Changes from plenary report to adopted text

RemovedCompetent authorities shall establish the frequency and intensity of the verification referred to in the previous subparagraph having regard to the size, systemic importance, nature, scale and complexity of the activities of the institution concerned and taking into account the principle of proportionality.

Removed5b. EBA shall develop draft regulatory technical standards to specify the assessment methodology under which competent authorities conduct the verification referred to in paragraph 3.’;

Removed(136) Article 325j is amended as follows:

Removed(a) paragraph 1 is replaced by the following:

Removed‘1. An institution shall calculate the own funds requirements for market risk of a position in a CIU using one of the following approaches:

Removed(a) an institution that meets the condition set out in Article 104(7), point (a), shall calculate the own funds requirements for market risk of that position by looking through the underlying positions of the CIU, on a monthly basis, as if those positions were directly held by the institution;

Removed(b) an institution that meets the condition set out in Article 104(7), point (b), shall calculate the own funds requirements for market risk of that position by using either of the following approaches:

Removed(i) it shall calculate the own funds requirement for market risk of the CIU by considering the position in the CIU as a single equity position allocated to the bucket ’Other sector‘ in Article 325ap(1), Table 8;

Removed(ii) it shall calculate the own funds requirement for market risk of the CIU in accordance with the limits set in the CIU’s mandate and in the relevant law.

Removed▌

RemovedFor the purposes of the calculation referred to in point (ii), the institution may calculate the own funds requirements for counterparty credit risk and own funds requirements for credit valuation adjustment risk of derivative positions of the CIU using the simplified approach set out in Article 132a(3).’;

Removed(b) the following paragraph 1a is inserted:

Removed‘1a. For the purposes of the approaches referred to in paragraph 1, point ▌(b)(ii), the institution shall:

Removed(a) apply the own funds requirements for the default risk set out in Section 5 and the residual risk add-on set out in Section 4 to a position in a CIU, where the mandate of that CIU allows it to invest in exposures that shall be subject to those own funds requirements; when using the calculation approach referred to in paragraph 1, point (b)(i), the institution shall consider the position in the CIU as a single unrated equity position allocated to the bucket “Unrated” in Article 325y(1), Table 2;

Removed(b) for all positions in the same CIU, use the same approach among the approaches set out in paragraph 1, point (b), to calculate the own funds requirements on a stand-alone basis as a separate portfolio.’;

Removed(c) paragraph 4 is replaced by the following:

Removed‘4. For the purposes of paragraph 1, point (b)(ii), an institution shall determine the calculation of the own funds requirements for market risk by determining the hypothetical portfolio that would attract the highest own funds requirements in accordance with Article 325c(2), point (a), based on the CIU’s mandate or relevant law, taking into account the leverage to the maximum extent, where applicable.

RemovedThe institution shall use the same hypothetical portfolio as the one referred to in the first subparagraph to calculate, where applicable, the own funds requirements for the default risk set out in Section 5 and the residual risk add-on set out in Section 4 to a position in a CIU.

RemovedThe methodology developed by the institution to determine the hypothetical portfolios of all positions in CIUs for which the calculations referred to in the first subparagraph are used shall be approved by its competent authority.’;

Removed(d) the following paragraphs 6 and 7 are added:

Removed‘6. To calculate the own funds requirements for market risk of a CIU position in accordance with the approach set out in paragraph 1, point (a), institutions may rely on a third party to perform such calculation, provided that all the following conditions are met:

Removed(a) the third party is one of the following:

Removed(i) the depository institution or the depository financial institution of the CIU, provided that the CIU exclusively invests in securities and deposits all securities at that depository institution or depository financial institution;

Removed(ii) for CIUs not covered by point (i), the CIU management company, provided that the CIU management company meets the criteria set out in Article 132(3), point (a);

Removed(iia) a third-party vendor on condition that the data, information or risk metrics are provided or calculated by the third parties referred to in points (i) or (ii) or by another such third-party vendor;

Removed(b) the third party provides the institution with the ▌ data, information or risk metrics to calculate the own fund requirement for market risk of the CIU position in accordance with the approach referred to in in paragraph 1, point (a);

Removed(c) an external auditor of the institution has confirmed the adequacy of the third party's data, ▌information or risk metrics referred to in point (b) and the institution’s competent authority has unrestricted access to these data, information or risk metrics upon request.

Removed7. EBA shall develop draft regulatory technical standards to specify further the technical elements of the methodology to determine hypothetical portfolios for the purposes of the approach set out in paragraph 4, including the manner in which institutions shall take into account in the methodology, where applicable, leverage to the maximum extent.

RemovedEBA shall submit those draft regulatory technical standards to the Commission by [OP please insert the date = 12 months after the date of entry into force of this Regulation].

RemovedPower is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;

Removed(137) in Article 325q, paragraph 2 is replaced by the following:

Removed‘2. The foreign exchange vega risk factors to be applied by institutions to options with underlyings that are sensitive to foreign exchange shall be the implied volatilities of exchange rates between currency pairs. Those implied volatilities shall be mapped to the following maturities in accordance with the maturities of the corresponding options subject to own funds requirements: 0,5 years, 1 year, 3 years, 5 years and 10 years.’;

Removed(138) in Article 325s(1), the formula for is replaced by the following:

Removed‘ ’;

Removed(139) Article 325t is amended as follows:

Removed(a) in paragraph 1, the second subparagraph is replaced by the following:

Removed‘By way of derogation from the first subparagraph, competent authorities may require an institution that has been granted permission to use the alternative internal model approach set out in Chapter 1b to use the pricing functions of the risk-measurement system of their internal model approach in the calculation of sensitivities under this Chapter for the purposes of the calculation and reporting requirements set out in Article 325(3).’;

Removed(b) in paragraph 5, point (a) is replaced by the following:

Removed‘(a) those alternative definitions are used for internal risk management purposes or for the reporting of profits and losses to senior management by an independent risk control unit within the institution;’;

Removed(c) in paragraph 6, point (a) is replaced by the following:

Removed‘(a) those alternative definitions are used for internal risk management purposes or for the reporting of profits and losses to senior management by an independent risk control unit within the institution;’;

Removed(139a) Article 325u is amended as follows:

Removed(a) in paragraph 4, the following point is added:

Removed‘(ca) the instrument aims solely at hedging the market risks of the trading book that generate own funds requirement for residual risks, provided that the institution has demonstrated to the satisfaction of the competent authority that the instrument should be treated as a hedging position.’;

Removed(b) the following paragraph is added:

Removed‘5a. For the purposes of paragraph 4, point (ca), EBA shall develop draft regulatory technical standards to specify the conditions that the competent authority has to assess to determine that an instrument is a hedging position.

RemovedEBA shall submit those draft regulatory technical standards to the Commission by 31 December 2024.

RemovedPower is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;

Removed(140) in Article 325v, the following paragraph 3 is added:

Removed‘3. For traded non-securitisation credit and equity derivatives, JTD amounts by individual constituents shall be determined by applying a look-through approach.’;

Removed(141) in Article 325y, the following paragraphs are added:

Removed‘6. For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the Standardised Approach for credit risk set out in Title II, Chapter 2.

Removed6a. Long and short positions in institution’s own debt should be excluded from the calculation of own funds requirements for default risk.’;

Removed(142) in Article 325ab, paragraph 2 is deleted.

Removed(143) in Article 325ae, paragraph 3 is replaced by the following:

Removed‘3. The risk weights of risk factors based on the currencies included in the most liquid currency sub-category as referred to in Article 325bd(7), point (b), and the domestic currency of the institution shall be the following:

Removed(a) for risk-free rate risk factors, the risk weights referred to in paragraph 1, Table 3 divided by ;

Removed(b) for inflation risk factor and cross currency basis risk factors, the risk weights referred to in paragraph 2 divided by .’;

Removed(144) Article 325ah is amended as follows:

Removed(a) paragraph 1 is amended as follows: