Article 100 | CRR | Regulation 575/2013

Sub-Section - 1 - Exposures covered by guarantees provided by Member States’ central governments and central banks or the ECB (Article 159a)Article 159a - Non-application of PD, LGD and CCF input floors

Sub-Section 1 - Exposures to corporates, institutions, central governments and central banks, regional governments, local authorities and public sector entities (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) Article 164 - Loss Given Default (LGD) RTSQ&AGL

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3 - Equity exposures subject to PD/LGD method (Article 165)Article 165 - Equity exposures subject to the PD/LGD method [repealed]

Section 5 - Exposure value (Article 166-168)Article 166 - Exposures to corporates, institutions, central governments and central banks, regional governments, local authorities and public sector entities and retail exposures RTSQ&AGL Article 167 - Equity exposures [repealed] RTSQ&A Article 168 - Other non credit-obligation assets RTS

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

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

Sub-Section 2 - Risk quantification (Article 178-184)Article 178 - Default of an obligor or credit facility RTSQ&AGL Article 179 - Overall requirements for estimation RTSQ&AGL Article 180 - Requirements specific to PD estimation RTSQ&AGL Article 181 - Requirements specific to own-LGD estimates RTSQ&AGL Article 182 - Requirements specific to own-conversion factor estimates RTSQ&AGL Article 183 - Requirements for assessing the effect of unfunded credit protection for exposures to central governments and central banks, exposures to regional governments, local authorities and public sector entities, and exposures to corporates, where own estimates of LGD are used and for retail exposures RTSGL Article 184 - Requirements for purchased receivables GL

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

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

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

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 195-204a)

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 ITSQ&A Article 198 - Additional eligibility of collateral under the Financial Collateral Comprehensive Method ITSQ&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) [repealed] Q&A Article 203 - Eligibility of guarantees as unfunded credit protection Q&A

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

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 RTS 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) [repealed]

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

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 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 ITSQ&A Article 225 - Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method [repealed] Q&A 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 under the Financial Collateral Comprehensive method for exposures treated under the Standardised Approach Article 229 - Valuation principles for eligible collateral other than financial collateral Q&A Article 230 - Calculating risk-weighted exposure amounts and expected loss amounts for an exposure with an eligible funded credit protection under the IRB Approach Q&A Article 231 - Calculating risk-weighted exposure amounts and expected loss amounts in the case of pools of eligible funded credit protection for an exposure treated under the IRB Approach Article 232 - Other funded credit protection

Sub-Section 2 - Unfunded credit protection (Article 233-236a)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 substitution approach where the guaranteed exposure is treated under the Standardised Approach Q&A Article 235a - Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach and a comparable direct exposure to the protection provider is treated under the Standardised Approach Article 236 - Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach without the use of own estimates of LGD and a comparable direct exposure to the protection provider is treated under the IRB Approach Q&A Article 236a - Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach using own estimates of LGD and a comparable direct exposure to the protection provider is treated under the IRB Approach Q&A

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 [repealed]Article 241 - Nth-to-default credit derivatives [repealed]

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 Q&AGL

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 RTSQ&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 RTSGL 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 ITSQ&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 RTSQ&A Article 256 - Determination of attachment point (A) and detachment point (D) Q&A Article 257 - Determination of tranche maturity (MT) Q&AGL

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 Q&A Article 261 - Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA) ITSQ&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) ITS Article 264 - Treatment of STS securitisations under the SEC-ERBA ITSQ&A Article 265 - Scope and operational requirements for the Internal Assessment Approach Q&A Article 266 - Calculation of risk-weighted exposure amounts under the Internal Assessment Approach RTSQ&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 ITSQ&A Article 270a - Additional risk weight

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 ITSQ&A

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 RTSQ&A Article 273b - Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives and the simplified approach for calculating the own funds requirements for CVA risk

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 RTS Article 277a - Hedging sets Article 278 - Potential future exposure Article 279 - Calculation of the risk position Article 279a - Supervisory delta 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 Q&A 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 Q&AGL

Section 6 - Internal Model Method (Article 283-294)Article 283 - Permission to use the Internal Model Method ITS 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 ITSQ&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 Article 303 - Treatment of clearing members' exposures to CCPs Article 304 - Treatment of clearing members' exposures to clients 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&AGL

TITLE III - OWN FUNDS REQUIREMENT FOR OPERATIONAL RISK (Article 311a-324)

CHAPTER 1 - CALCULATION OF THE OWN FUNDS REQUIREMENT FOR OPERATIONAL RISK (Article 311a-315)Article 311a - Definitions Article 312 - Own funds requirement for operational risk ITSRTSQ&A Article 313 - Business indicator component Q&A Article 314 - Business indicator ITSRTSQ&A Article 315 - Adjustments to the business indicator RTSQ&A

CHAPTER 2 - DATA COLLECTION AND GOVERNANCE (Article 316-323)Article 316 - Calculation of the annual operational risk loss RTSQ&A Article 317 - Loss data set RTSQ&A Article 318 - Calculation of net loss and gross loss RTSQ&A Article 319 - Loss data thresholds Article 320 - Exclusion of losses Article 321 - Inclusion of losses from merged or acquired entities or activities RTS Article 322 - Comprehensiveness, accuracy and quality of the loss data RTSQ&A Article 323 - Operational risk management framework RTSQ&A

CHAPTER 4 - Advanced measurement approaches (Article 324)Article 324 - Loss event type classification [repealed]

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 RTSQ&A Article 325a - Conditions for using the simplified standardised approach ITSRTSQ&A Article 325b - Permission for consolidated requirements RTSQ&A

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

Section 1 - General provisions (Article 325c)Article 325c - Scope, structure and qualitative requirements of the alternative standardised approach RTSQ&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 Q&A 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 Q&A Article 325m - Credit spread risk factors for non-securitisation Q&A Article 325n - Credit spread risk factors for securitisation Q&A 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 RTSQ&A

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

Subsection 1 - Own funds requirements for the default risk for non-securitisations (Article 325w-325y)Article 325w - Gross jump-to-default amounts RTSQ&A 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 Q&A 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 Q&A 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 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 ITSRTSQ&A Article 325ba - Own funds requirements when using alternative internal models RTS

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

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

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 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 RTSQ&A Article 342 - Specific risk of equity instruments Q&A Article 343 - General risk of equity instruments Q&A Article 344 - Stock indices ITSQ&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 RTSQ&AGL Article 353 - Foreign exchange risk of CIUs Q&A Article 354 - Closely correlated currencies ITSQ&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 RTSQ&A Article 359 - Maturity ladder approach Q&A Article 360 - Simplified approach Q&A Article 361 - Extended maturity ladder approach Q&A

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 [repealed] Article 363 - Permission to use internal models [repealed] ITSRTSQ&A Article 364 - Own funds requirements when using internal models [repealed] Q&A

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

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

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

Section 5 - Internal model for correlation trading (Article 377)Article 377 - Requirements for an internal model for correlation trading [repealed] 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 GL

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 RTSQ&AGL Article 382a - Approaches for calculating the own funds requirements for CVA risk Article 383 - Standardised approach RTSQ&A Article 383a - Regulatory CVA model Article 383b - Own funds requirements for delta and vega risks Article 383c - Interest rate risk factors Article 383d - Foreign exchange risk factors Q&A Article 383e - Counterparty credit spread risk factors Article 383f - Reference credit spread risk factors Article 383g - Equity risk factors Article 383h - Commodity risk factors Article 383i - Delta risk sensitivities Article 383j - Vega risk sensitivities Article 383k - Risk weights for interest rate risk Article 383l - Intra-bucket correlations for interest rate risk Article 383m - Correlation across buckets for interest rate risk Article 383n - Risk weights for foreign exchange risk Article 383o - Correlations for foreign exchange risk Article 383p - Risk weights for counterparty credit spread risk Article 383q - Intra-bucket correlations for counterparty credit spread risk Article 383r - Correlations across buckets for counterparty credit spread risk Article 383s - Risk weights for reference credit spread risk Article 383t - Intra-bucket correlations for reference credit spread risk Article 383u - Correlations across buckets for reference credit spread risk Article 383v - Risk weight buckets for equity risk Article 383w - Correlations across buckets for equity risk Article 383x - Risk weight buckets for commodity risk Article 383z - Correlations across buckets for commodity risk Article 384 - Basic approach Q&A Article 385 - Simplified approach Article 386 - Eligible hedges Q&A

PART FOUR - LARGE EXPOSURES (Article 387-403)Article 387 - Subject matter Article 388 - Negative Scope [repealed] Article 389 - Definition Q&A Article 390 - Calculation of the exposure value RTSQ&A Article 391 - Definition of an institution for large exposures purposes IAQ&A Article 392 - Definition of a large exposure Q&A Article 393 - Capacity to identify and manage large exposures Article 394 - Reporting requirements ITSRTSQ&A Article 395 - Limits to large exposures Q&AGL Article 396 - Compliance with large exposures requirements GL 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 techniques Q&A Article 400 - Exemptions ITSQ&AGL Article 401 - Calculating the effect of the use of credit risk mitigation techniques Q&A Article 402 - Exposures arising from mortgage lending Q&A Article 403 - Substitution approach Q&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] RTSQ&A Article 406 - Due diligence [repealed] RTS Article 407 - Additional risk weight [repealed] ITS

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

PART SIX - LIQUIDITY (Article 411-428az)

TITLE I - DEFINITIONS AND LIQUIDITY REQUIREMENTS (Article 411-414)Article 411 - Definitions Q&A Article 412 - Liquidity coverage requirement ITSDAQ&A Article 413 - Stable funding requirement ITS Article 414 - Compliance with liquidity requirements GL

TITLE II - LIQUIDITY REPORTING (Article 415-426)Article 415 - Reporting obligation and reporting format ITSQ&AGL Article 416 - Reporting on liquid assets ITSQ&A Article 417 - Operational requirements for holdings of liquid assets Q&A Article 418 - Valuation of liquid assets Q&A Article 419 - Currencies with constraints on the availability of liquid assets ITSRTS Article 420 - Liquidity outflows Q&AGL Article 421 - Outflows on retail deposits Q&AGL Article 422 - Outflows on other liabilities RTSQ&AGL Article 423 - Additional outflows RTSQ&A Article 424 - Outflows from credit and liquidity facilities Q&A Article 425 - Inflows RTSQ&AGL Article 426 - Updating Future liquidity requirements

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

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

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 ratio Q&A Article 428d - Derivative contracts Q&A Article 428e - Netting of secured lending transactions and capital market-driven transactions Q&A Article 428f - Interdependent assets and liabilities Q&A Article 428g - Deposits in institutional protection schemes and cooperative networks Article 428h - Preferential treatment within a group or within an institutional protection scheme Q&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 funding Article 428j - Residual maturity of a liability or of own funds Q&A

Section 2 - Available stable funding factors (Article 428k-428o)Article 428k - 0 % available stable funding factor Q&A Article 428l - 50 % available stable funding factor Q&A Article 428m - 90 % available stable funding factor Q&A Article 428n - 95 % available stable funding factor Q&A Article 428o - 100 % available stable funding factor Q&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 funding Q&AGL Article 428q - Residual maturity of an asset Q&AGL

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 GL Article 428ar - Residual maturity of an asset GL

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 ratio Q&A Article 429a - Exposures excluded from the total exposure measure Q&A Article 429b - Calculation of the exposure value of assets Q&A Article 429c - Calculation of the exposure value of derivatives Q&A Article 429d - Additional provisions on the calculation of the exposure value of written credit derivatives Q&A Article 429e - Counterparty credit risk add-on for securities financing transactions Q&A Article 429f - Calculation of the exposure value of off-balance-sheet items Q&A Article 429g - Calculation of the exposure value of regular-way purchases and sales awaiting settlement Q&A

PART SEVEN A - REPORTING REQUIREMENTS (Article 430-430c)Article 430 - Reporting on prudential requirements and financial information ITSQ&A Article 430a - Specific reporting obligations ITSQ&A Article 430b - Specific reporting requirements for market risk [repealed] ITS Article 430c - Feasibility report on the integrated reporting system

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

TITLE I - GENERAL PRINCIPLES (Article 431-434c)Article 431 - Disclosure requirements and policies ITSQ&AGL Article 432 - Non-material, proprietary or confidential information ITSQ&AGL Article 433 - Frequency and scope of disclosures Q&AGL Article 433a - Disclosures by large institutions Article 433b - Disclosures by small and non-complex institutions Article 433c - Disclosures by other institutions Article 434 - Means of disclosures ITSQ&AGL Article 434a - Uniform disclosure formats ITSQ&A Article 434b - Accessibility of information on the European single access point Article 434c - Report on the feasibility of the use of information reported by institutions other than small and non-complex institutions to publish an extended set of disclosures on the EBA website

TITLE II - TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE (Article 435-451b)Article 435 - Disclosure of risk management objectives and policies ITSGL Article 436 - Disclosure of the scope of application ITSGL Article 437 - Disclosure of own funds ITSQ&AGL Article 437a - Disclosure of own funds and eligible liabilities ITSGL Article 438 - Disclosure of own funds requirements and risk-weighted exposure amounts ITSQ&AGL Article 439 - Disclosure of exposures to counterparty credit risk ITSQ&AGL Article 440 - Disclosure of countercyclical capital buffers ITSRTSQ&AGL Article 441 - Disclosure of indicators of global systemic importance ITSQ&AGL Article 442 - Disclosure of exposures to credit risk and dilution risk ITSQ&AGL Article 443 - Disclosure of encumbered and unencumbered assets ITSRTSGL Article 444 - Disclosure of the use of the Standardised Approach ITSGL Article 445 - Disclosure of exposures to market risk under the standardised approach ITSGL Article 445a - Disclosure of CVA risk ITS Article 446 - Disclosure of operational risk ITS Article 447 - Disclosure of key metrics ITSQ&A Article 448 - Disclosure of exposures to interest rate risk on positions not held in the trading book ITSQ&A Article 449 - Disclosure of exposures to securitisation positions ITS Article 449a - Disclosure of environmental, social and governance risks (ESG risks) ITSQ&A Article 449b - Disclosure of aggregate exposure to shadow banking entities Article 450 - Disclosure of remuneration policy ITSQ&AGL Article 451 - Disclosure of the leverage ratio ITSQ&AGL Article 451a - Disclosure of liquidity requirements ITSQ&A Article 451b - Disclosure of crypto-asset exposures and related activities

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 risk ITSQ&AGL Article 453 - Disclosure of the use of credit risk mitigation techniques ITSGL Article 454 - Disclosure of the use of the Advanced Measurement Approaches to operational risk ITS Article 455 - Use of internal models for market risk ITSGL

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

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

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 - Transitional arrangements for the output floor ITS 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 Q&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 items Q&A Article 469a - Derogation from deductions from Common Equity Tier 1 items for non-performing exposures Q&A Article 470 - Exemption from deduction from Common Equity Tier 1 items Q&A Article 471 - Exemption from Deduction of Equity Holdings in Insurance Companies from Common Equity Tier 1 Items Q&AGL Article 472 - Items not deducted from Common Equity Tier 1 Q&A Article 473 - Introduction of amendments to IAS 19 Q&A Article 473a - Introduction of IFRS 9 Q&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 items Q&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 items Q&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 items Q&AGL

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 deductions 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 instruments Q&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/EC Q&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/EC Q&A Article 486 - Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 items RTSQ&A Article 487 - Items excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other elements of own funds RTSQ&A Article 488 - Amortisation of items grandfathered as Tier 2 items Q&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 redeem Q&A Article 490 - Tier 2 items with an incentive to redeem Q&A Article 491 - Effective maturity Q&A

CHAPTER 3 - Transitional provisions for disclosure of own funds (Article 492)Article 492 - Disclosure of own funds ITS

TITLE II - REPORTS AND REVIEWS (Article 501c-519b)Article 501c - Prudential treatment of exposures to environmental or social factors Article 501d - Transitional provisions on the prudential treatment of crypto-assets ITSRTS Article 502 - Cyclicality of capital requirements Article 503 - Own funds requirements for exposures in the form of covered bonds DA Article 504 - Capital instruments subscribed by public authorities in emergency situations Article 504a - Holdings of eligible liabilities instruments Article 505 - Review of agricultural financing Article 506 - Credit risk — credit insurance Article 506a - CIUs with an underlying portfolio of euro area sovereign bonds Article 506b - NPE securitisations Article 506c - Credit risk — interaction between Common Equity Tier 1 capital reductions and credit risk parameters Article 506d - Prudential treatment of securitisation Article 506e - Recognition of capped or floored unfunded credit protection Article 506f - Prudential treatment of securities financing transactions Article 507 - Large exposures Article 508 - Level of application Article 509 - Liquidity requirements Q&A Article 510 - Net Stable Funding Requirements Article 511 - Leverage Q&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 evaluation Article 516 - Long-term financing Article 517 - Definition of eligible capital Q&A 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 518c - Review of the framework for prudential requirements 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-519f)Article 519c - Compliance tool Article 519d - Minimum haircut floor framework for securities financing transactions Article 519 e - Operational risk Article 519f - Proportionality

TITLE III - AMENDMENTS (Article 520-520a)Article 520 - Amendment of Regulation (EU) No 648/2012 Q&A Article 520a - Application of own funds requirements for market risk

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

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Level 2 legal acts

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