Article 106 | Regulation 575/2013 | CRR

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CRR Tool Capital Requirements Regulation (CRR)

Article 106

Article 106 - Internal Hedges

Attention! This article will be amended on 28/06/2023. Please consult Regulation 2019/876 to review the changes that will be made to the article.

Article 106

Internal Hedges

An internal hedge shall in particular meet the following requirements:

(a)

it shall not be primarily intended to avoid or reduce own funds requirements;

(b)

it shall be properly documented and subject to particular internal approval and audit procedures;

(c)

it shall be dealt with at market conditions;

(d)

the market risk that is generated by the internal hedge shall be dynamically managed in the trading book within the authorised limits;

(e)

it shall be carefully monitored in accordance with adequate procedures.

The requirements of paragraph 1 apply without prejudice to the requirements applicable to the hedged position in the non-trading book.

By way of derogation from paragraphs 1 and 2, when an institution hedges a non-trading book credit risk exposure or counterparty risk exposure using a credit derivative booked in its trading book using an internal hedge, the non-trading book exposure or counterparty risk exposure shall not be deemed to be hedged for the purposes of calculating risk-weighted exposure amounts unless the institution purchases from an eligible third party protection provider a corresponding credit derivative meeting the requirements for unfunded credit protection in the non-trading book. Without prejudice to point (h) of Article 299(2), where such third party protection is purchased and recognised as a hedge of a non-trading book exposure for the purposes of calculating capital requirements, neither the internal nor external credit derivative hedge shall be included in the trading book for the purposes of calculating capital requirements.

Recitals

PART ONE - GENERAL PROVISIONS (Article 1-24)

TITLE I - SUBJECT MATTER, SCOPE AND DEFINITIONS (Article 1-5)Article 1 - Scope Article 2 - Supervisory powers Article 3 - Application of stricter requirements by institutionsQ&A Article 4 - DefinitionsQ&AGL Article 5 - Definitions specific to capital requirements for credit riskQ&A

TITLE II - LEVEL OF APPLICATION OF REQUIREMENTS (Article 6-24)

CHAPTER 1 - Application of requirements on an individual basis (Article 6-10)Article 6 - General principlesQ&A Article 7 - Derogation from the application of prudential requirements on an individual basisQ&A Article 8 - Derogation from the application of liquidity requirements on an individual basisQ&AGL Article 9 - Individual consolidation methodQ&A Article 10 - Waiver for credit institutions permanently affiliated to a central body

CHAPTER 2 - Prudential consolidation (Article 10a-24)

Section 1 - Application of requirements on a consolidated basis (Article 10a-17)Article 10a - Application of prudential requirements on a consolidated basis where investment firms are parent undertakings Article 11 - General treatmentQ&A Article 12 - Financial holding company or mixed financial holding company with both a subsidiary credit institution and a subsidiary investment firm [repealed]Article 12a - Consolidated calculation for G-SIIs with multiple resolution entitiesQ&A Article 13 - Application of disclosure requirements on a consolidated basisQ&A Article 14 - Application of requirements of Article 5 of Regulation (EU) 2017/2402 on a consolidated basisQ&A Article 15 - Derogation from the application of own funds requirements on a consolidated basis for groups of investment firms [repealed]Q&A Article 16 - Derogation from the application of the leverage ratio requirements on a consolidated basis for groups of investment firms [repealed]Article 17 - Supervision of investment firms waived from the application of own funds requirements on a consolidated basis [repealed]

Section 2 - Methods for prudential consolidation (Article 18)Article 18 - Methods of prudential consolidationITS/RTSQ&A

Section 3 - Scope of prudential consolidation (Article 19-24)Article 19 - Entities excluded from the scope of prudential consolidationQ&A Article 20 - Joint decisions on prudential requirementsITS/RTS Article 21 - Joint decisions on the level of application of liquidity requirements Article 22 - Sub-consolidation in case of entities in third countriesQ&A Article 23 - Undertakings in third countries Article 24 - Valuation of assets and off-balance sheet itemsQ&A

PART TWO - OWN FUNDS AND ELIGIBLE LIABILITIES (Article 25-91)

TITLE I - ELEMENTS OF OWN FUNDS (Article 25-80)

CHAPTER 1 - Tier 1 capital (Article 25)Article 25 - Tier 1 capital

CHAPTER 2 - Common Equity Tier 1 capital (Article 26-50)

Section 1 - Common Equity Tier 1 items and instruments (Article 26-31)Article 26 - Common Equity Tier 1 itemsITS/RTSQ&A Article 27 - Capital instruments of mutuals, cooperative societies, savings institutions or similar institutions in Common Equity Tier 1 itemsITS/RTS Article 28 - Common Equity Tier 1 instrumentsITS/RTSQ&A Article 29 - Capital instruments issued by mutuals, cooperative societies, savings institutions and similar institutionsITS/RTSQ&A Article 30 - Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be metQ&A Article 31 - Capital instruments subscribed by public authorities in emergency situations

Section 2 - Prudential filters (Article 32-35)Article 32 - Securitised assetsITS/RTSQ&A Article 33 - Cash flow hedges and changes in the value of own liabilitiesITS/RTSQ&A Article 34 - Additional value adjustmentsQ&A Article 35 - Unrealised gains and losses measured at fair valueQ&A

Section 3 - Deductions from Common Equity Tier 1 items, exemptions and alternatives (Article 36-49)

Sub-Section 1 - Deductions from Common Equity Tier 1 items (Article 36-47c)Article 36 - Deductions from Common Equity Tier 1 itemsITS/RTSQ&AGL Article 37 - Deduction of intangible assetsQ&A Article 38 - Deduction of deferred tax assets that rely on future profitabilityQ&A Article 39 - Tax overpayments, tax loss carry backs and deferred tax assets that do not rely on future profitabilityQ&A Article 40 - Deduction of negative amounts resulting from the calculation of expected loss amountsQ&A Article 41 - Deduction of defined benefit pension fund assetsITS/RTSQ&A Article 42 - Deduction of holdings of own Common Equity Tier 1 instrumentsQ&A Article 43 - Significant investment in a financial sector entity Article 44 - Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds Article 45 - Deduction of holdings of Common Equity Tier 1 instruments of financial sector entitiesQ&A Article 46 - Deduction of holdings of Common Equity Tier 1 instruments where an institution does not have a significant investment in a financial sector entityQ&A Article 47 - Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant investment in a financial sector entity Article 47a - Non-performing exposuresQ&AGL Article 47b - Forbearance measuresQ&AGL Article 47c - Deduction for non-performing exposuresQ&A

Sub-Section 2 - Exemptions from and alternatives to deduction from Common Equity Tier 1 items (Article 48-49)Article 48 - Threshold exemptions from deduction from Common Equity Tier 1 itemsQ&A Article 49 - Requirement for deduction where consolidation, supplementary supervision or institutional protection schemes are appliedITS/RTSQ&AGL

Section 4 - Common Equity Tier 1 capital (Article 50)Article 50 - Common Equity Tier 1 capital

CHAPTER 3 - Additional Tier 1 capital (Article 51-61)

Section 1 - Additional Tier 1 items and instruments (Article 51-55)Article 51 - Additional Tier 1 itemsQ&A Article 52 - Additional Tier 1 instrumentsITS/RTSQ&A Article 53 - Restrictions on the cancellation of distributions on Additional Tier 1 instruments and features that could hinder the recapitalisation of the institution Article 54 - Write down or conversion of Additional Tier 1 instrumentsQ&A Article 55 - Consequences of the conditions for Additional Tier 1 instruments ceasing to be metQ&A

Section 2 - Deductions from Additional Tier 1 items (Article 56-60)Article 56 - Deductions from Additional Tier 1 itemsQ&A Article 57 - Deductions of holdings of own Additional Tier 1 instrumentsQ&A Article 58 - Deduction of holdings of Additional Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds Article 59 - Deduction of holdings of Additional Tier 1 instruments of financial sector entitiesQ&A Article 60 - Deduction of holdings of Additional Tier 1 instruments where an institution does not have a significant investment in a financial sector entity

Section 3 - Additional Tier 1 capital (Article 61)Article 61 - Additional Tier 1 capital

CHAPTER 4 - Tier 2 capital (Article 62-71)

Section 1 - Tier 2 items and instruments (Article 62-65)Article 62 - Tier 2 itemsQ&A Article 63 - Tier 2 instrumentsQ&A Article 64 - Amortisation of Tier 2 instrumentsQ&A Article 65 - Consequences of the conditions for Tier 2 instruments ceasing to be met

Section 2 - Deductions from Tier 2 items (Article 66-70)Article 66 - Deductions from Tier 2 itemsQ&A Article 67 - Deductions of holdings of own Tier 2 instruments Article 68 - Deduction of holdings of Tier 2 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds Article 69 - Deduction of holdings of Tier 2 instruments of financial sector entitiesQ&A Article 70 - Deduction of Tier 2 instruments where an institution does not have a significant investment in a relevant entity

Section 3 - Tier 2 capital (Article 71)Article 71 - Tier 2 capital

CHAPTER 5 - Own funds (Article 72)Article 72 - Own funds

CHAPTER 5a - Eligible liabilities (Article 72a-72l)

Section 1 - Eligible liabilities items and instruments (Article 72a-72d)Article 72a - Eligible liabilities itemsQ&A Article 72b - Eligible liabilities instrumentsQ&A Article 72c - Amortisation of eligible liabilities instrumentsQ&A Article 72d - Consequences of the eligibility conditions ceasing to be met

Section 2 - Deductions from eligible liabilities items (Article 72e-72j)Article 72e - Deductions from eligible liabilities itemsQ&A Article 72f - Deduction of holdings of own eligible liabilities instruments Article 72g - Deduction base for eligible liabilities items Article 72h - Deduction of holdings of eligible liabilities of other G-SII entities Article 72i - Deduction of eligible liabilities where the institution does not have a significant investment in G-SII entities Article 72j - Trading book exception from deductions from eligible liabilities items

Section 3 - Own funds and eligible liabilities (Article 72k-72l)Article 72k - Eligible liabilities Article 72l - Own funds and eligible liabilities

CHAPTER 6 - General requirements for own funds and eligible liabilities (Article 73-80)Article 73 - Distributions on instrumentsITS/RTS Article 74 - Holdings of capital instruments issued by regulated financial sector entities that do not qualify as regulatory capitalQ&A Article 75 - Deduction and maturity requirements for short positions Article 76 - Index holdings of capital instruments and of liabilitiesITS/RTS Article 77 - Conditions for reducing own funds and eligible liabilitiesQ&A Article 78 - Supervisory permission to reduce own fundsITS/RTSQ&A Article 78a - Permission to reduce eligible liabilities instruments Article 79 - Temporary waiver from deduction from own funds and eligible liabilitiesITS/RTSQ&A Article 79a - Assessment of compliance with the conditions for own funds and eligible liabilities instruments Article 80 - Continuing review of the quality of own funds and eligible liabilities instruments

TITLE II - MINORITY INTEREST AND ADDITIONAL TIER 1 AND TIER 2 INSTRUMENTS ISSUED BY SUBSIDIARIES (Article 81-88a)Article 81 - Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capitalQ&A Article 82 - Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own fundsQ&A Article 83 - Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entityITS/RTS Article 84 - Minority interests included in consolidated Common Equity Tier 1 capitalITS/RTSQ&A Article 85 - Qualifying Tier 1 instruments included in consolidated Tier 1 capitalQ&A Article 86 - Qualifying Tier 1 capital included in consolidated Additional Tier 1 capitalQ&A Article 87 - Qualifying own funds included in consolidated own fundsQ&A Article 88 - Qualifying own funds instruments included in consolidated Tier 2 capital Article 88a - Qualifying eligible liabilities instruments

TITLE III - QUALIFYING HOLDINGS OUTSIDE THE FINANCIAL SECTOR (Article 89-91)Article 89 - Risk weighting and prohibition of qualifying holdings outside the financial sectorQ&A Article 90 - Alternative to 1250 % risk weightQ&A Article 91 - Exceptions

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 requirementsQ&A Article 92a - Requirements for own funds and eligible liabilities for G-SIIsQ&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 businessQ&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 servicesQ&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 OverheadsITS/RTS Article 98 - Own funds for investment firms on a consolidated basisQ&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&A Article 101 - Specific reporting obligations [repealed]ITS/RTSQ&A

CHAPTER 3 - Trading book (Article 102-106)Article 102 - Requirements for the trading book Article 103 - Management of the trading book Article 104 - Inclusion in the trading bookQ&A Article 104b - Requirements for trading deskQ&A Article 105 - Requirements for prudent valuationITS/RTSQ&A Article 106 - Internal HedgesQ&A

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

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

CHAPTER 2 - Standardised approach (Article 111-141)

Section 1 - General principles (Article 111-113)Article 111 - Exposure valueQ&A Article 112 - Exposure classesQ&A Article 113 - Calculation of risk-weighted exposure amountsQ&AGL

Section 2 - Risk weights (Article 114-134)Article 114 - Exposures to central governments or central banksITS/RTSQ&A Article 115 - Exposures to regional governments or local authoritiesITS/RTSQ&A Article 116 - Exposures to public sector entitiesITS/RTSQ&A Article 117 - Exposures to multilateral development banksQ&A Article 118 - Exposures to international organisationsQ&A Article 119 - Exposures to institutionsQ&A Article 120 - Exposures to rated institutionsQ&A Article 121 - Exposures to unrated institutionsQ&A Article 122 - Exposures to corporatesQ&A Article 123 - Retail exposuresQ&A Article 124 - Exposures secured by mortgages on immovable propertyITS/RTSQ&A Article 125 - Exposures fully and completely secured by mortgages on residential propertyQ&A Article 126 - Exposures fully and completely secured by mortgages on commercial immovable propertyQ&A Article 127 - Exposures in defaultQ&A Article 128 - Items associated with particular high riskQ&AGL Article 129 - Exposures in the form of covered bondsQ&A Article 130 - Items representing securitisation positions Article 131 - Exposures to institutions and corporates with a short-term credit assessmentQ&A Article 132 - Own funds requirements for exposures in the form of units or shares in CIUsQ&A Article 132a - Approaches for calculating risk-weighted exposure amounts of CIUsQ&A Article 132b - Exclusions from the approaches for calculating risk-weighted exposure amounts of CIUs Article 132c - Treatment of off-balance-sheet exposures to CIUsQ&A Article 133 - Equity exposuresQ&A Article 134 - Other itemsQ&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 assessmentsITS/RTSQ&A

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

Section 4 - Use of the ECAI credit assessments for the determination of risk weights (Article 138-141)Article 138 - General requirementsQ&A Article 139 - Issuer and issue credit assessmentQ&A Article 140 - Long-term and short-term credit assessmentsQ&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 - DefinitionsITS/RTSQ&A Article 143 - Permission to use the IRB ApproachITS/RTSQ&A Article 144 - Competent authorities' assessment of an application to use an IRB ApproachITS/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 classesQ&A Article 148 - Conditions for implementing the IRB Approach across different classes of exposure and business unitsQ&A Article 149 - Conditions to revert to the use of less sophisticated approaches Article 150 - Conditions for permanent partial useQ&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 classQ&A Article 152 - Treatment of exposures in the form of units or shares in CIUsQ&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 banksITS/RTSQ&A Article 154 - Risk-weighted exposure amounts for retail exposuresQ&A Article 155 - Risk-weighted exposure amounts for equity exposuresQ&A Article 156 - Risk-weighted exposure amounts for other non credit-obligation assets

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 typeQ&A Article 159 - Treatment of expected loss amountsQ&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&A Article 161 - Loss Given Default (LGD)Q&A Article 162 - MaturityQ&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&A

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 exposuresQ&A Article 167 - Equity exposures 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 principlesQ&AGL Article 170 - Structure of rating systemsGL Article 171 - Assignment to grades or poolsQ&AGL Article 172 - Assignment of exposuresQ&AGL Article 173 - Integrity of assignment processITS/RTSGL Article 174 - Use of modelsGL Article 175 - Documentation of rating systemsQ&AGL Article 176 - Data maintenanceGL Article 177 - Stress tests used in assessment of capital adequacyGL

Sub-Section 2 - Risk quantification (Article 178-184)Article 178 - Default of an obligorITS/RTSQ&AGL Article 179 - Overall requirements for estimationQ&AGL Article 180 - Requirements specific to PD estimationITS/RTSQ&AGL Article 181 - Requirements specific to own-LGD estimatesITS/RTSQ&AGL Article 182 - Requirements specific to own-conversion factor estimatesITS/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 exposuresQ&AGL Article 184 - Requirements for purchased receivablesGL

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

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

Sub-Section 5 - Internal governance and oversight (Article 189-191)Article 189 - Corporate GovernanceGL Article 190 - Credit risk controlGL Article 191 - Internal AuditGL

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

Section 1 - Definitions and general requirements (Article 192-194)Article 192 - DefinitionsQ&A Article 193 - Principles for recognising the effect of credit risk mitigation techniquesQ&A Article 194 - Principles governing the eligibility of credit risk mitigation techniquesQ&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 nettingQ&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 methodsITS/RTSQ&A Article 198 - Additional eligibility of collateral under the Financial Collateral Comprehensive MethodQ&A Article 199 - Additional eligibility for collateral under the IRB ApproachQ&A Article 200 - Other funded credit protection

Sub-Section 2 - Unfunded credit protection (Article 201-203)Article 201 - Eligibility of protection providers under all approachesQ&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 protectionQ&A

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

Section 3 - Requirements (Article 205-217)

Sub-Section 2 - Unfunded credit protection and credit linked notes (Article 213-217)Article 213 - Requirements common to guarantees and credit derivativesQ&A Article 214 - Sovereign and other public sector counter-guarantees Article 215 - Additional requirements for guaranteesQ&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 nettingQ&A Article 220 - Using the Supervisory Volatility Adjustments Approach or the Own Estimates Volatility Adjustments Approach for master netting agreementsQ&A Article 221 - Using the internal models approach for master netting agreements Article 222 - Financial Collateral Simple Method Article 223 - Financial Collateral Comprehensive MethodQ&A Article 224 - Supervisory volatility adjustment under the Financial Collateral Comprehensive MethodQ&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 MethodQ&A Article 228 - Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive methodQ&A Article 229 - Valuation principles for other eligible collateral under the IRB ApproachQ&A Article 230 - Calculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral under the IRB ApproachQ&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 ApproachQ&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 - DefinitionsQ&A Article 243 - Criteria for STS securitisations qualifying for differentiated capital treatmentGL

Section 2 - Recognition of significant risk transfer (Article 244-246)Article 244 - Traditional securitisationQ&AGL Article 245 - Synthetic securitisationQ&AGL Article 246 - Operational requirements for early amortisation provisionsQ&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 amountsQ&A Article 248 - Exposure valueGL Article 249 - Recognition of credit risk mitigation for securitisation positionsQ&A Article 250 - Implicit supportQ&AGL Article 251 - Originator institutions’ calculation of risk-weighted exposure amounts securitised in a synthetic securitisationQ&A Article 252 - Treatment of maturity mismatches in synthetic securitisationsQ&A Article 253 - Reduction in risk-weighted exposure amountsQ&A

Subsection 2 - Hierarchy of methods and common parameters (Article 254-257)Article 254 - Hierarchy of methodsQ&A Article 255 - Determination of KIRB and KSAQ&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-IRBAQ&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-SAQ&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-ERBAQ&A Article 265 - Scope and operational requirements for the Internal Assessment Approach Article 266 - Calculation of risk-weighted exposure amounts under the Internal Assessment ApproachQ&A

Subsection 4 - Caps for securitisation positions (Article 267-268)Article 267 - Maximum risk weight for senior securitisation positions: look-through approachQ&A Article 268 - Maximum capital requirementsQ&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 securitisationsITS/RTS Article 270a - Additional risk weightQ&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 mappingITS/RTS

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

Section 1 - Definitions (Article 271-272)Article 271 - Determination of the exposure valueQ&A Article 272 - DefinitionsQ&A

Section 2 - Methods for calculating the exposure value (Article 273-273b)Article 273 - Methods for calculating the exposure valueQ&A Article 273a - Conditions for using simplified methods for calculating the exposure valueQ&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 valueQ&A Article 275 - Replacement costQ&A Article 276 - Recognition and treatment of collateral Article 277 - Mapping of transactions to risk categoriesITS/RTS Article 277a - Hedging sets Article 278 - Potential future exposure Article 279 - Calculation of the risk position Article 279a - Supervisory deltaITS/RTSQ&A Article 279b - Adjusted notional amountQ&A Article 279c - Maturity FactorQ&A Article 280 - Hedging set supervisory factor coefficient Article 280a - Interest rate risk category add-onQ&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 valueQ&A Article 285 - Exposure value for netting sets subject to a margin agreementQ&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 testingGL Article 291 - Wrong-Way RiskQ&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-reducingQ&A Article 296 - Recognition of contractual netting agreementsQ&A Article 297 - Obligations of institutions Article 298 - Effects of recognition of netting as risk-reducingQ&A

Section 8 - Items in the trading book (Article 299)Article 299 - Items in the trading bookQ&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 CCPsQ&A Article 303 - Treatment of clearing members' exposures to CCPs Article 304 - Treatment of clearing members' exposures to clientsITS/RTSQ&A Article 305 - Treatment of clients' exposuresQ&A Article 306 - Own funds requirements for trade exposuresQ&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 CCPQ&A Article 310 - Own funds requirements for unfunded contributions to the default fund of a QCCPQ&A Article 311 - Own funds requirements for exposures to CCPs that cease to meet certain conditionsQ&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 notificationITS/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 requirementQ&A Article 316 - Relevant indicatorQ&A

CHAPTER 3 - Standardised Approach (Article 317-320)Article 317 - Own funds requirementQ&A Article 318 - Principles for business line mappingQ&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 StandardsQ&A Article 323 - Impact of insurance and other risk transfer mechanismsQ&A Article 324 - Loss event type classificationQ&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 riskQ&A Article 325a - Exemptions from specific reporting requirements for market riskQ&A Article 325b - Permission for consolidated requirementsQ&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

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 risksQ&A Article 325g - Own funds requirements for curvature risk Article 325h - Aggregation of risk-class specific own funds requirements for delta, vega and curvature risksQ&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 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 risksITS/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 amountsITS/RTS Article 325x - Net jump-to-default amountsQ&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 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 riskITS/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 weightsQ&A Article 325ay - Vega and curvature risk correlationsQ&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 calculationsGL Article 325bd - Liquidity horizonsITS/RTS Article 325be - Assessment of the modellability of risk factorsITS/RTS Article 325bf - Regulatory back-testing requirements and multiplication factorsITS/RTS Article 325bg - Profit and loss attribution requirementITS/RTS Article 325bh - Requirements on risk measurementGL 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 modelQ&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 - NettingQ&A Article 328 - Interest rate futures and forwards Article 329 - Options and warrantsITS/RTSQ&A Article 330 - Swaps Article 331 - Interest rate risk on derivative instrumentsQ&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 Article 336 - Own funds requirement for non-securitisation debt instruments Article 337 - Own funds requirement for securitisation instrumentsQ&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 riskQ&A Article 340 - Duration-based calculation of general riskQ&AGL

Section 3 - Equities (Article 341-344)Article 341 - Net positions in equity instrumentsITS/RTSQ&A Article 342 - Specific risk of equity instrumentsQ&A Article 343 - General risk of equity instrumentsQ&A Article 344 - Stock indicesITS/RTSQ&AGL

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

Section 5 - Specific risk own funds requirements for positions hedged by credit derivatives (Article 346-347)Article 346 - Allowance for hedges by credit derivativesQ&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 CIUsQ&A Article 349 - General criteria for CIUsQ&A Article 350 - Specific methods for CIUsQ&A

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

CHAPTER 4 - Own funds requirements for commodities risk (Article 355-361)Article 355 - Choice of method for commodities riskQ&A Article 356 - Ancillary commodities business Article 357 - Positions in commoditiesQ&A Article 358 - Particular instrumentsITS/RTSQ&A Article 359 - Maturity ladder approachQ&A Article 360 - Simplified approachQ&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 modelsITS/RTSQ&A Article 364 - Own funds requirements when using internal modelsQ&A

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

Section 3 - Requirements particular to specific risk modelling (Article 370-371)Article 370 - Requirements for modelling specific riskQ&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 modelQ&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 tradingQ&A

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

TITLE VI - OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK (Article 381-386)Article 381 - Meaning of credit valuation adjustmentQ&A Article 382 - ScopeITS/RTSQ&AGL Article 383 - Advanced methodITS/RTSQ&A Article 384 - Standardised methodQ&A Article 385 - Alternative to using CVA methods for calculating own funds requirements Article 386 - Eligible hedgesQ&A

PART FOUR - LARGE EXPOSURES (Article 387-403)Article 387 - Subject matter Article 388 - Negative Scope [repealed]Article 389 - DefinitionQ&A Article 390 - Calculation of the exposure valueITS/RTSQ&A Article 391 - Definition of an institution for large exposures purposesITS/RTSQ&A Article 392 - Definition of a large exposureQ&A Article 393 - Capacity to identify and manage large exposures Article 394 - Reporting requirementsITS/RTSQ&A Article 395 - Limits to large exposuresQ&AGL Article 396 - Compliance with large exposures requirementsGL Article 397 - Calculating additional own funds requirements for large exposures in the trading book Article 398 - Procedures to prevent institutions from avoiding the additional own funds requirement Article 399 - Eligible credit mitigation techniquesQ&A Article 400 - ExemptionsQ&A Article 401 - Calculating the effect of the use of credit risk mitigation techniquesQ&A Article 402 - Exposures arising from mortgage lendingQ&A Article 403 - Substitution approachQ&AGL

PART FIVE - EXPOSURES TO TRANSFERRED CREDIT RISK (Article 404-410)

TITLE I - GENERAL PROVISIONS FOR THIS PART (Article 404)Article 404 - Scope of application [repealed]

TITLE II - REQUIREMENTS FOR INVESTOR INSTITUTIONS (Article 405-407)Article 405 - Retained interest of the issuer [repealed]Q&A Article 406 - Due diligence [repealed]Article 407 - Additional risk weight [repealed]

TITLE III - REQUIREMENTS FOR SPONSOR AND ORIGINATOR INSTITUTIONS (Article 408-410)Article 408 - Criteria for credit granting [repealed]Article 409 - Disclosure to investors [repealed]Article 410 - Uniform condition of application [repealed]ITS/RTS

PART SIX - LIQUIDITY (Article 411-428az)

TITLE I - DEFINITIONS AND LIQUIDITY REQUIREMENTS (Article 411-414)Article 411 - DefinitionsQ&A Article 412 - Liquidity coverage requirementQ&A Article 413 - Stable funding requirement Article 414 - Compliance with liquidity requirements

TITLE II - LIQUIDITY REPORTING (Article 415-426)Article 415 - Reporting obligation and reporting formatITS/RTSQ&A Article 416 - Reporting on liquid assetsITS/RTSQ&A Article 417 - Operational requirements for holdings of liquid assetsQ&A Article 418 - Valuation of liquid assetsQ&A Article 419 - Currencies with constraints on the availability of liquid assetsITS/RTS Article 420 - Liquidity outflowsQ&A Article 421 - Outflows on retail depositsQ&AGL Article 422 - Outflows on other liabilitiesITS/RTSQ&AGL Article 423 - Additional outflowsITS/RTSQ&A Article 424 - Outflows from credit and liquidity facilitiesQ&A Article 425 - InflowsITS/RTSQ&AGL Article 426 - Updating Future liquidity requirements

TITLE III - REPORTING ON STABLE FUNDING (Article 427-428)Article 427 - Items providing stable fundingQ&A Article 428 - Items requiring stable fundingQ&A

TITLE IV - THE NET STABLE FUNDING RATIO (Article 428a-428h)

CHAPTER 1 - The net stable funding ratio (Article 428a-428b)Article 428a - Application on a consolidated basis Article 428b - The net stable funding ratio

CHAPTER 2 - General rules for the calculation of the net stable funding ratio (Article 428c-428h)Article 428c - Calculation of the net stable funding ratioQ&A Article 428d - Derivative contractsQ&A Article 428e - Netting of secured lending transactions and capital market-driven transactions Article 428f - Interdependent assets and liabilitiesQ&A Article 428g - Deposits in institutional protection schemes and cooperative networks Article 428h - Preferential treatment within a group or within an institutional protection schemeQ&A

CHAPTER 3 - Available stable funding (Article 428i-428o)

Section 1 - General provisions (Article 428i-428j)Article 428i - Calculation of the amount of available stable fundingQ&A Article 428j - Residual maturity of a liability or of own fundsQ&A

Section 2 - Available stable funding factors (Article 428k-428o)Article 428k - 0 % available stable funding factorQ&A Article 428l - 50 % available stable funding factorQ&A Article 428m - 90 % available stable funding factorQ&A Article 428n - 95 % available stable funding factorQ&A Article 428o - 100 % available stable funding factorQ&A

CHAPTER 4 - Required stable funding (Article 428p-428ah)

Section 1 - General provisions (Article 428p-428q)Article 428p - Calculation of the amount of required stable fundingQ&A Article 428q - Residual maturity of an assetQ&A

CHAPTER 5 - Derogation for small and non-complex institutions (Article 428ai)Article 428ai - Derogation for small and non-complex institutions

CHAPTER 6 - Available stable funding for the simplified calculation of the net stable funding ratio (Article 428aj-428ap)

Section 1 - General provisions (Article 428aj-428ak)Article 428aj - Simplified calculation of the amount of available stable funding Article 428ak - Residual maturity of a liability or own funds

Section 2 - Available stable funding factors (Article 428al-428ap)Article 428al - 0 % available stable funding factor Article 428am - 50 % available stable funding factor Article 428an - 90 % available stable funding factor Article 428ao - 95 % available stable funding factor Article 428ap - 100 % available stable funding factor

CHAPTER 7 - Required stable funding for the simplified calculation of the net stable funding ratio (Article 428aq-428az)

Section 1 - General provisions (Article 428aq-428ar)Article 428aq - Simplified calculation of the amount of required stable funding Article 428ar - Residual maturity of an asset

Section 2 - Required stable funding factors (Article 428as-428az)Article 428as - 0 % required stable funding factor Article 428at - 5 % required stable funding factor Article 428au - 10 % required stable funding factor Article 428av - 20 % required stable funding factor Article 428aw - 50 % required stable funding factor Article 428ax - 55 % required stable funding factor Article 428ay - 85 % required stable funding factor Article 428az - 100 % required stable funding factor

PART SEVEN - LEVERAGE (Article 429-429g)Article 429 - Calculation of the leverage ratioQ&A Article 429a - Exposures excluded from the total exposure measureQ&A Article 429b - Calculation of the exposure value of assetsQ&A Article 429c - Calculation of the exposure value of derivativesQ&A Article 429d - Additional provisions on the calculation of the exposure value of written credit derivativesQ&A Article 429e - Counterparty credit risk add-on for securities financing transactionsQ&A Article 429f - Calculation of the exposure value of off-balance-sheet itemsQ&A Article 429g - Calculation of the exposure value of regular-way purchases and sales awaiting settlementQ&A

PART SEVEN A - REPORTING REQUIREMENTS (Article 430-430c)Article 430 - Reporting on prudential requirements and financial informationITS/RTSQ&A Article 430a - Specific reporting obligationsQ&A Article 430b - Specific reporting requirements for market riskITS/RTS Article 430c - Feasibility report on the integrated reporting system

PART EIGHT - DISCLOSURE BY INSTITUTIONS (Article 431-455)

TITLE I - GENERAL PRINCIPLES (Article 431-434a)Article 431 - Disclosure requirements and policiesQ&AGL Article 432 - Non-material, proprietary or confidential informationQ&AGL Article 433 - Frequency and scope of disclosuresQ&AGL Article 433a - Disclosures by large institutionsQ&AGL Article 433b - Disclosures by small and non-complex institutionsQ&AGL Article 433c - Disclosures by other institutionsQ&AGL Article 434 - Means of disclosuresQ&AGL Article 434a - Uniform disclosure formatsITS/RTSQ&AGL

TITLE II - TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE (Article 435-451a)Article 435 - Disclosure of risk management objectives and policiesQ&AGL Article 436 - Disclosure of the scope of applicationQ&AGL Article 437 - Disclosure of own fundsITS/RTSQ&AGL Article 437a - Disclosure of own funds and eligible liabilitiesQ&AGL Article 438 - Disclosure of own funds requirements and risk-weighted exposure amountsQ&AGL Article 439 - Disclosure of exposures to counterparty credit riskQ&AGL Article 440 - Disclosure of countercyclical capital buffersITS/RTSQ&AGL Article 441 - Disclosure of indicators of global systemic importanceITS/RTSQ&AGL Article 442 - Disclosure of exposures to credit risk and dilution riskQ&AGL Article 443 - Disclosure of encumbered and unencumbered assetsITS/RTSQ&AGL Article 444 - Disclosure of the use of the Standardised ApproachQ&AGL Article 445 - Disclosure of exposure to market riskQ&AGL Article 446 - Disclosure of operational risk managementQ&AGL Article 447 - Disclosure of key metricsQ&AGL Article 448 - Disclosure of exposures to interest rate risk on positions not held in the trading bookQ&AGL Article 449 - Disclosure of exposures to securitisation positionsQ&AGL Article 449a - Disclosure of environmental, social and governance risks (ESG risks)Q&AGL Article 450 - Disclosure of remuneration policyQ&AGL Article 451 - Disclosure of the leverage ratioITS/RTSQ&AGL Article 451a - Disclosure of liquidity requirementsQ&AGL

TITLE III - QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIES (Article 452-455)Article 452 - Disclosure of the use of the IRB Approach to credit riskQ&AGL Article 453 - Disclosure of the use of credit risk mitigation techniquesQ&AGL Article 454 - Disclosure of the use of the Advanced Measurement Approaches to operational riskQ&AGL Article 455 - Use of internal market risk modelsQ&AGL

PART NINE - DELEGATED AND IMPLEMENTING ACTS (Article 456-464)Article 456 - Delegated actsQ&AGL Article 457 - Technical adjustments and corrections Article 458 - Macroprudential or systemic risk identified at the level of a Member State Article 459 - Prudential requirements Article 460 - LiquidityITS/RTSQ&A Article 461 - Review of the phasing-in of the liquidity coverage requirement Article 461a - Alternative standardised approach for market risk Article 462 - Exercise of the delegation Article 463 - Objections to regulatory technical standards Article 464 - European Banking Committee

PART TEN - TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS (Article 465-520)

TITLE I - TRANSITIONAL PROVISIONS (Article 465-501b)

CHAPTER 1 - Own funds requirements, unrealised gains and losses measured at fair value and deductions (Article 465-482)

Section 1 - Own funds requirements (Article 465-466)Article 465 - Own funds requirementsQ&A Article 466 - First time application of International Financial Reporting Standards

Section 2 - Unrealised gains and losses measured at fair value (Article 467-468)Article 467 - Unrealised losses measured at fair value [repealed]Q&A Article 468 - Temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the COVID-19 pandemicQ&AGL

Section 3 - Deductions (Article 469-478)

Sub-Section 1 - Deductions from Common Equity Tier 1 items (Article 469-473a)Article 469 - Deductions from Common Equity Tier 1 itemsQ&A Article 469a - Derogation from deductions from Common Equity Tier 1 items for non-performing exposuresQ&A Article 470 - Exemption from deduction from Common Equity Tier 1 itemsQ&A Article 471 - Exemption from Deduction of Equity Holdings in Insurance Companies from Common Equity Tier 1 ItemsQ&A Article 472 - Items not deducted from Common Equity Tier 1Q&A Article 473 - Introduction of amendments to IAS 19Q&A Article 473a - Introduction of IFRS 9Q&AGL

Sub-Section 2 - Deductions from Additional Tier 1 items (Article 474-475)Article 474 - Deductions from Additional Tier 1 items Article 475 - Items not deducted from Additional Tier 1 itemsQ&A

Sub-Section 3 - Deductions from Tier 2 items (Article 476-477)Article 476 - Deductions from Tier 2 items Article 477 - Deductions from Tier 2 itemsQ&A

Sub-Section 3a - Deductions from eligible liabilities items (Article 477a)Article 477a - Deductions from eligible liabilities items

Sub-Section 4 - Applicable percentages for deduction (Article 478)Article 478 - Applicable percentages for deduction from Common Equity Tier 1, Additional Tier 1 and Tier 2 itemsQ&A

Section 4 - minority interest and additional Tier 1 and Tier 2 instruments issued by subsidiaries (Article 479-480)Article 479 - Recognition in consolidated Common Equity Tier 1 capital of instruments and items that do not qualify as minority interests Article 480 - Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital

Section 5 - Additional filters and deductions (Article 481-482)Article 481 - Additional filters and deductionsITS/RTSQ&A Article 482 - Scope of application for derivatives transactions with pension funds

CHAPTER 2 - Grandfathering of capital instruments (Article 483-491)

Section 1 - Instruments constituting State aid (Article 483)Article 483 - Grandfathering of State aid instrumentsQ&A

Section 2 - Instruments not constituting State aid (Article 484-491)

Sub-Section 1 - Grandfathering eligibility and limits (Article 484-488)Article 484 - Eligibility for grandfathering of items that qualified as own funds under national transposition measures for Directive 2006/48/ECQ&A Article 485 - Eligibility for inclusion in the Common Equity Tier 1 of share premium accounts related to items that qualified as own funds under national transposition measures for Directive 2006/48/ECQ&A Article 486 - Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 itemsQ&A Article 487 - Items excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other elements of own fundsITS/RTSQ&A Article 488 - Amortisation of items grandfathered as Tier 2 itemsQ&A

Sub-Section 2 - Inclusion of instruments with a call and incentive to redeem in additional Tier 1 and Tier 2 items (Article 489-491)Article 489 - Hybrid instruments with a call and incentive to redeemQ&A Article 490 - Tier 2 items with an incentive to redeemQ&A Article 491 - Effective maturityQ&A

CHAPTER 3 - Transitional provisions for disclosure of own funds (Article 492)Article 492 - Disclosure of own fundsITS/RTS

CHAPTER 4 - Large exposures, own funds requirements, leverage and the Basel I Floor (Article 493-501b)Article 493 - Transitional provisions for large exposuresQ&A Article 494 - Transitional provisions concerning the requirement for own funds and eligible liabilities Article 494a - Grandfathering of issuances through special purpose entitiesQ&A Article 494b - Grandfathering of own funds instruments and eligible liabilities instrumentsQ&A Article 494c - Grandfathering of senior securitisation positions Article 495 - Treatment of equity exposures under the IRB ApproachITS/RTSQ&A Article 496 - Own funds requirements for covered bonds [repealed]Article 497 - Own funds requirements for exposures to CCPsITS/RTS Article 498 - Exemption for Commodities dealers Article 499 - LeverageQ&A Article 500 - Adjustment for massive disposalsQ&A Article 500a - Temporary treatment of public debt issued in the currency of another Member State Article 500b - Temporary exclusion of certain exposures to central banks from the total exposure measure in view of the COVID-19 pandemicGL Article 500c - Exclusion of overshootings from the calculation of the back-testing addend in view of the COVID-19 pandemicGL Article 500d - Temporary calculation of the exposure value of regular-way purchases and sales awaiting settlement in view of the COVID-19 pandemicGL Article 501 - Adjustment of risk-weighted non-defaulted SME exposuresQ&AGL Article 501a - Adjustment to own funds requirements for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public servicesQ&AGL Article 501b - Derogation from reporting requirements

TITLE II - REPORTS AND REVIEWS (Article 501c-519b)Article 501c - Prudential treatment of exposures related to environmental and/or social objectives Article 502 - Cyclicality of capital requirements Article 503 - Own funds requirements for exposures in the form of covered bonds Article 504 - Capital instruments subscribed by public authorities in emergency situations Article 504a - Holdings of eligible liabilities instruments Article 505 - Review of long-term financing Article 506 - Credit risk — definition of default Article 506a - CIUs with an underlying portfolio of euro area sovereign bonds Article 506b - NPE securitisations Article 507 - Large exposures Article 508 - Level of application Article 509 - Liquidity requirementsQ&A Article 510 - Net Stable Funding Requirements Article 511 - LeverageQ&A Article 512 - Exposures to transferred credit risk Article 513 - Macroprudential rules Article 514 - Method for the calculation of the exposure value of derivative transactions Article 515 - Monitoring and evaluationQ&A Article 516 - Long-term financing Article 517 - Definition of eligible capital Article 518 - Review of capital instruments which may be written down or converted at the point of non-viability Article 518a - Review of cross-default provisions Article 518b - Report on overshootings and supervisory powers to limit distributions Article 519 - Deduction of defined benefit pension fund assets from Common Equity Tier 1 items Article 519a - Reporting and review Article 519b - Own funds requirements for market risk

TITLE IIA - IMPLEMENTATION OF RULES (Article 519c)Article 519c - Compliance tool

TITLE III - AMENDMENTS (Article 520)Article 520 - Amendment of Regulation (EU) No 648/2012Q&A

PART ELEVEN - FINAL PROVISIONS (Article 521)Article 521 - Entry into force and date of applicationQ&A

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