CHAPTER I
Subject matter, scope and definitions
Section 1
Subject matter and scope
Article 1. . . . . . . . . ....
Article 2. . . . . . . . . ....
Section 2
Definitions
Article 3. . . . . . . . . ....
CHAPTER II
Initial capital
Article 4. . . . . . . . . ....
Article 5. . . . . . . . . ....
Article 6. . . . . . . . . ....
Article 7. . . . . . . . . ....
Article 8. . . . . . . . . ....
Article 9. . . . . . . . . ....
Article 10. . . . . . . . . ....
CHAPTER III
Trading book
Article 11. . . . . . . . . ....
CHAPTER IV
Own funds
Article 12. . . . . . . . . ....
Article 13. . . . . . . . . ....
Article 14. . . . . . . . . ....
Article 15. . . . . . . . . ....
Article 16. . . . . . . . . ....
Article 17. . . . . . . . . ....
CHAPTER V
Section 1
Provisions against risks
Article 18. . . . . . . . . ....
Article 19. . . . . . . . . ....
Article 20. . . . . . . . . ....
Article 21. . . . . . . . . ....
Section 2
Application of requirements on a consolidated basis
Article 22. . . . . . . . . ....
Article 23. . . . . . . . . ....
Article 24. . . . . . . . . ....
Article 25. . . . . . . . . ....
Section 3
Calculation of consolidated requirements
Article 26. . . . . . . . . ....
Article 27. . . . . . . . . ....
Section 4
Monitoring and control of large exposures
Article 28. . . . . . . . . ....
Article 29. . . . . . . . . ....
Article 30. . . . . . . . . ....
Article 31. . . . . . . . . ....
Article 32. . . . . . . . . ....
Section 5
Valuation of positions for reporting purposes
Article 33. . . . . . . . . ....
Section 6
Risk management and capital assessment
Article 34. . . . . . . . . ....
Section 7
Reporting requirements
Article 35. . . . . . . . . ....
CHAPTER VI
Section 1
Competent authorities
Article 36. . . . . . . . . ....
Section 2
Supervision
Article 37. . . . . . . . . ....
Article 38. . . . . . . . . ....
CHAPTER VII
Disclosure
Article 39. . . . . . . . . ....
CHAPTER VIII
Section 1
Article 40. . . . . . . . . ....
Section 2
Delegated acts and powers of execution
Article 41. . . . . . . . . ....
Article 42. . . . . . . . . ....
Article 42a
Exercise of the delegation
Article 42b
Revocation of the delegation
Article 42c
Objections to delegated acts
Section 3
Transitional provisions
Article 43. . . . . . . . . ....
Article 44. . . . . . . . . ....
Article 45. . . . . . . . . ....
Article 46. . . . . . . . . ....
Article 47. . . . . . . . . ....
Article 48. . . . . . . . . ....
Section 4
Final provisions
Article 49. . . . . . . . . ....
Article 50. . . . . . . . . ....
Article 51. . . . . . . . . ....
Article 52. . . . . . . . . ....
Article 53. . . . . . . . . ....
Article 54. . . . . . . . . ....
ANNEX I
CALCULATING CAPITAL REQUIREMENTS FOR POSITION RISK
GENERAL PROVISIONS
Netting
1.. . . . . . . . . ....
2.. . . . . . . . . ....
3.. . . . . . . . . ....
Particular instruments
4. Interest-rate futures, forward-rate agreements (FRAs) and forward commitments to...
4.
Interest-rate futures, forward-rate agreements (FRAs) and forward commitments to buy...
5.
Options on interest rates, debt instruments, equities, equity indices, financial...
6.. . . . . . . . . ....
7.. . . . . . . . . ....
A.
TREATMENT OF THE PROTECTION SELLER
8.
When calculating the capital requirement for market risk of the...
B.
TREATMENT OF THE PROTECTION BUYER
First-to-default credit derivatives
Nth-to-default credit derivatives
9.. . . . . . . . . ....
10.. . . . . . . . . ....
11.. . . . . . . . . ....
Specific and general risks
12.. . . . . . . . . ....
TRADED DEBT INSTRUMENTS
13.. . . . . . . . . ....
Specific risk
14.
The institution shall assign its net positions in the trading...
14a.
By way of derogation from point 14, an institution may...
14b.
The correlation trading portfolio shall consist of securitisation positions and...
14c.
Positions which reference either of the following shall not be...
15.
For the purposes of point 14 qualifying items shall include:
16.. . . . . . . . . ....
16a.
For instruments in the trading book that are securitisation positions,...
General risk
(a)
Maturity-based
17.. . . . . . . . . ....
18.. . . . . . . . . ....
19.. . . . . . . . . ....
20.. . . . . . . . . ....
21.. . . . . . . . . ....
22.. . . . . . . . . ....
23.. . . . . . . . . ....
24.. . . . . . . . . ....
25.. . . . . . . . . ....
(b)
Duration-based
26.. . . . . . . . . ....
27.. . . . . . . . . ....
28.
The institution shall then calculate the modified duration of each...
29.. . . . . . . . . ....
30.. . . . . . . . . ....
31.
The institution shall calculate its duration-weighted long and its duration-weighted...
32.. . . . . . . . . ....
EQUITIES
33.. . . . . . . . . ....
Specific risk
34.. . . . . . . . . ....
35.
By derogation from point 34, the competent authorities may allow the...
General risk
36.. . . . . . . . . ....
Stock-index futures
37.. . . . . . . . . ....
38.. . . . . . . . . ....
39.. . . . . . . . . ....
40.. . . . . . . . . ....
UNDERWRITING
41.. . . . . . . . . ....
SPECIFIC RISK CAPITAL CHARGES FOR TRADING BOOK POSITIONS HEDGED BY...
42.. . . . . . . . . ....
43.
Full allowance shall be given when the value of two...
44.. . . . . . . . . ....
45.
Partial allowance shall be given when the value of two...
46.. . . . . . . . . ....
Capital charges for CIUs in the trading book
47.. . . . . . . . . ....
48.. . . . . . . . . ....
49.. . . . . . . . . ....
50.. . . . . . . . . ....
GENERAL CRITERIA
51.. . . . . . . . . ....
52.. . . . . . . . . ....
SPECIFIC METHODS
53.. . . . . . . . . ....
54.. . . . . . . . . ....
55.. . . . . . . . . ....
56.. . . . . . . . . ....
ANNEX II
CALCULATING CAPITAL REQUIREMETNS FOR SETTLEMENT AND COUNTERPARTY CREDIT RISK
SETTLEMENT/DELIVERY RISK
1.. . . . . . . . . ....
FREE DELIVERIES
2.. . . . . . . . . ....
3.
In applying a risk weight to free delivery exposures treated...
4.. . . . . . . . . ....
COUNTERPARTY CREDIT RISK (CCR)
5.. . . . . . . . . ....
6.. . . . . . . . . ....
7.
For the purposes of point 6:
8.. . . . . . . . . ....
9.
For the purposes of point 6 , in the case...
10.. . . . . . . . . ....
11.. . . . . . . . . ....
12.. . . . . . . . . ....
ANNEX III
CALCULATING CAPITAL REQUIREMENTS FOR FOREIGN-EXCHANGE RISK
1.. . . . . . . . . ....
2.. . . . . . . . . ....
2.1.
Firstly, the institution's net open position in each currency (including...
2.2.. . . . . . . . . ....
3.. . . . . . . . . ....
3.1.. . . . . . . . . ....
3.2.
The competent authorities may allow institutions to remove positions in...
4.. . . . . . . . . ....
ANNEX IV
CALCULATING CAPITAL REQUIREMENTS FOR COMMODITIES RISK
1.. . . . . . . . . ....
2.. . . . . . . . . ....
3.. . . . . . . . . ....
4.. . . . . . . . . ....
5.. . . . . . . . . ....
6.
For the purpose of point 19, the excess of an institution's...
7.
The competent authorities may regard the following positions as positions...
Particular instruments
8.
Commodity futures and forward commitments to buy or sell individual...
9.
Commodity swaps where one side of the transaction is a...
10.
Options on commodities or on commodity derivatives shall be treated...
11.. . . . . . . . . ....
12.. . . . . . . . . ....
(a)
Maturity ladder approach
13.
The institution shall use a separate maturity ladder in line...
14.
Competent authorities may allow positions which are, or are regarded...
15.. . . . . . . . . ....
16.. . . . . . . . . ....
17.
The institution's capital requirement for each commodity shall be calculated...
18.. . . . . . . . . ....
(b)
Simplified approach
19.
The institution's capital requirement for each commodity shall be calculated...
20.. . . . . . . . . ....
(c)
Extended Maturity ladder approach
21.
Competent authorities may authorise institutions to use the minimum spread,...
ANNEX V
USE OF INTERNAL MODELS TO CALCULATE CAPITAL REQUIREMENTS
1.. . . . . . . . . ....
2.
Recognition shall only be given if the competent authority is...
3.
Institutions shall have processes in place to ensure that their...
4.
The institution shall monitor the accuracy and performance of its...
5.
For the purpose of calculating capital requirements for specific risk...
5a.. . . . . . . . . ....
Scope
5b.. . . . . . . . . ....
Parameters
5c.
The approach to capture the incremental risks shall measure losses...
5d.
The liquidity horizons shall be set according to the time...
5e.
Hedges may be incorporated into an institution’s approach to capture...
5f.. . . . . . . . . ....
5g.. . . . . . . . . ....
Validation
5h.
As part of the independent review of their risk measurement...
Documentation
5i.. . . . . . . . . ....
Internal approaches based on different parameters
5j.. . . . . . . . . ....
Frequency of calculation
5k.. . . . . . . . . ....
5l.
The competent authorities shall recognise the use of an internal...
6.. . . . . . . . . ....
7.. . . . . . . . . ....
8.
For the purposes of points 10b(a) and (b), the multiplication...
9.
Each institution must meet a capital requirement expressed as the...
10.
The calculation of the value-at-risk measure shall be subject to...
10a.. . . . . . . . . ....
10b.
Each institution shall meet, on a daily basis, a capital...
10c.. . . . . . . . . ....
11.. . . . . . . . . ....
12.. . . . . . . . . ....
Interest rate risk
Foreign-exchange risk
Equity risk
Commodity risk
13.. . . . . . . . . ....
ANNEX VI
CALCULATING CAPITAL REQUIREMENTS FOR LARGE EXPOSURES
1.. . . . . . . . . ....
2.. . . . . . . . . ....
3.
As from 10 days after the excess has occurred, the...
ANNEX VII
TRADING
PART A
Trading Intent
1.
Positions/portfolios held with trading intent shall comply with the following...
PART B
Systems and Controls
1.. . . . . . . . . ....
2.
Systems and controls shall include at least the following elements:...
Prudent Valuation Methods
3.. . . . . . . . . ....
4.. . . . . . . . . ....
5.. . . . . . . . . ....
6.
The following requirements must be complied with when marking to...
7.. . . . . . . . . ....
Valuation adjustments
8.. . . . . . . . . ....
General standards
9.. . . . . . . . . ....
Standards for less liquid positions
10.. . . . . . . . . ....
11.. . . . . . . . . ....
12.. . . . . . . . . ....
13.. . . . . . . . . ....
PART C
Internal Hedges
1.
An internal hedge is a position that materially or completely...
2.. . . . . . . . . ....
3.. . . . . . . . . ....
PART D
Inclusion In The Trading Book
1.. . . . . . . . . ....
2.
Institutions shall have clearly defined policies and procedures for overall...
3.. . . . . . . . . ....
4.. . . . . . . . . ....
ANNEX VIII
REPEALED DIRECTIVES
PART A
Repealed directives together with their successive amendments
(referred to in Article 52)
PART B
Deadlines for transposition
(referred to in Article 52)
ANNEX IX
CORRELATION TABLE
. . . . . . . . . ....
Directive 2006/49/EC of the European Parliament and of the Council
of 14 June 2006
on the capital adequacy of investment firms and credit institutions (recast) (repealed)
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Repealed by Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (Text with EEA relevance).