Changes from plenary report to adopted text

RemovedTable 1

RemovedTable 2

Removed2. An institution that meets the condition referred in to paragraph 1, point (b), shall calculate the own funds requirements for CVA risk as follows:

Removedwhere all the terms are the ones set out in paragraph 2.

Removed1. An institution that meets all the conditions set out in Article 273a(2), or has been permitted by its competent authorities in accordance with Article 273a(4) to apply the approach set out in Article 282, may calculate the own funds requirements for CVA risk as the risk-weighted exposure amounts for counterparty risk for non-trading book and trading book positions respectively, referred to in Article 92(3), points (a) and (f), divided by 12,5.

Removed2. For the purposes of the calculation referred to in paragraph 1, the following requirements shall apply:

Removed(a) only transactions subject to the own funds requirements for CVA risk laid down in Article 382 shall be subject to that calculation;

Removed(b) credit derivatives that are recognised as internal hedges against counterparty risk exposures shall not be included in that calculation.

Removed3. An institution that no longer meets one or more of the conditions set out in Article 273a(2) shall comply with the requirements set out in Article 273b.

Removed1. Positions in hedging instruments shall be recognised as ‘eligible hedges’ for the calculation of own funds requirements for CVA risk in accordance with Articles 383 and 384 where those positions meet all of the following requirements:

Removed(a) those positions are used for the purpose of mitigating CVA risk and are managed as such;

Removed(b) those positions can be entered into with third parties or with the institution’s trading book as an internal hedge, in which case they shall comply with the requirement set out in Article 106(7);

Removed(c) only positions in hedging instruments as referred to in paragraphs 2 and 3 can be recognised as eligible hedges for the calculation of own funds requirements for CVA risks in accordance with Articles 383 and 384 respectively;

Removed(d) a given hedging instrument forms a single position in an eligible hedge and cannot be split into more than one position in more than one eligible hedge.

Removed2. For the calculation of the own funds requirements for CVA risk in accordance with Article 383, only positions in the following hedging instruments shall be recognised as eligible hedges:

Removed(a) instruments that hedge variability of the counterparty credit spread, with the exception of instruments referred in to Article 325(5);

Removed(b) instruments that hedge variability of the exposure component of CVA risk, with the exception of the instruments referred in to Article 325(5).

Removed3. For the calculation of own funds requirements for CVA risk in accordance with Article 384, only positions in the following hedging instruments shall be recognised as eligible hedges:

Removed(a) single-name credit default swaps and single-name contingent-credit default swaps, referencing:

Removed(i) the counterparty directly;

Removed(ii) an entity legally related to the counterparty, where legally related refers to cases where the reference name and the counterparty are either a parent and its subsidiary or two subsidiaries of a common parent;

Removed(iii) an entity that belongs to the same sector and region as the counterparty;

Removed(b) index credit default swaps.

Removed4. Positions in hedging instruments entered into with third parties that are recognised as eligible hedges in accordance with paragraphs 1, 2 and 3 and included in the calculation of the own funds requirements for CVA risk shall not be subject to the own funds requirements for market risk set out in Title IV.

Removed5. Positions in hedging instruments that are not recognised as eligible hedges in accordance with this Article shall subject to the own funds requirements for market risk set out in Title IV.’;

Removed(170a) the following Article 395a is inserted:

Removed‘Article 395a

RemovedAggregate limit on exposures to shadow banking entities

RemovedBy 30 June 2023 the Commission shall, in close collaboration with the EBA, assess the appropriateness and the impact of imposing limits on exposures to shadow banking entities. The Commission shall submit the report to the European Parliament and the Council, together, if appropriate, with a legislative proposal on exposure limits to shadow banking entities.’;

Removed(171) Article 402 is amended as follows:

Removed(a) paragraph 1 is amended as follows:

Removed(i) the first subparagraph is replaced by the following:

Removed‘For the calculation of exposure values for the purposes of Article 395, institutions may, except where prohibited by applicable national law, reduce the value of an exposure or any part of an exposure that is secured by residential property in accordance with Article 125(1) by the pledged amount of the property value, but by not more than 55 % of the property value, provided that all the following conditions are met:’;

Removed(ii) point (a) is replaced by the following:

Removed‘(a) the competent authorities of the Member States have not set a risk weight higher than 20 % for exposures or parts of exposures secured by residential property in accordance with Article 124(7);’;

Removed(b) paragraph 2 is amended as follows:

Removed(i) the first subparagraph is replaced by the following:

Removed‘For the calculation of exposure values for the purposes of Article 395, institutions may, except where prohibited by applicable national law, reduce the value of an exposure or any part of an exposure that is secured by commercial immovable property in accordance with Article 126(1) by the pledged amount of the property value, but by not more than 55 % of the property value, provided that all the following conditions are met:’;

Removed(ii) point (a) is replaced by the following:

Removed‘(a) the competent authorities of the Member States have not set a risk weight higher than 60 % for exposures or parts of exposures secured by commercial immovable property in accordance with Article 124(7);’;

Removed(172) in Article 429, paragraph 6 is replaced by the following:

Removed‘6. For the purposes of paragraph 4, point (e), of this Article and Article 429g, ‘regular-way purchase or sale’ means a purchase or a sale of a financial asset under contracts for which the terms require delivery of the financial asset within the period established generally by law or convention in the marketplace concerned.’;

Removed(172a) in Article 429a(1), the following point is added:

Removed‘(ca) where the institution is a member of the network referred to in Article 113(7), the exposures that are assigned a risk weight of 0% in accordance with Article 114 and arising from assets being an equivalent of deposits in the same currency of other members of that network stemming from legal or statutory minimum deposit in accordance with Article 422(3), point (b). In such a case exposures of other members of that network being legal or statutory minimum deposit are not subject to point (c).’;

Removed(173) Article 429c is amended as follows:

Removed(a) in paragraph 3, point (a) is replaced by the following:

Removed‘(a) for trades not cleared through a QCCP, the cash received by the recipient counterparty is not segregated from the assets of the institution;’;

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

Removed‘4. For the purposes of paragraph 1 of this Article, institutions shall not include collateral received in the calculation of NICA as defined in Article 272, point (12a).’;

Removed(c) the following paragraph 4a is inserted:

Removed‘4a. By way of derogation from paragraphs 3 and 4, an institution may recognise any collateral received in accordance with Part Three, Title II, Chapter 6, Section 3 where all of the following conditions are met:

Removed(a) the collateral is received from a client for a derivative contract cleared by the institution on behalf of that client;

Removed(b) the contract referred to in point (a) is cleared through a QCCP;

Removed(c) where the collateral has been received in the form of initial margin, that collateral is segregated from the assets of the institution.’;

Removed(d) in paragraph 6, the first subparagraph is replaced by the following:

Removed‘By way of derogation from paragraph 1 of this Article, institutions may use the method set out in Part Three, Title II, Chapter 6, Section 4 or 5 to determine the exposure value of derivative contracts listed in Annex II and credit derivatives, but only where they also use that method for determining the exposure value of those contracts for the purposes of meeting the own funds requirements set out in Article 92(1), points (a), (b) and (c).’;

Removed(174) Article 429f is amended as follows:

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

Removed‘1. Institutions shall calculate, in accordance with Article 111(2), the exposure value of off-balance-sheet items, excluding the derivative contracts listed in Annex II, credit derivatives, securities financing transactions and the positions referred to in Article 429d.

RemovedWhere a commitment refers to the extension of another commitment, Article 166(9) shall apply.’;