Changes from report parliamentary committee draft to plenary report

RemovedRegulation (EU) No 575/2013

Added(a) paragraph 3 and 4 are replaced by the following:

RemovedArticle 1 – paragraph 1 – point 92 – point a – point iii, Article 182 – paragraph 1 – subparagraph 4 – point a: (a) SME/mid-market underlying data being applied to large corporate obligors;

Added‘3. The total risk exposure amount shall be calculated as follows:

RemovedRegulation (EU) No 575/2013

Added(a) For the purposes of complying with the obligations of this Regulation, institutions shall calculate the total risk exposure amount as follows:

RemovedArticle 1 – paragraph 1 – point 92 – point a – point iii, Article 182 – paragraph 1 – subparagraph 4 – point d: (d) data that have been affected by changes in the obligors’ mix of borrowing and other credit-related products over the observation period unless those data have been effectively adjusted by removing the effects of the changes in the product mix.

Addedwhere:

RemovedRegulation (EU) No 575/2013

AddedTREA = the total risk exposure amount of the entity;

RemovedArticle 1 – paragraph 1 – point 92 – point a – point iii, Article 182 – paragraph 1 – subparagraph 5 – point a: (a) setting floors or caps to realised CCF or realised exposure values

AddedU-TREA = the un-floored total risk exposure amount of the entity calculated in accordance with paragraph 4;

RemovedRegulation (EU) No 575/2013

AddedS-TREA = the standardised total risk exposure amount of the entity calculated in accordance with paragraph 5;

RemovedArticle 1 – paragraph 1 – point 92 – point a a (new), Article 182 – paragraph 1 a (new): (a a) the following paragraph 1a is inserted: / ‘1a. Institutions shall ensure that their CCF estimates are effectively quarantined from the potential effects of region of instability caused by a facility being close to being fully drawn at reference date.’

Addedx = 72,5 %;

RemovedRegulation (EU) No 575/2013

AddedInstitutions shall comply with this Article in accordance with the level of application laid down in Article 92-a.

RemovedArticle 1 – paragraph 1 – point 92 – point a b (new), Article 182 – paragraph 1b (new): (a b) the following paragraph 1b is inserted: / ‘1b. Reference data must not be capped at the principal amount outstanding of a facility or the available facility limit. Accrued interest, other due payments and drawings in excess of facility limits must be included in the reference data.’

Added4. The un-floored total risk exposure amount shall be calculated as the sum of points (a) to (f) of this paragraph after having taken into account paragraph 7:

RemovedRegulation (EU) No 575/2013

Added(a) the risk-weighted exposure amounts for credit risk, including counterparty risk, and dilution risk, calculated in accordance with Title II and Article 379, in respect of all the business activities of an institution, excluding risk-weighted exposure amounts for counterparty risk from the trading book business of the institution;

RemovedArticle 1 – paragraph 1 – point 93 – point b – point iii, Article 183 – paragraph 1 – subparagraph 2: (deleted)

Added(b) the own funds requirements for the trading-book business of an institution for the following:

RemovedRegulation (EU) No 575/2013

Added(i) market risk, calculated in accordance with Title IV of this Part;

RemovedArticle 1 – paragraph 1 – point 93 – point d, Article 183 – paragraph 4: 4. Where institutions recognise unfunded credit protection by the PD/LGD modelling approach, they should reflect the risk-reducing effect of the unfunded credit protection for a given type of exposures through an adjustment of either the PD or the LGD estimate and the covered portion of the underlying exposure shall not be assigned a risk weight which would be lower than the protection-provider-RW-floor. For that purpose, the protection-provider-RW-floor shall be calculated using the same PD, the same LGD and the same risk weight function as the ones used applicable to comparable direct exposure to the protection provider as referred to in Article 236a.;

Added(ii) large exposures exceeding the limits specified in Articles 395 to 401, to the extent that an institution is permitted to exceed those limits, as determined in accordance with Part Four;

RemovedRegulation (EU) No 575/2013

Added(c) the own funds requirements for market risk, calculated in accordance with Title IV of this Part for all business activities that are subject to foreign exchange risk or commodity risk;

RemovedArticle 1 – paragraph 1 – point 95, Article 192 – point 5: (5) ‘substitution of risk weight approach under SA’ means the substitution of the risk weight of the underlying exposure with the risk weight applicable under the Standardised Approach to a comparable direct exposure to the protection provider in accordance with Article 235, when the guaranteed exposure is treated under the Standardised Approach and comparable direct exposures to the protection provider are treated under the Standardised Approach or IRB Approach;

Added(ca) the own funds requirements for settlement risk, calculated in accordance with Title V of this Part, with the exception of Article 379;

RemovedRegulation (EU) No 575/2013

Added(d) the own funds requirements for credit valuation adjustment risk, calculated in accordance with Title VI of this Part;

RemovedArticle 1 – paragraph 1 – point 95, Article 192 – point 6: (6) ‘substitution of risk weight approach under IRB’ means the substitution of the risk weight of the underlying exposure with the risk weight applicable under the Standardised Approach to a comparable direct exposure to the protection provider in accordance with Article 235a, when the guaranteed exposure is treated under the IRB Approach and comparable direct exposures to the protection provider are treated under the Standardised Approach;

Added(e) the own funds requirements for operational risk, calculated in accordance with Title III of this Part;

RemovedRegulation (EU) No 575/2013

Added(f) the risk-weighted exposure amounts for counterparty risk arising from the trading book business of the institution for the following types of transactions and agreements, calculated in accordance with Title II of this Part:

RemovedArticle 1 – paragraph 1 – point 98 – point a, Article 197 – paragraph 1 – point b – point ii – introductory part: (ii) the debt securities have a credit assessment carried out by an ECAI or export credit agency that satisfy all of the following conditions:

Added(i) contracts listed in Annex II and credit derivatives;

RemovedRegulation (EU) No 575/2013

Added(ii) repurchase transactions, securities or commodities lending or borrowing transactions based on securities or commodities;

RemovedArticle 1 – paragraph 1 – point 98 – point a, Article 197 – paragraph 1 – point b – point ii – indent 1: — the ECAI or export credit agency has been recognised as being eligible for the purposes of Chapter 2;

Added(iii) margin lending transactions based on securities or commodities;

RemovedRegulation (EU) No 575/2013

Added(iv) long settlement transactions.’;

RemovedArticle 1 – paragraph 1 – point 98 – point a, Article 197 – paragraph 1 – point b – point ii – indent 2: — the credit assessment has been determined by EBA to be associated with credit quality step 1, 2, 3 or 4 under the rules for the risk weighting of exposures to central governments and central banks under Chapter 2;

Added(b) the following paragraphs 5 ▌and 7 are added:

RemovedRegulation (EU) No 575/2013

Added‘5. The standardised total risk exposure amount shall be calculated as the sum of paragraph 4, points (a) to (f), after having taken into account paragraph 7 and the following requirements:

RemovedArticle 1 – paragraph 1 – point 98 – point a, Article 197 – paragraph 1 – point c – point ii – introductory part: (ii) those debt securities have a credit assessment carried out by an ECAI that satisfies all of the following conditions:

Added(a) the risk-weighted exposure amounts for credit risk and dilution risk referred to in paragraph 4, point (a), and for counterparty risk arising from the trading book business as referred to in point (f) of that paragraph shall be calculated without using any of the following approaches:

RemovedRegulation (EU) No 575/2013

Added(i) the internal models approach for master netting agreements set out in Article 221;

RemovedArticle 1 – paragraph 1 – point 98 – point a, Article 197 – paragraph 1 – point c – point ii – indent 1: — the ECAI has been recognised as being eligible for the purposes of Chapter 2;

Added(ii) the Internal Ratings Based Approach provided for in Chapter 3;

RemovedRegulation (EU) No 575/2013

Added(iii) the Securitisation Internal Ratings-Based Approach (SEC-IRBA) set out in Articles 258 to 260 and the Internal Assessment Approach (IAA) set out in Article 265;

RemovedArticle 1 – paragraph 1 – point 98 – point a, Article 197 – paragraph 1 – point c – point ii – indent 2: — the credit assessment has been determined by EBA to be associated with credit quality step 1, 2 or 3 under the rules for the risk weighting of exposures to institutions under Chapter 2;

Added(iv) the approach set out in this Part, Title II, Chapter 6, Section 6;