loans and deposits in the European Union, capturing the importance of the institution to the economy of the Member State of establishment’.

5. The ‘Additional risk indicators to be determined by the resolution authority’ pillar shall consist of the following indicators:

(a) Trading activities, off-balance sheet exposures, derivatives, complexity and resolvability;

(b) Membership in an Institutional Protection Scheme;

(c) Extent of previous extraordinary public financial support.

When determining the various risk indicators in the ‘Additional risk indicators to be determined by the resolution authority’ pillar, the resolution authority shall take into account the importance of those indicators in the light of the probability that the institution concerned would enter resolution and of the consequent probability of making use of the resolution financing arrangement where the institution would be resolved.

6. When determining the indicators ‘Trading activities, off-balance sheet exposures, derivatives, complexity and resolvability’ referred to in paragraph 5(a), the resolution authority shall take into account the following elements:

(a) The increase in the risk profile of the institution due to:

(i)

the importance of trading activities relative to the balance sheet size, the level of own funds, the riskiness of the exposures, and the overall business model;

(ii)

the importance of the off-balance sheet exposures relative to the balance sheet size, the level of own funds, and the riskiness of the exposures;

(iii)

the importance of the amount of derivatives relative to the balance sheet size, the level of own funds, the riskiness of the exposures, and the overall business model;

(iv)

the extent to which in accordance with Chapter II of Title II of Directive 2014/59/EU the business model and organizational structure of an institution are deemed complex.

(b) The decrease of the risk profile of the institution due to:

(i)

relative amount of derivatives which are cleared through a central counterparty (CCP);

(ii)

the extent to which in accordance with Chapter II of Title II of Directive 2014/59/EU an institution can be resolved promptly and without legal impediments.

7. When determining the indicator referred to in paragraph 5(b), the resolution authority shall take into account the following elements:

(a) whether the amount of funds which are available without delay for both recapitalisation and liquidity funding purposes in order to support the affected institution in case of problems is sufficiently large to allow for a credible and effective support of that institution;

(b) the degree of legal or contractual certainty that the funds referred to in point (a) will be fully utilized before any extraordinary public support may be requested.

8. The risk indicator referred to in paragraph 5(c) shall take the maximum value of the range referred to in Step 3 of Annex I for:

(a) any institution that is part of a group that has been put under restructuring after receiving any State or equivalent funds such as from a resolution financing arrangement, and is still within the restructuring or winding down period, except for the last 2 years of implementation of the restructuring plan;

(b) any institution that is liquidated, until the end of the liquidation plan (to the extent that it is still liable to pay the contribution).

It shall take the minimum value of the range referred to in Step 3 of Annex I for all other institutions.

9. For the purposes of paragraphs 6, 7 and 8, the resolution authority shall be based on the assessments conducted by competent authorities where available.

Article 7 Relative weight of each risk pillar and indicator

1. When assessing the risk profile of each institution the resolution authority shall apply the following weights to the risk pillars:

(a) Risk exposure: 50 %;

(b) Stability and variety of sources of funding: 20 %;

(c) Importance of an institution to the stability of the financial system or economy: 10 %;

(d) Additional risk indicators to be determined by the resolution authority: 20 %.

2. The relative weight of the risk indicators that resolution authorities shall assess to determine the ‘Risk exposure’ pillar shall be the following:

(a) Own funds and eligible liabilities held by the institution in excess of MREL: 25 %;

(b) Leverage Ratio: 25 %;

(c) Common Equity Tier 1 Capital Ratio: 25 %;

(d) Total Risk Exposure divided by Total Assets: 25 %.

3. Each risk indicator in the ‘Stability and variety of sources of funding’ pillar shall have an equal weight.

4. The relative weight of each indicator that resolution authorities shall assess to determine the ‘Additional risk indicators to be determined by the resolution authority’ pillar shall be the following:

(a) Trading activities and off-balance sheet exposures, derivatives, complexity and resolvability: 45 %;

(b) Membership in an Institutional Protection Scheme: 45 %;

(c) Extent of previous extraordinary public financial support: 10 %.

When applying the indicator referred to in point (b), the resolution authority shall take into account the relative weight of the indicator referred to in point (a).

Article 8 Application of the risk indicators in specific cases

1. Where a competent authority has granted a waiver to an institution in accordance with Articles 8 and 21 of Regulation (EU) No 575/2013, the indicator referred to in Article 6(3)(b) of this Regulation shall be applied by the resolution authority at the level of the liquidity sub-group. The score obtained by that indicator at the liquidity sub-group level shall be attributed to each institution which is part of the liquidity sub-group for the purposes of calculating that institution's risk indicator.

2. Where the competent authority has fully waived the application of capital requirements to an institution at individual level pursuant to Article 7(1) of Regulation (EU) No 575/2013 and the resolution authority has also fully waived the application at individual level to the same institution of the MREL in accordance with Article 45(12) of Directive 2014/59/EU, the indicator referred to in Article 6(2)(a) of this Regulation may be calculated at consolidated level. The score obtained by that indicator at consolidated level shall be attributed to each institution which is part of the group for the purposes of calculating that institution's risk indicator.

3. Where a competent authority has granted a waiver to an institution in other circumstances defined in Regulation (EU) No 575/2013, the relevant indicators may be calculated at consolidated level. The score obtained by those indicators at consolidated level shall be attributed to each institution which is part of the group for the purposes of calculating that institution's risk indicators.

Article 9 Application of the risk adjustment to the basic annual contribution

1. The resolution authority shall determine the additional risk adjusting multiplier for each institution by combining the risk indicators referred to in Article 6 in accordance with the formula and the procedures set out in Annex I.

2. Without prejudice to Article 10, the annual contribution of each institution shall be determined for each contribution period by the resolution authority by multiplying the basic annual contribution by the additional risk adjusting multiplier in accordance with the formula and the procedures set out in Annex I.

3. The risk adjusting multiplier shall range between 0,8 and 1,5.

Article 10 Annual contributions of small institutions

1. Institutions whose total liabilities, less own funds and covered deposits, are equal to or less than EUR 50 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 1 000 as annual contribution for each contribution period.

2. Institutions whose total liabilities, less own funds and covered deposits, are above EUR 50 000 000 but equal to or less than EUR 100 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 2 000 as annual contribution for each contribution period.

3. Institutions whose total liabilities, less own funds and covered deposits, are above EUR 100 000 000 but equal to or less than EUR 150 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 7 000 as annual contribution for each contribution period.

4. Institutions whose total liabilities, less own funds and covered deposits, are above EUR 150 000 000 but equal to or less than EUR 200 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 15 000 as annual contribution for each contribution period.

5. Institutions whose total liabilities, less own funds and covered deposits, are above EUR 200 000 000 but equal to or less than EUR 250 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 26 000 as annual contribution for each contribution period.

6. Institutions whose total liabilities, minus own funds and covered deposits, are above EUR 250 000 000 but equal to or less than EUR 300 000 000, and whose total assets are less than EUR 1 000 000 000, shall pay a lump-sum of EUR 50 000 as annual contribution for each contribution period.

7. Without prejudice to paragraph 8, if the institution provides sufficient evidence that the lump sum amount referred to in paragraphs 1 to 6 is higher than the contribution calculated in accordance with Article 5, the resolution authority shall apply the lower.

8. Notwithstanding paragraphs 1 to 6, a resolution authority may adopt a reasoned decision determining that an institution has a risk profile that is disproportionate to its small size and apply Articles 5, 6, 7, 8 and 9 to that institution. That decision shall be based on the following criteria:

(a) the business model of an institution;

(b) the information reported by that institution pursuant to Article 14;

(c) the risk pillars and indicators referred to in Article 6;

(d) the assessment of the competent authority as regards the risk profile of that institution.

9. Paragraphs 1 to 8 shall not apply to those institutions whose total liabilities, less own funds and covered deposits are equal to or less than EUR 300 000 000 after the liabilities referred to in Article 5(1) have been excluded.

10. The exclusions referred to Article 5(1) shall not be taken into account when applying paragraphs 1 to 9 to institutions whose total liabilities, less own funds and covered deposits are equal to or less than EUR 300 000 000 before the liabilities referred to in Article 5(1) have been excluded.

Article 11 Annual contributions of institutions covered by Article 45(3) of Directive 2014/59/EU

1. Without prejudice to Article 10, the annual contributions of institutions referred to in Article 45(3) of Directive 2014/59/EU shall be calculated in accordance with Article 9 using 50 % of their basic annual contribution.

2. In case the resolution financing arrangement is used with regard to an institution referred to in Article 45(3) of Directive 2014/59/EU in a Member State for any of the purposes referred to in Article 101 of Directive 2014/59/EU, the resolution authority may adopt a reasoned decision determining that Articles 5, 6, 7, 8 and 9 apply to those institutions which have a risk profile that is similar or above the risk profile of the institution which has used the resolution financing arrangement for any of the purposes referred to in Article 101 of Directive 2014/59/EU. The determination of the similarity of the risk profile by the resolution authority for the purpose of its reasoned decision shall take into account all of the following elements:

(a) the business model of that institution;

(b) the information reported by that institution pursuant to Article 14;

(c) the risk pillars and indicators referred to in Article 6;

(d) the assessment of the competent authority as regards the risk profile of that institution.

Article 12 New supervised institutions or change of status

1. Where an institution is a newly supervised institution for only part of a contribution period, the partial contribution shall be determined by applying the methodology set out in Section 3 to the amount of its annual contribution calculated during the subsequent contribution period by reference to the number of full months of the contribution period for which the institution is supervised.

2. A change of status of an institution, including a small institution, during the contribution period shall not have an effect on the annual contribution to be paid in that particular year.

Article 13 Process for raising annual contributions

1. The resolution authority shall notify each institution referred to in Article 2 of its decision determining the annual contribution due by each institution at the latest by 1 May each year.

2. The resolution authority shall notify the decision in any of the following ways:

(a) electronically or by other comparable means of communication allowing for an acknowledgment of receipt;

(b) by registered mail with a form of acknowledgment of receipt.

3. The decision shall specify the condition and the means by which the annual contribution shall be paid and the share of irrevocable payment commitments referred to in Article 103 of Directive 2014/59/EU that each institution can use. The resolution authority shall accept collateral only of the kind and under conditions that allow for swift realisability including in the event of a resolution decision over the weekend. The collateral should be conservatively valued to reflect significantly deteriorated market conditions.

4. Without prejudice to any other remedy available to the resolution authority, in the event of partial payment, non-payment or non-compliance with the requirement set out in the decision, the institution concerned shall incur a daily penalty on the outstanding amount of the instalment.

The daily penalty interest shall accrue on a daily basis on the amount due at an interest rate applied by the European Central Bank to its principal refinancing operations, as published in the C series of the Official Journal of the European Union, in force on the first calendar day of the month in which the payment deadline falls increased by 8 percentage points from the date on which the instalment was due.

5. Where an institution is a newly supervised institution for only part of a contribution period, its partial annual contribution shall be collected together with the annual contribution due for the subsequent contribution period.

(1)

Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

(2)

Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).