Changes from report parliamentary committee draft to plenary report

Added‘By way of derogation from the first subparagraph, competent authorities may require an institution that has been granted permission to use the alternative internal model approach set out in Chapter 1b to use the pricing functions of the risk-measurement system of their internal model approach in the calculation of sensitivities under this Chapter for the purposes of the calculation and reporting requirements set out in Article 325(3).’;

Added(b) in paragraph 5, point (a) is replaced by the following:

Added‘(a) those alternative definitions are used for internal risk management purposes or for the reporting of profits and losses to senior management by an independent risk control unit within the institution;’;

Added(c) in paragraph 6, point (a) is replaced by the following:

Added‘(a) those alternative definitions are used for internal risk management purposes or for the reporting of profits and losses to senior management by an independent risk control unit within the institution;’;

Added(139a) Article 325u is amended as follows:

Added(a) in paragraph 4, the following point is added:

Added‘(ca) the instrument aims solely at hedging the market risks of the trading book that generate own funds requirement for residual risks, provided that the institution has demonstrated to the satisfaction of the competent authority that the instrument should be treated as a hedging position.’;

Added(b) the following paragraph is added:

Added‘5a. For the purposes of paragraph 4, point (ca), EBA shall develop draft regulatory technical standards to specify the conditions that the competent authority has to assess to determine that an instrument is a hedging position.

AddedEBA shall submit those draft regulatory technical standards to the Commission by 31 December 2024.

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

Added(140) in Article 325v, the following paragraph 3 is added:

Added‘3. For traded non-securitisation credit and equity derivatives, JTD amounts by individual constituents shall be determined by applying a look-through approach.’;

Added(141) in Article 325y, the following paragraphs are added:

Added‘6. For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the Standardised Approach for credit risk set out in Title II, Chapter 2.

Added6a. Long and short positions in institution’s own debt should be excluded from the calculation of own funds requirements for default risk.’;

Added(142) in Article 325ab, paragraph 2 is deleted.

Added(143) in Article 325ae, paragraph 3 is replaced by the following:

Added‘3. The risk weights of risk factors based on the currencies included in the most liquid currency sub-category as referred to in Article 325bd(7), point (b), and the domestic currency of the institution shall be the following:

Added(a) for risk-free rate risk factors, the risk weights referred to in paragraph 1, Table 3 divided by ;

Added(b) for inflation risk factor and cross currency basis risk factors, the risk weights referred to in paragraph 2 divided by .’;

Added(144) Article 325ah is amended as follows:

Added(a) paragraph 1 is amended as follows:

Added(i) in Table 4, the sector of bucket 13 is replaced by the following:

Added‘Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority, promotional lenders and covered bonds.’;

Added(ii) the following subparagraph is added:

Added‘For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the Standardised Approach for credit risk set out in Title II, Chapter 2.’;

Added(b) the following paragraph 3 is added:

Added‘3. By way of derogation from paragraph 2, institutions may assign a risk exposure of an unrated covered bond to bucket 4 where the institution that issued the covered bond has a credit quality step 1 to 3.’;

Added(145) in Article 325ai(1), the definition of the term ρkl (name) is replaced by the following:

Added‘ρkl (name) shall be equal to 1 where the two names of sensitivities k and l are identical; it shall be equal to 35 % where the two names of sensitivities k and l are in buckets 1 to 18 in Article 325ah(1), Table 4, otherwise it shall be equal to 80 %’;

Added(146) in Article 325aj, the definition of γbc (rating) is replaced by the following:

Added‘γbc (rating) shall be equal to:

Added(a) 1, where buckets b and c are buckets 1 to 17 and both buckets have the same credit quality category (either ‘credit quality step 1 to 3’ or ‘credit quality step 4 to 6’); otherwise it shall be equal to 50 %; for the purposes of that calculation, bucket 1 shall be considered as belonging to the same credit quality category as buckets that have credit quality step 1 to 3

Added(b) 1, where either bucket b or c is bucket 18;

Added(c) 1, where bucket b or c is bucket 19 and the other bucket has credit quality step 1 to 3; otherwise it shall be equal to 50 %;

Added(d) 1, where bucket b or c is bucket 20 and the other bucket has credit quality step 4 to 6; otherwise it shall be equal to 50 %;’;

Added(147) Article 325ak is amended as follows:

Added▌(a) in Table 6, the sector of bucket 13 is replaced by the following:

Added‘Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority, promotional lenders and covered bonds’;

Added(b) the following paragraphs are added:

Added‘For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the Standardised Approach for credit risk set out in Title II, Chapter 2.

AddedBy way of derogation from the second paragraph, institutions may assign a risk exposure of an unrated covered bond to bucket 4 where the institution that issues the covered bond has a credit quality step 1 to 3.’;

Added(148) in Article 325am(1), the following paragraph 3 is added:

Added‘3. For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the Standardised Approach for credit risk set out in Title II, Chapter 2.’;

Added(149) in Article 325as, Table 9 is amended as follows:

Added(a) the bucket name of bucket 3 is replaced by the following:

Added‘Energy - electricity’;

Added(b) the following field is inserted:

Added’;

Added(150) Article 325ax is amended as follows:

Added(a) paragraphs 1 and 2 are replaced by the following:

Added‘1. Buckets for vega risk factors shall be similar to the buckets established for delta risk factors in accordance with, this Chapter, Section 3, Subsection 1.

Added2. Risk weights for sensitivities to vega risk factors shall be assigned in accordance with the risk class of the risk factors, as follows:

AddedTable 11

Added(b) paragraph 3 is deleted.’;

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

Added‘6. For general interest rate, credit spread and commodity curvature risk factors, the curvature risk weight shall be the parallel shift of all the vertices for each curve on the basis of the highest prescribed delta risk weight referred to in Subsection 1 for the relevant risk bucket. ’;

Added(151) Article 325az is amended as follows: