Changes from report parliamentary committee draft to plenary report

Added(c) exposures assigned to a certain exposure class for which institutions have not received the prior permission of the competent authorities to use the IRB Approach for the calculation of the risk-weighted exposure amounts and expected loss amounts.

AddedAn institution that is permitted to use the IRB Approach for the calculation of risk-weighted exposure amounts and expected loss amounts for a given exposure class may, subject to the competent authority’s prior permission, apply the Standardised Approach for some types of exposures within that exposure class where those types of exposures are immaterial in terms of size and perceived risk profile.

AddedIn addition to the exposures referred to in the second subparagraph, an institution may, subject to the competent authorities prior permission apply the Standardised Approach for the following exposures where the IRB Approach is applied for other types of exposures within the respective exposure class:

Added(a) some types of exposures within that exposure class, including exposures from foreign branches and different product groups, where those types of exposures are immaterial in terms of size and perceived risk profile;

Added(b) exposures to central governments and central banks of the Member States and their regional governments, local authorities, administrative bodies and public sector entities provided that:

Added(i) there is no difference in risk between the exposures to that central government and central bank and those other exposures because of specific public arrangements; and

Added(ii) exposures to central governments and central banks are assigned a 0% risk weight under Article 114(2) or (4);

Added(c) exposures of an institution to a counterparty which is its parent undertaking, its subsidiary or a subsidiary of its parent undertaking provided that the counterparty is an institution or a financial holding company, mixed financial holding company, financial institution, asset management company or ancillary services undertaking subject to appropriate prudential requirements or an undertaking linked by a relationship within the meaning of Article 22(7) of Directive 2013/34/EU;

Added(d) exposures between institutions which meet the requirements set out in Article 113(7);

AddedAn institution that is permitted to use the IRB Approach for the calculation of risk-weighted exposure amounts for the exposures referred to in the second subparagraph, shall apply the Standardised Approach for the remaining types of exposures within that exposure class.’;

Added(aa) paragraph 2 is replaced by the following:

Added‘EBA shall, in accordance with Article 16 of Regulation (EU) No 1093/2010, issue guidelines by 31 December 2025 on what constitutes types of exposures that are immaterial in terms of size and perceived risk profile.’;

Added(b) paragraphs ▌3 and 4 are deleted;

Added(64) Article 151 is amended as follows:

Added(a) paragraph 4 is deleted;

Added(b) paragraph 7, 8 and 9 are replaced by the following:

Added‘7. For retail exposures, institutions shall provide own estimates of LGDs, and IRB-CCF where applicable pursuant to Article 166, paragraphs 8 and 8b, in accordance with Article 143 and Section 6. Institutions shall use SA-CCF where Article 166, paragraphs 8 and 8b do not allow for the use of IRB-CCF.

Added8. For the following exposures, institutions shall apply the LGD values set out in Article 161(1) and SA-CCF in accordance with Article 166, paragraphs 8, 8a and 8b:

Added(a) exposures assigned to the exposure class ‘exposures to institutions’ referred to in Article 147(2), point (b);

Added(b) exposures to financial sector entities;

Added(c) exposures to large corporates not assigned to the exposure class referred to in Article 147(2), point (c)(ii).

AddedFor exposures belonging to the exposure classes referred to in Article 147(2), points (a), (a1) and (c), except for the exposures referred to in the first subparagraph of this paragraph, institutions shall apply the LGD values set out in Article 161(1), and the SA-CCF in accordance with Article 166, paragraphs 8, 8a and 8b, unless they have been permitted to use their own estimates of LGDs and CCFs for those exposures in accordance with paragraph 9 of this Article.

Added9. For the exposures referred to in paragraph 8, second subparagraph the competent authority shall permit institutions to use own estimates of LGDs, and IRB-CCFs where applicable pursuant to Article 166, paragraphs 8 and 8b, in accordance with Article 143 and Section 6.’;

Added(c) the following paragraphs ▌12 and 13 are added:

Added▌

Added12. For exposures in the form of shares or units in a CIU belonging to the exposure class referred to in Article 147(2), point (e1), institutions shall apply the treatment set out in Article 152, unless deducted from own funds, the risk-weighted exposure amounts for credit risk shall be calculated in accordance with Article 152 except where those exposures are deducted from Common Equity Tier 1 items, Additional Tier 1 items or Tier 2 items.

Added13. EBA shall develop draft regulatory technical standards to further specify the treatment set out in this Chapter that is applicable to exposures in the form of purchased receivables’ referred to in Articles 153 and 154, for the purposes of calculating risk-weighted exposure amounts for the default risk and for the dilution risk of those exposures, including for the recognition of credit risk mitigation techniques.

AddedEBA shall submit those draft regulatory technical standards to the Commission by 31 December 2025.

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

Added(65) in Article 152, paragraph 4 is replaced by the following:

Added‘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:

Added(a) for underlying exposures that would be assigned to the equity exposure class referred to in Article 147(2), point (e), institutions shall apply the Standardised Approach laid down in Chapter 2;

Added(b) for exposures assigned to the items representing securitisation positions referred to in Article 147(2), point (f), institutions shall apply the treatment set out in Article 254 as if those exposures were directly held by those institutions;

Added(c) for all other underlying exposures, institutions shall apply the Standardised Approach laid down in Chapter 2.’;

Added(66) Article 153 is amended as follows:

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

Added‘(iii) if 0 < PD < 1, then:

Addedwhere:

AddedN = the cumulative distribution function for a standard normal random variable, i.e. N(x) equals the probability that a normal random variable with mean of 0 and variance of 1, is less than or equal to x;

AddedG = the inverse cumulative distribution function for a standard normal random variable, i.e. if x = G(z), x is the value such that N(x) = z;

AddedR = the coefficient of correlation, which is defined as:

Addedb = the maturity adjustment factor, which is defined as:

AddedM = the maturity and shall be expressed in years and determined in accordance with Article 162.’;

Added(b) paragraph 2 is replaced by the following:

Added‘2. For exposures to large regulated financial sector entities and to unregulated financial sector entities, the coefficient of correlation R provided in paragraph 1, point (iii), or paragraph 4 as applicable, shall be multiplied by 1,25 when calculating the risk weights of those exposures.’;

Added(c) paragraph 3 is deleted;

Added(d) paragraph 9 is replaced by the following:

Added‘9. EBA shall develop draft regulatory technical standards to specify how institutions shall take into account the factors referred to in paragraph 5, second subparagraph, when assigning risk weights to specialised lending exposures.

AddedEBA shall submit those draft regulatory technical standards to the Commission by 31 December 2025.

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

Added(67) Article 154 is amended as follows:

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

Added‘(ii) if PD < 1, then:

Addedwhere:

AddedN = the cumulative distribution function for a standard normal random variable, i.e. N(x) equals to the probability that a normal random variable with mean of 0 and variance of 1, is less than or equal to x;

AddedG = the inverse cumulative distribution function for a standard normal random variable, i.e. if x = G(z), x is the value such that N(x) = z;

AddedR = the coefficient of correlation, which is defined as:

Added’;

Added(b) paragraph 2 is deleted;

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