Changes from report parliamentary committee draft to plenary report

Added(i) the unconstrained expected shortfall measure as defined in Article 325bb(1);

Added(ii) the unconstrained expected shortfall measure as defined in Article 325bb(1) for each regulatory broad risk factor category;

Added(b) the most recent value as well as the mean value for the previous 60 business days of:

Added(i) the expected shortfall risk measure as defined in Article 325bb(1);

Added(ii) the stress scenario risk measure as defined in Article 325ba(1), point (b);

Added(iii) the own funds requirement for default risk as defined in Article 325ba(2);

Added(iv) the sum of the own funds requirements as defined in Articles 325ba(1) and 325ba(2), including the applicable multiplier factor;

Added(c) the number of backtesting overshootings over the last 250 business days at the 99th percentile as referred to in Article 325bf(1), points (a) and (b), separately.

Added4. Institutions shall disclose on an aggregate basis for all trading desks the own funds requirements for market risks that would be calculated in accordance with this Title, Chapter 1a, had the institutions not been granted any permission to use their internal models for those trading desks.’;

Added(192) Article 458 is amended as follows:

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

Added‘6. Where Member States recognise the measures set in accordance with this Article, they shall notify the ESRB. The ESRB shall forward such notifications without delay to the Council, the Commission, the EBA ▌and the Member State authorised to apply the measures.’;

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

Added‘9. Before the expiry of the authorisation issued in accordance with paragraphs 2 and 4, the Member State concerned shall, in consultation with the ESRB, ▌the EBA and the Commission, review the situation and may adopt, in accordance with the procedure referred to in paragraphs 2 and 4, a new decision for the extension of the period of application of national measures for up to two additional years each time.’;

Added(193) Article 461a is replaced by the following:

Added‘Article 461a Own funds requirement for market risks

Added‘The Commission shall monitor the differences between the Union implementation of the international standards on own funds requirements for market risk ▌ and third countries’ implementation of those international standards ▌, including as regards the impact of the rules in terms of own funds requirements and as regards their entry into application.

AddedWhere significant differences are observed, the Commission shall be empowered to adopt a delegated act in accordance with Article 462 to amend this Regulation by:

Added(a) applying, until the entry into force of the legisaltive proposal referred to in the fourth paragraph or for up to three years in the absence of such a proposal, and where necessary to deliver a level playing field, multipliers equal to or greater than 0 and lower than 1 to the institutions’ own funds requirements for market risk, calculated for specific risk classes and specific risk factors using one of the approaches referred to in Article 325(1), and laid out in:

Added(i) Articles 325c to 325ay, specifying the alternative standardised approach;

Added(ii) Articles 325az to 325bp, specifying the alternative internal model approach;

Added(iii) Articles 326 to 361, specifying the simplified standardised approach, to offset those observed differences between the third countries rules and Union law;

Added(b) postponing by up to two years the date from which institutions shall apply the own funds requirements for market risk set out in Part Three, Title IV, or any of the approaches to calculate the own funds requirements for market risk referred to in Article 325(1).’;

AddedBy 31 December 2025 the EBA shall submit a report to the European Parliament, to the Council and to the Commission, on the implementation of the international standards on own funds requirements for market risk in third countries.

AddedOn the basis of that report, the Commission shall, if appropriate, submit to the European Parliament and the Council a legislative proposal, in order to ensure a global level playing field.

Added(194) the following Article 461b is inserted:

Added‘Article 461b Prudential treatment of crypto assets

Added1. The Commission shall, where appropriate, submit a legislative proposal to the European Parliament and the Council, by 30 June 2023, to implement a dedicated prudential treatment for exposures to crypto-assets, taking due account of the recently published international standards, and the requirements set up by the [insert reference to MiCA Regulation]. That legislative proposal shall include, but not be limited to, the following:

Added(a) criteria for assigning crypto-assets to different crypto-asset categories based on their risk characteristics and compliance with specific conditions;

Added(b) specific own funds requirements for all the risks entailed by each crypto-asset category;

Added(c) specific supervisory powers as regards crypto-asset exposure assignment, monitoring and calculation of own funds requirements;

Added(d) specific liquidity requirements for exposures to crypto-assets;

Added(e) disclosure requirements.

Added2. Until 30 December 2024, institutions shall apply a 1250% risk weight to their exposures to crypto-assets in the calculation of their own funds requirements. Institutions shall not apply the deduction in Article 36(1), point (b), for the calculation of their own funds requirements.’

Added(195) Article 462 is amended as follows:

Added(a) paragraphs 2 and 3 are replaced by the following:

Added‘2. The power to adopt delegated acts referred to in Articles 47a, 244(6) and 245(6), in Articles 456 to 460, in Articles 461a and 461b and in Article 500 shall be conferred on the Commission for an indeterminate period of time from 28 June 2013.

Added3. The delegation of power referred to in Articles 47a, 244(6) and 245(6), in Articles 456 to 460, in Article 461a and 461b and in Article 500 may be revoked at any time by the European Parliament or by the Council. A decision to revoke shall put an end to the delegation of the power specified in that decision. It shall take effect the day following the publication of the decision in the Official Journal of the European Union or at a later date specified therein. It shall not affect the validity of the delegated acts already in force.’;

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

Added‘6. A delegated act adopted pursuant to Articles 47a, 244(6) and 245(6), Articles 456 to 460, Articles 461a and 461b and in Article 500 shall enter into force only if no objection has been expressed by the European Parliament or the Council within a period of three months of notification of that act to the European Parliament and the Council or if, before the expiry of that period, the European Parliament and the Council have both informed the Commission that they will not object. That period shall be extended by three months at the initiative of the European Parliament or of the Council.’;

Added(196) Article 465 is replaced by the following:

Added‘Article 465 Transitional arrangements for the output floor

Added1. By way of derogation from Article 92(3), parent institutions, parent financial holding companies, parent mixed financial holding companies, stand-alone institutions in the EU or stand-alone subsidiary institutions in Member States may apply the following factor ‘x’ where calculating TREA:

Added(a) 50 % during the period from 1 January 2025 to 31 December 2025;

Added(b) 55 % during the period from 1 January 2026 to 31 December 2026;

Added(c) 60 % during the period from 1 January 2027 to 31 December 2027;

Added(d) 65 % during the period from 1 January 2028 to 31 December 2028;

Added(e) 70 % during the period from 1 January 2029 to 31 December 2029;

Added2. By way of derogation from Article 92(3), point (a), EU parent institutions, EU parent financial holding companies or an EU parent mixed financial holding companies, stand-alone institutions in the EU or stand-alone subsidiary institutions in Member States may, until 31 December 2029, apply the following formula when calculating TREA:

AddedFor the purposes of that calculation, EU parent institutions, EU parent financial holding companies or an EU parent mixed financial holding companies shall take into account the relevant factors ‘x’ referred to in paragraph 1.

Added3. By way of derogation from Article 92(5)(a), point (i), parent institutions, parent financial holding companies or parent mixed financial holding companies, stand-alone institutions in the EU or stand-alone subsidiary institutions in Member States may:

Added– until 31 December 2030, assign a risk weight of 65 % to exposures to corporates and for which no credit assessment by a nominated ECAI is available provided that that entity estimates the PD of those exposures, calculated in accordance with Part Three, Title II, Chapter 3, is no higher than 0,5 %;

Added- during the period from 1 January 2031 to 31 December 2032 assign a risk weight of 70 % to exposures to corporates for which no credit assessment by a nominated ECAI is available provided that that entity estimates the PD of those exposures, calculated in accordance with Part Three, Title II, Chapter 3, is no higher than 0,5 %.

AddedEBA, EIOPA and ESMA, shall monitor the use of the transitional treatment laid down in the first subparagraph and assess, in particular:

Added(i) the availability of credit assessments by nominated ECAIs for exposures to corporates.;

Added(ii) the development of credit rating agencies, barriers of entry to the market of new European credit rating agencies, rate of uptake of European corporates choosing to be rated by one or multiple of these agencies;

Added(iii) the development of private or publicly led solutions such as credit scoring and central bank ratings to provide credit assessments;

Added(iv) the appropriateness of the risk weighting of exposures and implications in terms of financial stability;

Added(v) the approaches of other jurisdictions concerning the application of the output floor to unrated corporate exposures and long-term level playing field considerations that could arise as a result;

Added(vi) compliance with international standards and potential implications on the compliance assessment scale of the Basel Committee of Banking Supervision.