Changes from report parliamentary committee draft to plenary report

RemovedArticle 1 – paragraph 1 – point 169, Article 383e – paragraph 2: deleted

Added(d) the guarantor is an eligible protection provider as referred to in Article 201, and the guarantor has a credit assessment by an ECAI corresponding to a credit quality step of 1 or 2;

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Added(e) the guarantor is an institution or a financial sector entity subject to capital requirements at least comparable to those applicable to institutions or insurance undertakings;

RemovedArticle 1 – paragraph 1 – point 169, Article 383e – paragraph 2a (new): 2a . The counterparty credit spread risk class is not subject to vega risk own funds requirements.

Added(f) the guarantor has established a fully-funded mutual guarantee fund or equivalent protection for insurance undertakings to absorb credit risk losses, the calibration of which is periodically reviewed by its competent authority and is subject to periodic stress testing, at least every two years;

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Added(g) the institution is contractually and legally allowed to take a mortgage on the residential property in the event that the guarantor does not meet its obligations under the guarantee provided;

RemovedArticle 1 – paragraph 1 – point 169, Article 383k – paragraph 5: 5. The risk weights to be applied to sensitivities to interest rate vega risk factors and to inflation rate vega risk factors for all currencies shall be 100%.

Added▌

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Added4a. Institutions that exercise the option provided for in paragraph 3 for a given eligible guarantor under the mechanism referred to in that paragraph, shall do so for all its exposures to natural persons guaranteed by that guarantor under that mechanism.”;

RemovedArticle 1 – paragraph 1 – point 169, Article 383n: 1. A uniform correlation parameter equal to 60% shall apply for the aggregation of sensitivities to delta foreign exchange risk factor across buckets. / 2. A uniform correlation parameter equal to 60% shall apply for the aggregation of sensitivities to vega foreign exchange risk factor across buckets.

Added(33) the following Article 110a is inserted:

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Added‘Article 110a Monitoring of contractual arrangements that are not commitments

RemovedArticle 1 – paragraph 1 – point 169, Article 383o – paragraph 1 – Table 3 – line 6: Consumer goods and services, transportation and storage, administrative and support service activities

Added‘Institutions shall monitor contractual arrangements that meet all the conditions specified in Article 5, point (9), second subparagraph, points (a) to (e), and shall document to the satisfaction of their competent authorities their compliance with all those conditions.’;

Removed[…]

Added(34) Article 111 is replaced by the following:

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Added‘Article 111 Exposure value

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Added‘1. The exposure value of an asset item shall be its accounting value remaining after specific credit risk adjustments in accordance with Article 110, additional value adjustments in accordance with Article 34 related to the non-trading book business of the institution, amounts deducted in accordance with Article 36(1), point (m), and other own funds reductions related to the asset item have been applied.

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Added2. The exposure value of an off-balance sheet item listed in Annex I shall be the following percentage of the item’s nominal value after the deduction of specific credit risk adjustments in accordance with Article 110 and amounts deducted in accordance with Article 36(1), point (m):

RemovedArticle 1 – paragraph 1 – point 169, Article 383p – paragraph 1 – subparagraph 3: ρ KL(name)= shall be equal to 1 where the two names of sensitivities k and l are identical, 90% if the two names are distinct, but legally related and otherwise it shall be equal to 50%;

Added(a) 100 % for items in bucket 1;

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Added(b) 50 % for items in bucket 2;

RemovedArticle 1 – paragraph 1 – point 169, Article 383p – paragraph 2 – subparagraph 3: ρ kl(name) = shall be equal to 1 where the two names of sensitivities k and l are identical and the two indices are of the same series, 90% if the two indices are the same, but of distinct series, and otherwise it shall be equal to 80%;

Added(c) 40 % for items in bucket 3;

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Added(d) 20 % for items in bucket 4;

RemovedArticle 1 – paragraph 1 – point 169, Article 383q – Table 4 – lines 4 and 5: In Article 383(q), Table 4 is amended as follows:

Added(e) 10 % for items in bucket 5.

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Added3. The exposure value of a commitment on an off-balance sheet item as referred to in paragraph 2 shall be the lower of the following percentages of the commitment’s nominal value after the deduction of specific credit risk adjustments and amounts deducted in accordance with Article 36(1), point (m):

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Added(a) the percentage referred to in paragraph 2 that is applicable to the item on which the commitment is made;

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Added(b) the percentage referred to in paragraph 2 that is applicable to the type of commitment.

RemovedArticle 1 – paragraph 1 – point 169, Article 383r – paragraph 1a (new): 1a. Risk weights for reference credit spread volatilities shall be set to 100%.

Added4. For contractual arrangements offered by an institution, but not yet accepted by the client, that would become commitments if accepted by the client, the percentage applicable shall be the one provided for in accordance with paragraph 2. For contractual arrangements that▌ meet the conditions specified in Article 5, point (9), second subparagraph, the percentage applicable shall be 0%.

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Added5. Where an institution is using the Financial Collateral Comprehensive Method referred to in Article 223, the exposure value of securities or commodities sold, posted or lent under a repurchase transaction or under a securities or commodities lending or borrowing transaction, and of margin lending transactions shall be increased by the volatility adjustment appropriate to such securities or commodities in accordance with Articles 223 and 224.

RemovedArticle 1 – paragraph 1 – point 169, Article 383s – paragraph 1 – subparagraph 3: ρ KL(name)= shall be equal to 1 where the two names of sensitivities k and l are identical, 90% if the two names are distinct, but legally related and otherwise it shall be equal to 50%;

Added6. The exposure value of a derivative instrument listed in Annex II shall be determined in accordance with Chapter 6, taking into account the effects of contracts of novation and other netting agreements as specified in that Chapter. The exposure value of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined in accordance with either Chapter 4 or Chapter 6.

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Added7. Where the exposure is covered by a funded credit protection, the exposure value may be amended in accordance with Chapter 4.

RemovedArticle 1 – paragraph 1 – point 169, Article 383s – paragraph 2 – subparagraph 3: ρ kl (name) = shall be equal to 1 where the two names of sensitivities k and l are identical and the two indices are of the same series, 90% if the two indices are the same, but of distinct series, and otherwise it shall be equal to 80%;

Added8. EBA shall develop draft regulatory technical standards to specify:

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Added(a) the criteria that institutions shall use to assign off-balance sheet items, with the exception of items already included in Annex I, to the buckets 1 to 5 referred to in Annex I;

RemovedArticle 1 – paragraph 1 – point 169, Article 383u – point c: (c) 45%, where one of the buckets is bucket 12 or 13 of Article 383t(1), Table 6, and the other bucket falls between buckets 1 to 10 of Article 383t(1), Table 6;

Added(b) the factors that may constrain the institutions’ ability to cancel the unconditionally cancellable commitments referred to in Annex I;

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Added(c) the process for notifying EBA about the institutions’ classification of other off-balance sheet items carrying similar risks as those referred to in Annex I.

RemovedArticle 1 – paragraph 1 – point 170, Article 384 – paragraph 2 – subparagraph 25: MhSN = the residual maturity of a single-name instrument recognised as an eligible hedge;

AddedEBA shall submit those draft regulatory technical standards to the Commission by [OP please insert the date = 1 year after the entry into force of this Regulation].