Changes from report parliamentary committee draft to plenary report

RemovedArticle 1 – paragraph 1 – point 65, Article 152 – paragraph 4 – subparagraph 1 – introductory part: 4. Institutions that apply the look-through approach in accordance with paragraphs 2 and 3 of this Article and that do not use the methods set out in this Chapter or in Chapter 5 as applicable for all or parts of the underlying exposures of the CIU, shall calculate risk-weighted exposure amounts and expected loss amounts for those parts of the underlying exposures in accordance with the following principles:

AddedIn the light of EBA’S findings, the Commission may, if appropriate, adopt delegated acts in accordance with Article 462 to adjust the relevant definitions or the scope of prudential consolidation.’;

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Added(6a) in Article 19(1), the introductory part is replaced by the following:

RemovedArticle 1 – paragraph 1 – point 66 – point a, Article 153 – paragraph 1 – point iii – last subparagraph: M = the maturity and shall be expressed in years and determined in accordance with Article 162.’;

Added‘1. An institution or a financial institution which is a subsidiary or an undertaking in which a participation is held, need not to be included in the consolidation where the total amount of assets and off-balance sheet items of the undertaking concerned is less than the smaller of the following two amounts:’;

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Added(7) Article 20 is amended as follows:

RemovedArticle 1 – paragraph 1 – point 67 – point c, Article 154 – paragraph 3 – subparagraph 2: The risk-weight calculated for an exposure partly secured by residential property pursuant to paragraph 1, point (ii), taking into account a coefficient of correlation R as set out in the first subparagraph of this paragraph, shall be applied to both the secured and the unsecured portion of the underlying exposure.;

Added(a) paragraph 1 is amended as follows:

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Added(i) point (a) is replaced by the following:

RemovedArticle 1 – paragraph 1 – point 69, Article 157 – paragraph 6 – subparagraph 1 – point a: (a) the methodology for the calculation of risk-weighted exposure amount for dilution risk of purchased receivables, including recognition of credit risk mitigation in accordance with Article 160(4), and the conditions for the use of own estimates and fall-back parameters;

Added‘(a) in the case of applications for the permissions referred to in Article 143(1), Article 151, paragraphs 4 and 9, Article 283 and Article 363 submitted by an EU parent institution and its subsidiaries, or jointly by the subsidiaries of an EU parent financial holding company or EU parent mixed financial holding company, to decide whether or not to grant the permission sought and to determine the terms and conditions, if any, to which such permission should be subject;’;

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Added(ii) the third subparagraph is deleted;

RemovedArticle 1 – paragraph 1 – point 69, Article 157 – paragraph 6 – subparagraph 1 – point b: (b) the assessment of the immateriality criterion for types of exposures referred to in paragraph 5;

Added(b) paragraph 6 is replaced by the following:

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Added‘6. Where an EU parent institution and its subsidiaries, the subsidiaries of an EU parent financial holding company or an EU parent mixed financial holding company use the IRB Approach referred to in Article 143 on a unified basis, the competent authorities shall allow the parent and its subsidiaries, considered together, to meet the qualifying criteria set out in Part Three, Title II, Chapter 3, Section 6 in a way that is consistent with the structure of the group and its risk management systems, processes and methodologies.’;

RemovedArticle 1 – paragraph 1 – point 71, Article 159 – paragraph 3: For the purposes of the calculation referred to in the first paragraph, institutions shall treat discounts determined in accordance with Article 166(1) on balance sheet exposures purchased when in default in the same manner as specific credit risk adjustments. Discounts on balance sheet exposures purchased when not in default shall not be allowed to be included in the calculation of the IRB shortfall or IRB excess. Specific credit risk adjustments on exposures in default shall not be used to cover expected loss amounts on other exposures. Expected loss amounts for securitised exposures and general and specific credit risk adjustments related to those exposures shall not be included in the calculation of the IRB shortfall or IRB excess.’;

Added(7a) Article 21 is amended as follows:

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Added(a) in paragraph 1, the first subparagraph is replaced by the following:

RemovedArticle 1 – paragraph 1 – point 73 – point a, Article 160 – paragraph 1: 1. For exposures assigned to the exposure class ‘exposures to institutions’ referred to in Article 147(2), point (b), or ‘exposures to corporates’ referred to in Article 147(2), point (c), for the sole purposes of calculating risk weighted exposure amounts and expected loss amounts of those exposures, in particular for the purposes of Article 153, Article 157, Article 158(1), Article 158(5) and Article 158(10), the PD for each exposure that is used in the input of the risk weights and expected loss formulas shall not be less than the following value: 0,05 % (‘PD input floor’).;

Added‘1. Upon application of an EU parent institution or an EU parent financial holding company or EU parent mixed financial holding company or a sub-consolidating subsidiary of an EU parent institution or an EU parent financial holding company or EU parent mixed financial holding company, the consolidating supervisor and the competent authorities responsible for the supervision of subsidiaries of an EU parent institution or an EU parent financial holding company or EU parent mixed financial holding company in a Member State shall do everything within their power to reach a joint decision on whether the conditions in points (a) to (g) of Article 8(1) are met and to identify a single liquidity sub-group for the application of Article 8.’;

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Added(b) in paragraph 2, the second subparagraph is replaced by the following:

RemovedArticle 1 – paragraph 1 – point 74 – point a – point i, Article 161 – paragraph 1 – point a: (a) senior exposures without eligible FCP to central governments and central banks and financial sector entities: 45 %;’;

Added‘However, any competent authority, including the consolidating supervisor, may during the six-month period refer to EBA the question whether the conditions in Article 8(1), points (a) to (g), are met. In that case, EBA may carry out its non-binding mediation in accordance with Article 31(c) of Regulation (EU) No 1093/2010 and all the competent authorities involved shall defer their decisions pending the conclusion of the non-binding mediation. Where, during the mediation, no agreement has been reached by the competent authorities within three months, each competent authority responsible for supervision on an individual basis shall take its own decision taking into account the proportionality of benefits and risks at the level of the Member State of the parent institution and the proportionality of benefits and risks at the level of the Member State of the subsidiary. The matter shall not be referred to EBA after the end of the six-month period or after a joint decision has been reached.’;

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

RemovedArticle 1 – paragraph 1 – point 74 – point a – point ii, Article 161 – paragraph 1 – point aa: (aa) senior exposures without eligible FCP to corporates which are not financial sector entities: 40 %;;

Added‘3. Any relevant competent authority may also during the six-month period consult EBA in the event of a disagreement on the conditions listed in Article 8(1), points (a) to (g). In that case, EBA may carry out its non-binding mediation in accordance with Article 31(c) of Regulation (EU) No 1093/2010, and all the competent authorities involved shall defer their decisions pending the conclusion of the non-binding mediation. Where, during the mediation, no agreement has been reached by the competent authorities within three months, each competent authority responsible for supervision on an individual basis shall take its own decision.’;

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Added(8) in Article 27(1), point (a), point (v) is deleted;

RemovedArticle 1 – paragraph 1 – point 74 – point b, Article 161 – paragraph 3: 3. For an exposure covered by an unfunded credit protection, an institution using own LGD estimates pursuant to Article 143 for both the exposure covered by an unfunded credit protection and for direct comparable exposures to the protection provider may recognise the unfunded credit protection in the LGD in accordance with Article 183.

Added(9) in Article 34, the following paragraphs are added:

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Added‘By way of derogation from the first paragraph of this Article, in extraordinary circumstances the existence of which will be determined by an opinion provided by EBA, institutions may reduce the total additional value adjustments in the calculation of the total amount to be deducted from Common Equity Tier 1 capital.

RemovedArticle 1 – paragraph 1 – point 74 – point b, Article 161 – paragraph 4 – introductory part: 4. For exposures assigned to the exposure class "corporate exposure class", for the sole purpose of calculating risk-weighted exposure amounts and expected loss amounts of those exposures, and in particular for the purposes of Article 153(1), point (iii), Article 157, Article 158, paragraphs 1, 5 and 10, where own LGD estimates are used, the LGD for each exposure used as an input of the risk weight and expected loss formulas shall not be less than the following LGD input floor values, and calculated in accordance with paragraph 5:

AddedFor the purposes of providing the opinion referred to in the second subparagraph, EBA shall monitor the market conditions to assess whether extraordinary circumstances have occurred and accordingly, shall notify the Commission immediately.

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AddedEBA, in consultation with ECB and ESMA, shall develop draft regulatory technical standards to specify the indicators and conditions that EBA will use to determine the extraordinary circumstances referred to in the second paragraph and to specify the reduction of the total aggregated additional value adjustments referred to in that paragraph.

RemovedArticle 1 – paragraph 1 – point 74 – point c, Article 161 – paragraph 5 – subparagraph 1: 5. For the purposes of paragraph 4, the LGD input floors in Table 2a in that paragraph for exposures fully secured with FCP shall apply when the value of the FCP, after the application of the volatility adjustments Hc and Hfx concerned in accordance with Article 230, is equal to or exceeds the exposure value of the underlying exposure. In addition, those values shall be applicable for FCP eligible pursuant to this Chapter. In that case, the type of FCP "Other physical collateral" in Table 2aaa of Article 230 shall be understood as "Other physical and other eligible collateral".

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

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

RemovedArticle 1 – paragraph 1 – point 74 – point c, Article 161 – paragraph 5 – subparagraph 2 – definitions: LGDU-floor and LGDS-floor are the relevant floor values of Table 2a;

Added(10) Article 36 is amended as follows:

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Added(a) in paragraph 1, point (d) is replaced by the following:

RemovedArticle 1 – paragraph 1 – point 74 – point c, Article 161 – paragraph 5 a (new): 5 a. To the extent that an institution recognises FCP under the IRB Approach, the institution may recognise the FCP in the calculation of the LGD input floor for secured exposures. Otherwise, the LGD input floor for unsecured exposures shall apply.

Added‘(d) for institutions calculating risk-weighted exposure amounts using the Internal Ratings Based Approach (the IRB Approach), the IRB shortfall where applicable, calculated in accordance with Article 159;’;

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Added(b) in paragraph 1, in point (k), point (vi) is added:

RemovedArticle 1 – paragraph 1 – point 74 – point c, Article 161 – paragraph 6: 6. Where an institution that uses own LGD estimates for a given type of corporate unsecured exposures is not able to take into account the effect of the FCP securing one of the exposures of that type of exposures in the own LGD estimates due to the lack of data on recoveries for that FCP, the institution shall be permitted to apply the formula set out in Article 230, with the exception that the LGDU term in that formula shall be the institution’s own LGD estimate for unsecured exposures. In that case, the FCP shall be eligible in accordance with Chapter 4 and the institution’s own LGD estimate used as LGDU term shall be calculated based on underlying losses data excluding any recoveries arising from that FCP.;

Added‘(vi) exposures in the form of units or shares in a CIU that are assigned a risk-weigfht of 1250% in accordance with Article 132(2), second subparagraph.’;

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Added(ba) in paragraph 1, point (m) is replaced by the following: