Changes from plenary report to adopted text

Removed(i) in Table 4, the sector of bucket 13 is replaced by the following:

Removed‘Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority, promotional lenders and covered bonds.’;

Removed(ii) the following subparagraph is added:

Removed‘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.’;

Removed(b) the following paragraph 3 is added:

Removed‘3. By way of derogation from paragraph 2, institutions may assign a risk exposure of an unrated covered bond to bucket 4 where the institution that issued the covered bond has a credit quality step 1 to 3.’;

Removed(145) in Article 325ai(1), the definition of the term ρkl (name) is replaced by the following:

Removed‘ρkl (name) shall be equal to 1 where the two names of sensitivities k and l are identical; it shall be equal to 35 % where the two names of sensitivities k and l are in buckets 1 to 18 in Article 325ah(1), Table 4, otherwise it shall be equal to 80 %’;

Removed(146) in Article 325aj, the definition of γbc (rating) is replaced by the following:

Removed‘γbc (rating) shall be equal to:

Removed(a) 1, where buckets b and c are buckets 1 to 17 and both buckets have the same credit quality category (either ‘credit quality step 1 to 3’ or ‘credit quality step 4 to 6’); otherwise it shall be equal to 50 %; for the purposes of that calculation, bucket 1 shall be considered as belonging to the same credit quality category as buckets that have credit quality step 1 to 3

Removed(b) 1, where either bucket b or c is bucket 18;

Removed(c) 1, where bucket b or c is bucket 19 and the other bucket has credit quality step 1 to 3; otherwise it shall be equal to 50 %;

Removed(d) 1, where bucket b or c is bucket 20 and the other bucket has credit quality step 4 to 6; otherwise it shall be equal to 50 %;’;

Removed(147) Article 325ak is amended as follows:

Removed▌(a) in Table 6, the sector of bucket 13 is replaced by the following:

Removed‘Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority, promotional lenders and covered bonds’;

Removed(b) the following paragraphs are added:

Removed‘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.

RemovedBy way of derogation from the second paragraph, institutions may assign a risk exposure of an unrated covered bond to bucket 4 where the institution that issues the covered bond has a credit quality step 1 to 3.’;

Removed(148) in Article 325am(1), the following paragraph 3 is added:

Removed‘3. 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.’;

Removed(149) in Article 325as, Table 9 is amended as follows:

Removed(a) the bucket name of bucket 3 is replaced by the following:

Removed‘Energy - electricity’;

Removed(b) the following field is inserted:

Removed’;

Removed(150) Article 325ax is amended as follows:

Removed(a) paragraphs 1 and 2 are replaced by the following:

Removed‘1. Buckets for vega risk factors shall be similar to the buckets established for delta risk factors in accordance with, this Chapter, Section 3, Subsection 1.

Removed2. Risk weights for sensitivities to vega risk factors shall be assigned in accordance with the risk class of the risk factors, as follows:

RemovedTable 11

Removed(b) paragraph 3 is deleted.’;

Removed(ba) paragraph 6 is replaced by the following:

Removed‘6. For general interest rate, credit spread and commodity curvature risk factors, the curvature risk weight shall be the parallel shift of all the vertices for each curve on the basis of the highest prescribed delta risk weight referred to in Subsection 1 for the relevant risk bucket. ’;

Removed(151) Article 325az is amended as follows:

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

Removed‘1. The alternative internal model approach may be used by an institution to calculate its own funds requirements for market risk provided that the institution meets all the requirements set out in this Chapter.’;

Removed(c) paragraph 2, first subparagraph, is amended as follows:

Removed(i) points (c) and (d) are replaced by the following:

Removed‘(c) the trading desks have met the back-testing requirements referred to in Article 325bf(3);

Removed(d) the trading desks have met the profit and loss attribution (‘P&L attribution’) requirements referred to in Article 325bg;’;

Removed(ii) the following point (g) is added:

Removed‘(g) no positions in CIUs that meet the condition set out in Article 104(7), point (b), have been assigned to the trading desks.’;

Removed(c) paragraph 3 is replaced by the following:

Removed‘3. Institutions that have received the permission to use the alternative internal model approach shall also meet the reporting requirement set out in Article 325(3).’;

Removed(ca) in paragraph 8, point (b) is replaced by the following:

Removed‘(b) the assessment methodology under which competent authorities verify an institution's compliance with the requirements set out in this Chapter.’;

Removed(d) paragraph 9, first subparagraph, is amended as follows:

Removed(i) point (b) is replaced by the following:

Removed‘(b) to limit the calculation of the add-on to that resulting from overshootings under the back-testing of hypothetical changes as referred to in Article 325bf(6);’;

Removed(ii) the following point (c) is added:

Removed‘(c) to exclude the overshootings evidenced by the back-testing of hypothetical or actual changes from the calculation of the add-on as referred to in Article 325bf(6);’;

Removed(152) in Article 325ba, the following paragraph 3 is added:

Removed‘3. An institution using an alternative internal model shall calculate the total own funds requirements for market risk for all trading book positions and all non-trading book positions generating foreign exchange or commodity risks in accordance with the following formula:

Removedwhere:

RemovedAIMA = the sum of the own funds requirements referred in to paragraphs 1 and 2;

Removed= the additional own funds requirement referred in to Article 325bg(2);

Removed= the own funds requirements for market risk as calculated under the alternative standardised approach referred to in Article 325(1), point (a), for the portfolio of all trading book positions and all non-trading book positions generating foreign exchange or commodity risks;

Removed= the own funds requirements for market risk as calculated under the alternative standardised approach referred to in Article 325(1), point (a), for the portfolio of trading book positions and non-trading book positions generating foreign exchange or commodity risks for which the institution uses the alternative standardised approach to calculate the own funds requirements for market risk;