Regulation 575/2013 | CRR

PART THREE - CAPITAL REQUIREMENTS (Article 92-386)

TITLE I - GENERAL REQUIREMENTS, VALUATION AND REPORTING (Article 92-106)

CHAPTER 1 - Required level of own funds (Article 92-98)

Section 1 - Own funds requirements for institutions (Article 92-94)Article 92 - Own funds requirements Q&AGL Article 92a - Requirements for own funds and eligible liabilities for G-SIIs Q&A Article 92b - Requirement for own funds and eligible liabilities for non-EU G-SIIs Article 93 - Initial capital requirement on going concern Article 94 - Derogation for small trading book business Q&A

Section 2 - Own funds requirements for investment firms with limited authorisation to provide investment services (Article 95-98)Article 95 - Own funds requirements for investment firms with limited authorisation to provide investment services Q&A Article 96 - Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2) of Directive 2013/36/EU Article 97 - Own Funds based on Fixed Overheads ITS/RTS Article 98 - Own funds for investment firms on a consolidated basis Q&A

CHAPTER 2 - Calculation and reporting requirements (Article 99-101)Article 99 - Reporting on own funds requirements and financial information [repealed] ITS/RTSQ&A Article 100 - Additional reporting requirements [repealed] Q&AGL Article 101 - Specific reporting obligations [repealed] ITS/RTSQ&A

CHAPTER 3 - Trading book (Article 102-106)Article 102 - Requirements for the trading book Q&A Article 103 - Management of the trading book Article 104 - Inclusion in the trading book Q&A Article 104b - Requirements for trading desk Q&A Article 105 - Requirements for prudent valuation ITS/RTSQ&A Article 106 - Internal Hedges Q&A

TITLE II - CAPITAL REQUIREMENTS FOR CREDIT RISK (Article 107-311)

CHAPTER 1 - General principles (Article 107-110)Article 107 - Approaches to credit risk ITS/RTSQ&A Article 108 - Use of credit risk mitigation technique under the Standardised Approach and the IRB Approach Q&AGL Article 109 - Treatment of securitisation positions Article 110 - Treatment of credit risk adjustment ITS/RTSQ&A

CHAPTER 2 - Standardised approach (Article 111-141)

Section 1 - General principles (Article 111-113)Article 111 - Exposure value Q&A Article 112 - Exposure classes Q&A Article 113 - Calculation of risk-weighted exposure amounts Q&AGL

Section 2 - Risk weights (Article 114-134)Article 114 - Exposures to central governments or central banks ITS/RTSQ&A Article 115 - Exposures to regional governments or local authorities ITS/RTSQ&AGL Article 116 - Exposures to public sector entities ITS/RTSQ&A Article 117 - Exposures to multilateral development banks Q&A Article 118 - Exposures to international organisations Q&A Article 119 - Exposures to institutions Q&A Article 120 - Exposures to rated institutions Q&A Article 121 - Exposures to unrated institutions Q&A Article 122 - Exposures to corporates Q&A Article 123 - Retail exposures Q&A Article 124 - Exposures secured by mortgages on immovable property ITS/RTSQ&A Article 125 - Exposures fully and completely secured by mortgages on residential property Q&A Article 126 - Exposures fully and completely secured by mortgages on commercial immovable property Q&A Article 127 - Exposures in default Q&AGL Article 128 - Items associated with particular high risk Q&AGL Article 129 - Exposures in the form of covered bonds Q&A Article 130 - Items representing securitisation positions Article 131 - Exposures to institutions and corporates with a short-term credit assessment Q&A Article 132 - Own funds requirements for exposures in the form of units or shares in CIUs Q&A Article 132a - Approaches for calculating risk-weighted exposure amounts of CIUs ITS/RTSQ&A Article 132b - Exclusions from the approaches for calculating risk-weighted exposure amounts of CIUs Article 132c - Treatment of off-balance-sheet exposures to CIUs Q&A Article 133 - Equity exposures Q&A Article 134 - Other items Q&A

Section 3 - Recognition and mapping of credit risk assessment (Article 135-137)

Sub-Section 1 - Recognition of ECAIs (Article 135)Article 135 - Use of credit assessments by ECAIs

Sub-Section 2 - Mapping of ECAI's credit assessments (Article 136)Article 136 - Mapping of ECAI's credit assessments ITS/RTSQ&A

Sub-Section 3 - Use of credit assessments by Export Credit Agencies (Article 137)Article 137 - Use of credit assessments by export credit agencies Q&A

Section 4 - Use of the ECAI credit assessments for the determination of risk weights (Article 138-141)Article 138 - General requirements Q&A Article 139 - Issuer and issue credit assessment Q&A Article 140 - Long-term and short-term credit assessments Q&A Article 141 - Domestic and foreign currency items

CHAPTER 3 - Internal Ratings Based Approach (Article 142-191)

Section 1 - Permission by competent authorities to use the IRB approach (Article 142-150)Article 142 - Definitions ITS/RTSQ&A Article 143 - Permission to use the IRB Approach ITS/RTSQ&AGL Article 144 - Competent authorities' assessment of an application to use an IRB Approach ITS/RTS Article 145 - Prior experience of using IRB approaches Article 146 - Measures to be taken where the requirements of this Chapter cease to be met Article 147 - Methodology to assign exposures to exposure classes Q&A Article 148 - Conditions for implementing the IRB Approach across different classes of exposure and business units Q&A Article 149 - Conditions to revert to the use of less sophisticated approaches Article 150 - Conditions for permanent partial use Q&A

Section 2 - Calculation of risk-weighted exposure amounts (Article 151-157)

Sub-Section 1 - Treatment by type of exposure class (Article 151-152)Article 151 - Treatment by exposure class Q&A Article 152 - Treatment of exposures in the form of units or shares in CIUs Q&A

Sub-Section 2 - Calculation of risk-weighted exposure amounts for credit risk (Article 153-156)Article 153 - Risk-weighted exposure amounts for exposures to corporates, institutions and central governments and central banks ITS/RTSQ&A Article 154 - Risk-weighted exposure amounts for retail exposures Q&A Article 155 - Risk-weighted exposure amounts for equity exposures Q&A Article 156 - Risk-weighted exposure amounts for other non credit-obligation assets Q&A

Sub-Section 3 - Calculation of risk-weighted exposure amounts for dilution risk of purchased receivables (Article 157)Article 157 - Risk-weighted exposure amounts for dilution risk of purchased receivables

Section 3 - Expected loss amounts (Article 158-159)Article 158 - Treatment by exposure type Q&A Article 159 - Treatment of expected loss amounts Q&AGL

Section 4 - PD, LGD and maturity (Article 160-165)

Sub-Section 1 - Exposures to corporates, institutions and central governments and central banks (Article 160-162)Article 160 - Probability of default (PD) Q&AGL Article 161 - Loss Given Default (LGD) Q&AGL Article 162 - Maturity Q&A

Sub-Section 2 - Retail exposures (Article 163-164)Article 163 - Probability of default (PD) Q&A Article 164 - Loss Given Default (LGD) ITS/RTSQ&AGL

Sub-Section 3 - Equity exposures subject to PD/LGD method (Article 165)Article 165 - Equity exposures subject to the PD/LGD method

Section 5 - Exposure value (Article 166-168)Article 166 - Exposures to corporates, institutions, central governments and central banks and retail exposures Q&A Article 167 - Equity exposures Q&A Article 168 - Other non credit-obligation assets

Section 6 - Requirements for the IRB approach (Article 169-191)

Sub-Section 1 - Rating systems (Article 169-177)Article 169 - General principles Q&AGL Article 170 - Structure of rating systems GL Article 171 - Assignment to grades or pools Q&AGL Article 172 - Assignment of exposures Q&AGL Article 173 - Integrity of assignment process ITS/RTSGL Article 174 - Use of models GL Article 175 - Documentation of rating systems Q&AGL Article 176 - Data maintenance GL Article 177 - Stress tests used in assessment of capital adequacy GL

Sub-Section 2 - Risk quantification (Article 178-184)Article 178 - Default of an obligor ITS/RTSQ&AGL Article 179 - Overall requirements for estimation Q&AGL Article 180 - Requirements specific to PD estimation ITS/RTSQ&AGL Article 181 - Requirements specific to own-LGD estimates ITS/RTSQ&AGL Article 182 - Requirements specific to own-conversion factor estimates ITS/RTSQ&AGL Article 183 - Requirements for assessing the effect of guarantees and credit derivatives for exposures to corporates, institutions and central governments and central banks where own estimates of LGD are used and for retail exposures Q&AGL Article 184 - Requirements for purchased receivables GL

Sub-Section 3 - Validation of internal estimates (Article 185)Article 185 - Validation of internal estimates GL

Sub-Section 4 - Requirements for equity exposures under the internal models approach (Article 186-188)Article 186 - Own funds requirement and risk quantification GL Article 187 - Risk management process and controls GL Article 188 - Validation and documentation GL

Sub-Section 5 - Internal governance and oversight (Article 189-191)Article 189 - Corporate Governance GL Article 190 - Credit risk control GL Article 191 - Internal Audit GL

CHAPTER 4 - Credit risk mitigation (Article 192-241)

Section 1 - Definitions and general requirements (Article 192-194)Article 192 - Definitions Q&A Article 193 - Principles for recognising the effect of credit risk mitigation techniques Q&A Article 194 - Principles governing the eligibility of credit risk mitigation techniques Q&A

Section 2 - Eligible forms of credit risk mitigation (Article 195-204)

Sub-Section 1 - Funded credit protection (Article 195-200)Article 195 - On-balance sheet netting Q&A Article 196 - Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactions Article 197 - Eligibility of collateral under all approaches and methods ITS/RTSQ&A Article 198 - Additional eligibility of collateral under the Financial Collateral Comprehensive Method Q&A Article 199 - Additional eligibility for collateral under the IRB Approach Q&A Article 200 - Other funded credit protection

Sub-Section 2 - Unfunded credit protection (Article 201-203)Article 201 - Eligibility of protection providers under all approaches Q&A Article 202 - Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Article 153(3) Q&A Article 203 - Eligibility of guarantees as unfunded credit protection Q&A

Sub-Section 3 - Types of derivatives (Article 204)Article 204 - Eligible types of credit derivatives Q&A

Section 3 - Requirements (Article 205-217)

Sub-Section 1 - Funded credit protection (Article 205-212)Article 205 - Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206 Article 206 - Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions Article 207 - Requirements for financial collateral Q&A Article 208 - Requirements for immovable property collateral Q&A Article 209 - Requirements for receivables Article 210 - Requirements for other physical collateral Article 211 - Requirements for treating lease exposures as collateralised Article 212 - Requirements for other funded credit protection Q&A

Sub-Section 2 - Unfunded credit protection and credit linked notes (Article 213-217)Article 213 - Requirements common to guarantees and credit derivatives Q&A Article 214 - Sovereign and other public sector counter-guarantees Article 215 - Additional requirements for guarantees Q&A Article 216 - Additional requirements for credit derivatives Article 217 - Requirements to qualify for the treatment set out in Article 153(3)

Section 4 - Calculating the effects of credit risk mitigation (Article 218-236)

Sub-Section 1 - Funded credit protection (Article 218-232)Article 218 - Credit linked notes Article 219 - On-balance sheet netting Q&A Article 220 - Using the Supervisory Volatility Adjustments Approach or the Own Estimates Volatility Adjustments Approach for master netting agreements Q&A Article 221 - Using the internal models approach for master netting agreements Article 222 - Financial Collateral Simple Method Q&A Article 223 - Financial Collateral Comprehensive Method Q&A Article 224 - Supervisory volatility adjustment under the Financial Collateral Comprehensive Method Q&A Article 225 - Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method Article 226 - Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method Article 227 - Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive Method Q&A Article 228 - Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method Q&A Article 229 - Valuation principles for other eligible collateral under the IRB Approach Q&A Article 230 - Calculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral under the IRB Approach Q&A Article 231 - Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral Article 232 - Other funded credit protection

Sub-Section 2 - Unfunded credit protection (Article 233-236)Article 233 - Valuation Article 234 - Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranching Article 235 - Calculating risk-weighted exposure amounts under the Standardised Approach Q&A Article 236 - Calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach

Section 5 - Maturity mismatches (Article 237-239)Article 237 - Maturity mismatch Article 238 - Maturity of credit protection Article 239 - Valuation of protection

Section 6 - Basket CRM techniques (Article 240-241)Article 240 - First-to-default credit derivatives Article 241 - Nth-to-default credit derivatives

CHAPTER 5 - Securitisation (Article 242-270e)

Section 1 - Definitions and criteria for simple, transparent and standardised securitisations (Article 242-243)Article 242 - Definitions Q&A Article 243 - Criteria for STS securitisations qualifying for differentiated capital treatment GL

Section 2 - Recognition of significant risk transfer (Article 244-246)Article 244 - Traditional securitisation Q&AGL Article 245 - Synthetic securitisation Q&AGL Article 246 - Operational requirements for early amortisation provisions Q&A

Section 3 - Calculation of risk-weighted exposure amounts (Article 247-270a)

Subsection 1 - General Provisions (Article 247-253)Article 247 - Calculation of risk-weighted exposure amounts Q&A Article 248 - Exposure value GL Article 249 - Recognition of credit risk mitigation for securitisation positions Q&A Article 250 - Implicit support Q&A Article 251 - Originator institutions’ calculation of risk-weighted exposure amounts securitised in a synthetic securitisation Q&A Article 252 - Treatment of maturity mismatches in synthetic securitisations Q&A Article 253 - Reduction in risk-weighted exposure amounts Q&A

Subsection 2 - Hierarchy of methods and common parameters (Article 254-257)Article 254 - Hierarchy of methods Q&A Article 255 - Determination of KIRB and KSA Q&A Article 256 - Determination of attachment point (A) and detachment point (D) Q&A Article 257 - Determination of tranche maturity (MT) GL

Subsection 3 - Methods to calculate risk-weighted exposure amounts (Article 258-266)Article 258 - Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA) Article 259 - Calculation of risk-weighted exposure amounts under the SEC-IRBA Q&A Article 260 - Treatment of STS securitisations under the SEC-IRBA Article 261 - Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA) Q&A Article 262 - Treatment of STS securitisations under the SEC-SA Q&A Article 263 - Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA) Article 264 - Treatment of STS securitisations under the SEC-ERBA Q&A Article 265 - Scope and operational requirements for the Internal Assessment Approach Article 266 - Calculation of risk-weighted exposure amounts under the Internal Assessment Approach Q&A

Subsection 4 - Caps for securitisation positions (Article 267-268)Article 267 - Maximum risk weight for senior securitisation positions: look-through approach Q&A Article 268 - Maximum capital requirements Q&A

Subsection 5 - Miscellaneous provisions (Article 269-270a)Article 269 - Re-securitisations Article 269a - Treatment of non-performing exposures (NPE) securitisations Article 270 - Senior positions in STS on-balance sheet securitisations ITS/RTS Article 270a - Additional risk weight Q&A

Section 4 - External credit assessments (Article 270b-270e)Article 270b - Use of credit assessments by ECAIs Article 270c - Requirements to be met by the credit assessments of ECAIs Article 270d - Use of credit assessments Article 270e - Securitisation mapping ITS/RTS

CHAPTER 6 - Counterparty credit risk (Article 271-311)

Section 1 - Definitions (Article 271-272)Article 271 - Determination of the exposure value Q&A Article 272 - Definitions Q&A

Section 2 - Methods for calculating the exposure value (Article 273-273b)Article 273 - Methods for calculating the exposure value Q&A Article 273a - Conditions for using simplified methods for calculating the exposure value Q&A Article 273b - Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives

Section 3 - Standardised approach for counterparty credit risk (Article 274-280f)Article 274 - Exposure value Q&A Article 275 - Replacement cost Q&A Article 276 - Recognition and treatment of collateral Article 277 - Mapping of transactions to risk categories ITS/RTS Article 277a - Hedging sets Article 278 - Potential future exposure Article 279 - Calculation of the risk position Article 279a - Supervisory delta ITS/RTSQ&A Article 279b - Adjusted notional amount Q&A Article 279c - Maturity Factor Q&A Article 280 - Hedging set supervisory factor coefficient Article 280a - Interest rate risk category add-on Q&A Article 280b - Foreign exchange risk category add-on Article 280c - Credit risk category add-on Article 280d - Equity risk category add-on Article 280e - Commodity risk category add-on Article 280f - Other risks category add-on

Section 4 - Simplified standardised approach for counterparty credit risk (Article 281)Article 281 - Calculation of the exposure value

Section 5 - Original exposure method (Article 282)Article 282 - Calculation of the exposure value

Section 6 - Internal Model Method (Article 283-294)Article 283 - Permission to use the Internal Model Method Article 284 - Exposure value Q&A Article 285 - Exposure value for netting sets subject to a margin agreement Q&A Article 286 - Management of CCR — Policies, processes and systems Article 287 - Organisation structures for CCR management Article 288 - Review of CCR management system Article 289 - Use test Article 290 - Stress testing GL Article 291 - Wrong-Way Risk Q&A Article 292 - Integrity of the modelling process Article 293 - Requirements for the risk management system Article 294 - Validation requirements

Section 7 - Contractual netting (Article 295-298)Article 295 - Recognition of contractual netting as risk-reducing Q&A Article 296 - Recognition of contractual netting agreements Q&A Article 297 - Obligations of institutions Article 298 - Effects of recognition of netting as risk-reducing Q&A

Section 8 - Items in the trading book (Article 299)Article 299 - Items in the trading book Q&A

Section 9 - Own funds requirements for exposures to a central counterparty (Article 300-311)Article 300 - Definitions Article 301 - Material scope Article 302 - Monitoring of exposures to CCPs Q&A Article 303 - Treatment of clearing members' exposures to CCPs Article 304 - Treatment of clearing members' exposures to clients ITS/RTSQ&A Article 305 - Treatment of clients' exposures Q&A Article 306 - Own funds requirements for trade exposures Q&A Article 307 - Own funds requirements for contributions to the default fund of a CCP Article 308 - Own funds requirements for pre-funded contributions to the default fund of a QCCP Article 309 - Own funds requirements for pre-funded contributions to the default fund of a non-qualifying CCP and for unfunded contributions to a non-qualifying CCP Q&A Article 310 - Own funds requirements for unfunded contributions to the default fund of a QCCP Q&A Article 311 - Own funds requirements for exposures to CCPs that cease to meet certain conditions Q&A

TITLE III - OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK (Article 312-324)

CHAPTER 1 - General principles governing the use of the different approaches (Article 312-314)Article 312 - Permission and notification ITS/RTS Article 313 - Reverting to the use of less sophisticated approaches Article 314 - Combined use of different approaches

CHAPTER 2 - Basic Indicator Approach (Article 315-316)Article 315 - Own funds requirement Q&A Article 316 - Relevant indicator Q&A

CHAPTER 3 - Standardised Approach (Article 317-320)Article 317 - Own funds requirement Q&A Article 318 - Principles for business line mapping Q&A Article 319 - Alternative Standardised Approach Article 320 - Criteria for the Standardised Approach

CHAPTER 4 - Advanced measurement approaches (Article 321-324)Article 321 - Qualitative standards Article 322 - Quantitative Standards Q&A Article 323 - Impact of insurance and other risk transfer mechanisms Q&A Article 324 - Loss event type classification Q&A

TITLE IV - OWN FUNDS REQUIREMENTS FOR MARKET RISK (Article 325-377)

CHAPTER 1 - General provisions (Article 325-325b)Article 325 - Approaches for calculating the own funds requirements for market risk Q&A Article 325a - Exemptions from specific reporting requirements for market risk Q&A Article 325b - Permission for consolidated requirements Q&A

CHAPTER 1a - Alternative standardised approach (Article 325c-325ay)

Section 1 - General provisions (Article 325c)Article 325c - Scope and structure of the alternative standardised approach Q&A

Section 2 - Sensitivities-based method for calculating the own funds requirement (Article 325d-325k)Article 325d - Definitions Article 325e - Components of the sensitivities-based method Article 325f - Own funds requirements for delta and vega risks Q&A Article 325g - Own funds requirements for curvature risk Article 325h - Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks Q&A Article 325i - Treatment of index instruments and other multi-underlying instruments Article 325j - Treatment of collective investment undertakings Article 325k - Underwriting positions

Section 3 - Risk factor and sensitivity definitions (Article 325l-325t)

Subsection 1 - Risk factor definitions (Article 325l-325q)Article 325l - General interest rate risk factors Article 325m - Credit spread risk factors for non-securitisation Q&A Article 325n - Credit spread risk factors for securitisation Article 325o - Equity risk factors Article 325p - Commodity risk factors Article 325q - Foreign exchange risk factors

Subsection 2 - Sensitivity definitions (Article 325r-325t)Article 325r - Delta risk sensitivities Article 325s - Vega risk sensitivities Article 325t - Requirements on sensitivity computations

Section 4 - The residual risk add-on (Article 325u)Article 325u - Own funds requirements for residual risks ITS/RTS

Section 5 - Own funds requirements for the default risk (Article 325v-325ad)Article 325v - Definitions and general provisions

Subsection 1 - Own funds requirements for the default risk for non-securitisations (Article 325w-325y)Article 325w - Gross jump-to-default amounts ITS/RTS Article 325x - Net jump-to-default amounts Q&A Article 325y - Calculation of the own funds requirements for the default risk

Subsection 2 - Own funds requirements for the default risk for securitisations not included in the ACTP (Article 325z-325aa)Article 325z - Jump-to-default amounts Article 325aa - Calculation of the own funds requirement for the default risk for securitisations

Subsection 3 - Own funds requirements for the default risk for securitisations included in the ACTP (Article 325ab-325ad)Article 325ab - Scope Article 325ac - Jump-to-default amounts for the ACTP Article 325ad - Calculation of the own funds requirements for the default risk for the ACTP

Section 6 - Risk weights and correlations (Article 325ae-325ay)

Subsection 1 - Delta risk weights and correlations (Article 325ae-325aw)Article 325ae - Risk weights for general interest rate risk Article 325af - Intra bucket correlations for general interest rate risk Article 325ag - Correlations across buckets for general interest rate risk Article 325ah - Risk weights for credit spread risk for non-securitisations Article 325ai - Intra-bucket correlations for credit spread risk for non-securitisations Q&A Article 325aj - Correlations across buckets for credit spread risk for non-securitisations Article 325ak - Risk weights for credit spread risk for securitisations included in the ACTP Article 325al - Correlations for credit spread risk for securitisations included in the ACTP Article 325am - Risk weights for credit spread risk for securitisations not included in the ACTP Article 325an - Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP Article 325ao - Correlations across buckets for credit spread risk for securitisations not included in the ACTP Article 325ap - Risk weights for equity risk ITS/RTS Article 325aq - Intra-bucket correlations for equity risk Article 325ar - Correlations across buckets for equity risk Article 325as - Risk weights for commodity risk Article 325at - Intra-bucket correlations for commodity risk Article 325au - Correlations across buckets for commodity risk Article 325av - Risk weights for foreign exchange risk Article 325aw - Correlations for foreign exchange risk

Subsection 2 - Vega and curvature risk weights and correlations (Article 325ax-325ay)Article 325ax - Vega and curvature risk weights Q&A Article 325ay - Vega and curvature risk correlations Q&A

CHAPTER 1b - Alternative internal model approach (Article 325az-325bp)

Section 1 - Permission and own funds requirements (Article 325az-325ba)Article 325az - Alternative internal model approach and permission to use alternative internal models Article 325ba - Own funds requirements when using alternative internal models

Section 2 - General requirements (Article 325bb-325bk)Article 325bb - Expected shortfall risk measure Article 325bc - Partial expected shortfall calculations Q&AGL Article 325bd - Liquidity horizons ITS/RTS Article 325be - Assessment of the modellability of risk factors ITS/RTSGL Article 325bf - Regulatory back-testing requirements and multiplication factors ITS/RTS Article 325bg - Profit and loss attribution requirement ITS/RTS Article 325bh - Requirements on risk measurement GL Article 325bi - Qualitative requirements Article 325bj - Internal validation Article 325bk - Calculation of stress scenario risk measure

Section 3 - Internal default risk model (Article 325bl-325bp)Article 325bl - Scope of the internal default risk model Article 325bm - Permission to use an internal default risk model Article 325bn - Own funds requirements for default risk using an internal default risk model Article 325bo - Recognition of hedges in an internal default risk model Article 325bp - Particular requirements for an internal default risk model Q&A

CHAPTER 2 - Own funds requirements for position risk (Article 326-350)

Section 1 - General provisions and specific instruments (Article 326-333)Article 326 - Own funds requirements for position risk Article 327 - Netting Q&A Article 328 - Interest rate futures and forwards Article 329 - Options and warrants ITS/RTSQ&A Article 330 - Swaps Article 331 - Interest rate risk on derivative instruments Q&A Article 332 - Credit Derivatives Article 333 - Securities sold under a repurchase agreement or lent

Section 2 - Debt instruments (Article 334-340)Article 334 - Net positions in debt instruments

Sub-Section 1 - Specific risk (Article 335-338)Article 335 - Cap on the own funds requirement for a net position Q&A Article 336 - Own funds requirement for non-securitisation debt instruments Article 337 - Own funds requirement for securitisation instruments Q&A Article 338 - Own funds requirement for the correlation trading portfolio

Sub-Section 2 - General risk (Article 339-340)Article 339 - Maturity-based calculation of general risk Q&A Article 340 - Duration-based calculation of general risk Q&AGL

Section 3 - Equities (Article 341-344)Article 341 - Net positions in equity instruments ITS/RTSQ&A Article 342 - Specific risk of equity instruments Q&A Article 343 - General risk of equity instruments Q&A Article 344 - Stock indices ITS/RTSQ&A

Section 4 - Underwriting (Article 345)Article 345 - Reduction of net positions Q&A

Section 5 - Specific risk own funds requirements for positions hedged by credit derivatives (Article 346-347)Article 346 - Allowance for hedges by credit derivatives Q&A Article 347 - Allowance for hedges by first and nth-to default credit derivatives

Section 6 - Own funds requirements for CIUs (Article 348-350)Article 348 - Own funds requirements for CIUs Q&A Article 349 - General criteria for CIUs Q&A Article 350 - Specific methods for CIUs Q&A

CHAPTER 3 - Own funds requirements for foreign-exchange risk (Article 351-354)Article 351 - De minimis and weighting for foreign exchange risk Q&A Article 352 - Calculation of the overall net foreign exchange position ITS/RTSQ&AGL Article 353 - Foreign exchange risk of CIUs Q&A Article 354 - Closely correlated currencies ITS/RTSQ&AGL

CHAPTER 4 - Own funds requirements for commodities risk (Article 355-361)Article 355 - Choice of method for commodities risk Q&A Article 356 - Ancillary commodities business Article 357 - Positions in commodities Q&A Article 358 - Particular instruments ITS/RTSQ&A Article 359 - Maturity ladder approach Q&A Article 360 - Simplified approach Q&A Article 361 - Extended maturity ladder approach

CHAPTER 5 - Use of internal models to calculate own funds requirements (Article 362-377)

Section 1 - Permission and own funds requirements (Article 362-364)Article 362 - Specific and general risks Article 363 - Permission to use internal models ITS/RTSQ&A Article 364 - Own funds requirements when using internal models Q&A

Section 2 - General requirements (Article 365-369)Article 365 - VaR and stressed VaR Calculation Article 366 - Regulatory back testing and multiplication factors Q&A Article 367 - Requirements on risk measurement Q&A Article 368 - Qualitative requirements GL Article 369 - Internal Validation

Section 3 - Requirements particular to specific risk modelling (Article 370-371)Article 370 - Requirements for modelling specific risk Q&A Article 371 - Exclusions from specific risk models

Section 4 - Internal model for incremental default and migration risk (Article 372-376)Article 372 - Requirement to have an internal IRC model Article 373 - Scope of the internal IRC model Article 374 - Parameters of the internal IRC model Q&A Article 375 - Recognition of hedges in the internal IRC model Article 376 - Particular requirements for the internal IRC model

Section 5 - Internal model for correlation trading (Article 377)Article 377 - Requirements for an internal model for correlation trading Q&A

TITLE V - OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK (Article 378-380)Article 378 - Settlement/delivery risk Q&A Article 379 - Free deliveries Q&A Article 380 - Waiver

TITLE VI - OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK (Article 381-386)Article 381 - Meaning of credit valuation adjustment Q&A Article 382 - Scope ITS/RTSQ&AGL Article 383 - Advanced method ITS/RTSQ&A Article 384 - Standardised method Q&A Article 385 - Alternative to using CVA methods for calculating own funds requirements Article 386 - Eligible hedges Q&A

Metadata

Legal acts based on CRR

Accompanying documents

Capital Requirements Regulation (CRR)

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 firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance)