Changes from plenary report to adopted text

Removed(c) paragraph 3 is deleted;

Removed(158) in Article 325bi(1), point (b) is amended as follows:

Removed‘(b) an institution shall have a risk control unit that is independent from business trading units and that reports directly to senior management. That unit shall:

Removed(i) be responsible for designing and implementing any internal risk-measurement model used in the alternative internal model approach for the purposes of this Chapter;

Removed(ii) be responsible for the overall risk management system;

Removed(iii) produce and analyse daily reports on the output of any internal model used to calculate capital requirements for market risks, and on the appropriateness of measures to be taken in terms of trading limits.

RemovedA separate validation unit from the risk control unit shall conduct the initial and ongoing validation of any internal risk-measurement model used in the alternative internal model approach for the purposes of this Chapter.’;

Removed(158a) in Article 325bl(1), the following subparagraph is added:

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

Removed(159) Article 325bp is amended as follows:

Removed(a) paragraph 5 is amended as follows:

Removed(-i) point (a) is replaced by the following:

Removed‘(a) the default probabilities shall be floored at 0,01% for covered bond issuers and at 0,03 % for all other issuers; exposures that would receive a 0 % risk-weight under the Standardised Approach for credit risk in accordance with Chapter 2 of Title II shall not be floored;’;

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

Removed‘(d) an institution that has been granted permission to estimate default probabilities in accordance with Title II, Chapter 3, Section 1 for the exposure class and the rating system corresponding to a given issuer shall use the methodology set out therein to calculate the default probabilities of that issuer, provided that data for such estimation are available;

Removed(e) an institution that has not been granted permission to estimate default probabilities referred to in point (d) shall develop an internal methodology or use external sources to estimate these default probabilities consistently with the requirements applying to estimates of default probability under this Article.’;

Removed(ii) the following subparagraph is added:

Removed‘For the purposes of point (d), the data to perform the estimation of the default probabilities of a given issuer of a trading book position are available where, at the calculation date, the institution has a non-trading book position on the same obligor for which it estimates default probabilities in accordance with Title II, Chapter 3, Section 1 to calculate its own funds requirements set out in that Chapter.’;

Removed(b) paragraph 6 is amended as follows:

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

Removed‘(c) an institution that has been granted permission to estimate loss given default in accordance with Title II, Chapter 3, Section 1 for the exposure class and the rating system corresponding to a given exposure shall use the methodology set out therein to calculate loss given default estimates of that issuer, provided that data for such estimation are available;

Removed(d) an institution that has not been granted permission to estimate loss given default referred to in point (c) shall develop an internal methodology or use external sources to estimate loss given default consistently with the requirements applying to estimates of loss given default under this Article.’;

Removed(ii) the following subparagraph is added:

Removed‘For the purposes of point (c), the data to perform the estimation of the loss given default a given issuer of a trading book position are available where, at the calculation date, the institution has a non-trading book position on the same exposure for which it estimates loss given default in accordance with Title II, Chapter 3, Section 1 to calculate its own funds requirements set out in that Chapter.’;

Removed(160) in Article 337, paragraph 2 is replaced by the following:

Removed‘2. When determining risk weights for the purposes of paragraph 1, institutions shall use exclusively the approach set out in Title II, Chapter 5, Section 3.’;

Removed(161) in Article 338, paragraphs 1 and 2 are replaced by the following:

Removed‘1. For the purposes of this Article, an institution shall determine its correlation trading portfolio in accordance with the provisions set out in Article 325, paragraphs 6, 7 and 8.

Removed2. An institution shall determine the larger of the following amounts as the specific risk own funds requirement for the correlation trading portfolio:

Removed(a) the total specific risk own funds requirement that would apply just to the net long positions of the correlation trading portfolio;

Removed(b) the total specific risk own funds requirement that would apply just to the net short positions of the correlation trading portfolio.’;

Removed(162) in Article 352, paragraph 2 is deleted;

Removed(163) ▌Article 361 is amended as follows:

Removed(a) point (c) is deleted;

Removed(b) the second paragraph is replaced by the following:

Removed‘Institutions shall notify the use they make of this Article to their competent authorities.’;

Removed(164) in Part Three, Title IV, Chapter 5 is deleted;

Removed(165) in Article 381 , the following paragraph is added:

Removed‘For the purposes of this Title, ‘CVA risk’ means the risk of losses arising from changes in the value of CVA, calculated for the portfolio of transactions with a counterparty as set out in the first paragraph, due to movements in a counterparty’s credit spreads risk factors and in other risk factors embedded in the portfolio of transactions.’;

Removed(166) Article 382 is amended as follows:

Removed(a) paragraph 2 is replaced by the following:

Removed‘2. An institution shall include in the calculation of own funds required by paragraph 1 securities financing transactions that are fair-valued under the accounting framework applicable to the institution where the institution's CVA risk exposures arising from those transactions are material.’;

Removed(b) the following paragraphs 4a and 4b are inserted:

Removed‘4a. By way of derogation from paragraph 4, an institution may choose to calculate an own funds requirements for CVA risk, using any of the applicable approaches referred to in Article 382a, for those transactions that are excluded in accordance with paragraph 4, where the institution uses eligible hedges determined in accordance with Article 386 to mitigate the CVA risk of those transactions. Institutions shall establish policies to specify where they choose to satisfy their own funds requirements for CVA risk for such transactions.

Removed4b. Institutions shall report to their competent authorities the results of the calculations of the own funds requirements for CVA risk for all the transactions referred to in paragraph 4. For the purposes of that reporting requirement, institutions shall calculate the own funds requirements for CVA risk using the relevant approaches set out in Article 382a(1), that they would have used to satisfy an own funds requirement for CVA risk if those transactions were not excluded from the scope in accordance with paragraph 4.’

Removed(c) the following paragraph 6 is added:

Removed‘6. EBA shall develop draft regulatory technical standards to specify the conditions and the criteria that the institutions shall use to assess whether the CVA risk exposures arising from fair-valued securities financing transactions are material, as well as the frequency of that assessment.

RemovedEBA shall submit those draft regulatory technical standards to the Commission by [OP please insert the date = 2 years after the entry into force of this Regulation].

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

Removed(167) the following Article 382a is inserted:

Removed‘Article 382a Approaches for calculating the own funds requirements for CVA risk

Removed1. An institution shall calculate the own funds requirements for CVA risk for all the transactions referred to in Article 382 in accordance with the following approaches:

Removed(a) the standardised approach set out in Article 383, where the institution has been granted permission to use that approach by the competent authorities;

Removed(b) the basic approach set out in Article 384;

Removed(c) the simplified approach set out in Article 385, provided that the institution meets the conditions set out in paragraph 1 of that Article.

Removed2. An institution shall not use the approach referred to in paragraph 1, point (c), in combination with the approaches referred to in paragraph 1, points (a) or (b).

Removed3. An institution may use a combination of the approaches referred to in paragraph 1, points (a) and (b), to calculate the own funds requirements for CVA risk on a permanent basis in the following situations:

Removed(a) for different counterparties;

Removed(b) for different eligible netting sets with the same counterparty;

Removed(c) for different transactions of the same eligible netting set, provided that the following conditions are met: