Retained EU Law
2013
United Kingdom
Capital Requirements Regulation (EU) 575/2013
At a glance
Enforced by
What this Act requires
Sections that create concrete duties on businesses or carry penalties. Procedural and definitional sections are folded into the “Browse other sections” expander at the bottom of each group. Click any section title to read the source text on legislation.gov.uk.
Specific reporting obligations
Amended 5 timesRequirements for the trading book
Amended 5 timesManagement of the trading book
Amended 1 timeInclusion in the trading book
Amended 1 timeRequirements for trading desk
Amended 1 timeRequirements for prudent valuation
Amended 9 timesInternal Hedges
Amended 6 timesApproaches to credit risk
Amended 6 timesTreatment of securitisation positions
Amended 1 timeTreatment of credit risk adjustment
Amended 3 timesExposure value
Amended 2 timesCalculation of risk-weighted exposure amounts
Amended 3 timesExposures to central governments or central banks
Amended 6 timesExposures to regional governments or local authorities
Amended 8 timesExposures to public sector entities
Amended 6 timesExposures to multilateral development banks
Amended 5 timesExposures to international organisations
Amended 3 timesExposures to institutions
Amended 5 timesRetail exposures
Amended 2 timesExposures secured by mortgages on immovable property
Amended 32 timesExposures fully and completely secured by mortgages on residential property
Amended 3 timesExposures fully and completely secured by mortgages on commercial immovable property
Amended 3 timesExposures in default
Amended 1 timeItems associated with particular high risk
Amended 5 timesExposures in the form of covered bonds
Amended 25 timesExposures in the form of units or shares in CIUs
Amended 7 timesApproaches for calculating risk-weighted exposure amounts of CIUs
Amended 7 timesOther items
Amended 2 timesUse of credit assessments by ECAIs
Amended 2 timesMapping of ECAI's credit assessments
Amended 9 timesGeneral requirements
Amended 2 timesDefinitions
Amended 1 timePermission to use the IRB Approach
Amended 3 timesCompetent authorities' assessment of an application to use an IRB Approach
Amended 6 timesConditions for implementing the IRB Approach across different classes of exposure and business units
Amended 4 timesConditions for permanent partial use
Amended 9 timesTreatment of exposures in the form of units or shares in CIUs
Amended 6 timesRisk-weighted exposure amounts for exposures to corporates, institutions and central governments and central banks
Amended 5 timesRisk-weighted exposure amounts for retail exposures
Amended 2 timesTreatment by exposure type
Amended 1 timeTreatment of expected loss amounts
Amended 1 timeProbability of default (PD)
Amended 1 timeMaturity
Amended 3 timesLoss Given Default (LGD)
Amended 35 timesExposures to corporates, institutions, central governments and central banks and retail exposures
Amended 2 timesIntegrity of assignment process
Amended 4 timesData maintenance
Amended 1 timeDefault of an obligor
Amended 6 timesRequirements specific to PD estimation
Amended 5 timesRequirements specific to own-LGD estimates
Amended 5 timesRequirements specific to own-conversion factor estimates
Amended 4 timesRequirements for assessing the effect of guarantees and credit derivatives for exposures to corporates, institutions and central governments and central banks where own estimates of LGD are used and for retail exposures
Amended 4 timesDefinitions
Amended 2 timesPrinciples for recognising the effect of credit risk mitigation techniques
Amended 2 timesPrinciples governing the eligibility of credit risk mitigation techniques
Amended 3 timesEligibility of collateral under all approaches and methods
Amended 11 timesAdditional eligibility for collateral under the IRB Approach
Amended 6 timesOther funded credit protection
Amended 2 timesEligibility of protection providers under all approaches
Amended 3 timesEligibility of protection providers under the IRB Approach which qualify for the treatment set out in Article 153(3)
Amended 3 timesRequirements for other funded credit protection
Amended 2 timesUsing the internal models approach for master netting agreements
Amended 3 timesFinancial Collateral Simple Method
Amended 2 timesFinancial Collateral Comprehensive Method
Amended 5 timesSupervisory volatility adjustment under the Financial Collateral Comprehensive Method
Amended 3 timesConditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive Method
Amended 3 timesValuation principles for other eligible collateral under the IRB Approach
Amended 1 timeCalculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral under the IRB Approach
Amended 1 timeCalculating risk-weighted exposure amounts under the Standardised Approach
Amended 1 timeDefinitions
Amended 16 timesCriteria for STS securitisations qualifying for differentiated capital treatment
Amended 2 timesTraditional securitisation
Amended 5 timesSynthetic securitisation
Amended 4 timesExposure value
Amended 4 timesRecognition of credit risk mitigation for securitisation positions
Amended 1 timeImplicit support
Amended 1 timeOriginator institutions’ calculation of risk-weighted exposure amounts securitised in a synthetic securitisation
Amended 1 timeHierarchy of methods
Amended 3 timesDetermination of K IRB and K SA
Amended 5 timesDetermination of tranche maturity (M T )
Amended 1 timeConditions for the use of the Internal Ratings Based Approach (SEC-IRBA)
Amended 1 timeScope and operational requirements for the Internal Assessment Approach
Amended 1 timeMaximum risk weight for senior securitisation positions: look-through approach
Amended 1 timeMaximum capital requirements
Amended 1 timeSenior positions in SME securitisations
Amended 7 timesAdditional risk weight
Amended 7 timesUse of credit assessments by ECAIs
Amended 7 timesRequirements to be met by the credit assessments of ECAIs
Amended 7 timesUse of credit assessments
Amended 7 timesSecuritisation mapping
Amended 7 timesDefinitions
Amended 9 timesMethods for calculating the exposure value
Amended 5 timesMark-to-Market Method
Amended 1 timeOriginal Exposure Method
Amended 1 timeTransactions with a linear risk profile
Amended 4 timesPermission to use the Internal Model Method
Amended 6 timesStress testing
Amended 4 timesWrong-Way Risk
Amended 1 timeIntegrity of the modelling process
Amended 1 timeRecognition of contractual netting as risk-reducing
Amended 1 timeRecognition of contractual netting agreements
Amended 2 timesEffects of recognition of netting as risk-reducing
Amended 3 timesItems in the trading book
Amended 3 timesDefinitions
Amended 7 timesMaterial scope
Amended 1 timeMonitoring of exposures to CCPs
Amended 1 timeTreatment of clearing members' exposures to CCPs
Amended 1 timeTreatment of clearing members' exposures to clients
Amended 11 timesTreatment of clients' exposures
Amended 5 timesOwn funds requirements for trade exposures
Amended 4 timesOwn funds requirements for pre-funded contributions to the default fund of a CCP
Amended 1 timeOwn funds requirements for pre-funded contributions to the default fund of a QCCP
Amended 4 timesOwn funds requirements for pre-funded contributions to the default fund of a non-qualifying CCP and for unfunded contributions to a non-qualifying CCP
Amended 1 timeAlternative calculation of own funds requirement for exposures to a QCCP
Amended 1 timeOwn funds requirements for exposures to CCPs that cease to meet certain conditions
Amended 2 timesPermission and notification
Amended 6 timesCombined use of different approaches
Amended 5 timesOwn funds requirement
Amended 1 timeRelevant indicator
Amended 6 timesOwn funds requirement
Amended 1 timePrinciples for business line mapping
Amended 3 timesImpact of insurance and other risk transfer mechanisms
Amended 1 timeApproaches for calculating the own funds requirements for market risk
Amended 5 timesExemptions from specific reporting requirements for market risk
Amended 5 timesCalculation of the own funds requirement for the default risk for securitisations
Amended 5 timesScope
Amended 5 timesJump-to-default amounts for the ACTP
Amended 5 timesCalculation of the own funds requirements for the default risk for the ACTP
Amended 5 timesRisk weights for general interest rate risk
Amended 5 timesIntra bucket correlations for general interest rate risk
Amended 5 timesCorrelations across buckets for general interest rate risk
Amended 5 timesRisk weights for credit spread risk for non-securitisations
Amended 5 timesIntra-bucket correlations for credit spread risk for non-securitisations
Amended 5 timesCorrelations across buckets for credit spread risk for non-securitisations
Amended 5 timesRisk weights for credit spread risk for securitisations included in the ACTP
Amended 5 timesCorrelations for credit spread risk for securitisations included in the ACTP
Amended 5 timesRisk weights for credit spread risk for securitisations not included in the ACTP
Amended 5 timesIntra-bucket correlations for credit spread risk for securitisations not included in the ACTP
Amended 5 timesCorrelations across buckets for credit spread risk for securitisations not included in the ACTP
Amended 5 timesRisk weights for equity risk
Amended 5 timesIntra-bucket correlations for equity risk
Amended 5 timesCorrelations across buckets for equity risk
Amended 5 timesRisk weights for commodity risk
Amended 5 timesIntra-bucket correlations for commodity risk
Amended 5 timesCorrelations across buckets for commodity risk
Amended 5 timesRisk weights for foreign exchange risk
Amended 5 timesCorrelations for foreign exchange risk
Amended 5 timesVega and curvature risk weights
Amended 5 timesVega and curvature risk correlations
Amended 5 timesAlternative internal model approach and permission to use alternative internal models
Amended 5 timesPermission for consolidated requirements
Amended 5 timesOwn funds requirements when using alternative internal models
Amended 5 timesExpected shortfall risk measure
Amended 5 timesPartial expected shortfall calculations
Amended 5 timesLiquidity horizons
Amended 5 timesAssessment of the modellability of risk factors
Amended 5 timesRegulatory back-testing requirements and multiplication factors
Amended 5 timesProfit and loss attribution requirement
Amended 5 timesRequirements on risk measurement
Amended 5 timesQualitative requirements
Amended 5 timesInternal validation
Amended 5 timesCalculation of stress scenario risk measure
Amended 5 timesScope of the internal default risk model
Amended 5 timesPermission to use an internal default risk model
Amended 5 timesOwn funds requirements for default risk using an internal default risk model
Amended 5 timesRecognition of hedges in an internal default risk model
Amended 5 timesParticular requirements for an internal default risk model
Amended 5 timesScope and structure of the alternative standardised approach
Amended 5 timesDefinitions
Amended 5 timesComponents of the sensitivities-based method
Amended 5 timesOwn funds requirements for delta and vega risks
Amended 5 timesOwn funds requirements for curvature risk
Amended 5 timesAggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Amended 5 timesTreatment of index instruments and multi-underlying options
Amended 5 timesTreatment of collective investment undertakings
Amended 5 timesUnderwriting positions
Amended 5 timesGeneral interest rate risk factors
Amended 5 timesCredit spread risk factors for non-securitisation
Amended 5 timesCredit spread risk factors for securitisation
Amended 5 timesEquity risk factors
Amended 5 timesCommodity risk factors
Amended 5 timesForeign exchange risk factors
Amended 5 timesDelta risk sensitivities
Amended 5 timesVega risk sensitivities
Amended 5 timesRequirements on sensitivity computations
Amended 5 timesOwn funds requirements for residual risks
Amended 5 timesDefinitions and general provisions
Amended 5 timesGross jump-to-default amounts
Amended 5 timesNet jump-to-default amounts
Amended 5 timesCalculation of the own funds requirements for the default risk
Amended 5 timesJump-to-default amounts
Amended 5 timesNetting
Amended 1 timeOptions and warrants
Amended 4 timesOwn funds requirement for non-securitisation debt instruments
Amended 3 timesOwn funds requirement for securitisation instruments
Amended 2 timesDuration-based calculation of general risk
Amended 1 timeNet positions in equity instruments
Amended 3 timesStock indices
Amended 4 timesGeneral criteria for CIUs
Amended 1 timeSpecific methods for CIUs
Amended 1 timeCalculation of the overall net foreign exchange position
Amended 3 timesForeign exchange risk of CIUs
Amended 1 timeClosely correlated currencies
Amended 4 timesParticular instruments
Amended 3 timesPermission to use internal models
Amended 4 timesVaR and stressed VaR Calculation
Amended 1 timeRequirement to have an internal IRC model
Amended 1 timeRequirements for an internal model for correlation trading
Amended 1 timeFree deliveries
Amended 1 timeMeaning of credit valuation adjustment
Amended 1 timeScope
Amended 7 timesAdvanced method
Amended 6 timesStandardised method
Amended 6 timesAlternative to using CVA methods to calculating own funds requirements
Amended 2 timesNegative Scope
Amended 1 timeCalculation of the exposure value
Amended 13 timesDefinition of an institution for large exposures purposes
Amended 6 timesReporting requirements
Amended 11 timesLimits to large exposures
Amended 13 timesCompliance with large exposures requirements
Amended 5 timesCalculating additional own funds requirements for large exposures in the trading book
Amended 1 timeEligible credit mitigation techniques
Amended 2 timesExemptions
Amended 15 timesCalculating the effect of the use of credit risk mitigation techniques
Amended 1 timeExposures arising from mortgage lending
Amended 8 timesSubstitution approach
Amended 5 timesUniform condition of application
Amended 4 timesDefinitions
Amended 1 timeLiquidity coverage requirement
Amended 4 timesStable Funding
Amended 2 timesCompliance with liquidity requirements
Amended 1 timeReporting obligation and reporting format
Amended 14 timesReporting on liquid assets
Amended 17 timesCurrencies with constraints on the availability of liquid assets
Amended 13 timesLiquidity outflows
Amended 2 timesOutflows on retail deposits
Amended 2 timesOutflows on other liabilities
Amended 13 timesAdditional outflows
Amended 4 timesOutflows from credit and liquidity facilities
Amended 3 timesInflows
Amended 10 timesUpdating Future liquidity requirements
Amended 2 timesItems providing stable funding
Amended 4 timesItems requiring stable funding
Amended 2 timesCalculation of the leverage ratio
Amended 5 timesExposure value of derivatives
Amended 5 timesCounterparty credit risk add-on for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions
Amended 5 timesReporting on prudential requirements and financial information
Amended 15 timesSpecific reporting requirements for market risk
Amended 15 timesFeasibility report on the integrated reporting system
Amended 15 timesNon-material, proprietary or confidential information
Amended 2 timesFrequency of disclosure
Amended 1 timeScope of application
Amended 1 timeOwn funds
Amended 3 timesCapital requirements
Amended 2 timesCapital buffers
Amended 4 timesIndicators of global systemic importance
Amended 7 timesUnencumbered assets
Amended 5 timesUse of ECAIs
Amended 1 timeRemuneration policy
Amended 4 timesLeverage
Amended 3 timesUse of the IRB Approach to credit risk
Amended 1 timeRegulations modifying this Regulation
Amended 16 timesTechnical adjustments and corrections
Amended 10 timesEnhanced prudential measures directions & recommendations: Interpretation
Amended 8 timesEnhanced prudential measures
Amended 8 timesEnhanced prudential measures: effect of revocation
Amended 8 timesEnhanced prudential measures: publication and application
Amended 8 timesPrudential requirements
Amended 9 timesLiquidity
Amended 12 timesReview of the phasing-in of the liquidity coverage requirement
Amended 1 timeAlternative standardised approach for market risk
Amended 1 timeExercise of the delegation
Amended 3 timesObjections to regulatory technical standards
Amended 1 timeEuropean Banking Committee
Amended 1 timeRegulations: general provisions
Amended 1 timePower to make technical standards
Amended 1 timeFirst time application of International Financial Reporting Standards
Amended 1 timeUnrealised losses measured at fair value
Amended 2 timesTemporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the COVID-19 pandemic
Amended 3 timesDeductions from Common Equity Tier 1 items
Amended 1 timeDerogation from deductions from Common Equity Tier 1 items for non-performing exposures
Amended 1 timeExemption from deduction from Common Equity Tier 1 items
Amended 1 timeExemption from Deduction of Equity Holdings in Insurance Companies from Common Equity Tier 1 Items
Amended 1 timeItems not deducted from Common Equity Tier 1
Amended 1 timeIntroduction of amendments to IAS 19
Amended 1 timeIntroduction of IFRS 9
Amended 1 timeItems not deducted from Additional Tier 1 items
Amended 1 timeDeductions from Tier 2 items
Amended 1 timeApplicable percentages for deduction from Common Equity Tier 1, Additional Tier 1 and Tier 2 items
Amended 1 timeAdditional filters and deductions
Amended 1 timeGrandfathering of State aid instruments
Amended 4 timesEligibility for grandfathering of items that qualified as own funds under national transposition measures for Directive 2006/48/EC
Amended 1 timeEligibility for inclusion in the Common Equity Tier 1 of share premium accounts related to items that qualified as own funds under national transposition measures for Directive 2006/48/EC
Amended 1 timeItems excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other elements of own funds
Amended 3 timesDisclosure of own funds
Amended 4 timesTransitional provisions for large exposures
Amended 18 timesTransitional provisions concerning the requirement for own funds and eligible liabilities
Amended 1 timeGrandfathering of issuances through special purpose entities
Amended 1 timeGrandfathering of own funds instruments and eligible liabilities instruments
Amended 1 timeTreatment of equity exposures under the IRB Approach
Amended 1 timeOwn funds requirements for covered bonds
Amended 2 timesOwn funds requirements for exposures to CCPs
Amended 33 timesExemption for Commodities dealers
Amended 4 timesLeverage
Amended 1 timeAdjustment for massive disposals
Amended 2 timesTemporary treatment of public debt issued in the currency of another Member State
Amended 2 timesTemporary exclusion of certain exposures to central banks from the total exposure measure in view of the COVID-19 pandemic
Amended 2 timesExclusion of overshootings from the calculation of the back-testing addend in view of the COVID-19 pandemic
Amended 2 timesAdjustment of risk-weighted non-defaulted SME exposures
Amended 3 timesAdjustment to own funds requirements for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services
Amended 3 timesDerogation from reporting requirements
Amended 3 timesPrudential treatment of exposures related to environmental and/or social objectives
Amended 3 timesLarge exposures
Amended 1 timeLevel of application
Amended 2 timesNet Stable Funding Requirements
Amended 8 timesLeverage
Amended 1 timeMacroprudential rules
Amended 1 timeMethod for the calculation of the exposure value of derivative transactions
Amended 2 timesSavings provisions: pre-exit decisions
Amended 4 timesBrowse 330 other sections — procedural / definitional / commencement
This Regulation Directive 2006/48/EC Directive 2006/49/EC Article 1 Article 2...
Scope
Supervisory powers
Application of stricter requirements by institutions
Definitions
Definitions: Regulators' rules
The consolidating supervisor
Definitions specific to capital requirements for credit risk
General principles
Derogation from the application of prudential requirements on an individual basis
Derogation from the application of liquidity requirements on an individual basis
Individual consolidation method
Waiver for credit institutions permanently affiliated to a central body
Application of prudential requirements on a consolidated basis where FCA investment firms are parent undertakings
General treatment
Financial holding company or mixed financial holding company with both a subsidiary credit institution and a subsidiary investment firm
Consolidated calculation for G-SIIs with multiple resolution entities
Application of disclosure requirements on a consolidated basis
Application of due-diligence rules on a consolidated basis
Derogation from the application of own funds requirements on a consolidated basis for groups of investment firms
Derogation from the application of the leverage ratio requirements on a consolidated basis for groups of investment firms
Supervision of investment firms waived from the application of own funds requirements on a consolidated basis
Methods of prudential consolidation
Entities excluded from the scope of prudential consolidation
Joint decisions on prudential requirements
Joint decisions on the level of application of liquidity requirements
Sub-consolidation in cases of entities in third countries
Undertakings in third countries
Valuation of assets and off-balance sheet items
Tier 1 capital
Common Equity Tier 1 items
Capital instruments of mutuals, cooperative societies, savings institutions or similar institutions in Common Equity Tier 1 items
Common Equity Tier 1 instruments
Capital instruments issued by mutuals, cooperative societies, savings institutions and similar institutions
Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be met
Capital instruments subscribed by public authorities in emergency situations
Securitised assets
Cash flow hedges and changes in the value of own liabilities
Additional value adjustments
Unrealised gains and losses measured at fair value
Deductions from Common Equity Tier 1 items
Deduction of intangible assets
Deduction of deferred tax assets that rely on future profitability
Tax overpayments, tax loss carry backs and deferred tax assets that do not rely on future profitability
Deduction of negative amounts resulting from the calculation of expected loss amounts
Deduction of defined benefit pension fund assets
Deduction of holdings of own Common Equity Tier 1 instruments
Significant investment in a financial sector entity
Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities
Deduction of holdings of Common Equity Tier 1 instruments where an institution does not have a significant investment in a financial sector entity
Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant investment in a financial sector entity
Non-performing exposures
Forbearance measures
Deduction for non-performing exposures
Threshold exemptions from deduction from Common Equity Tier 1 items
Requirement for deduction where consolidation or supplementary supervision is applied
Common Equity Tier 1 capital
Additional Tier 1 items
Additional Tier 1 instruments
Restrictions on the cancellation of distributions on Additional Tier 1 instruments and features that could hinder the recapitalisation of the institution
Write down or conversion of Additional Tier 1 instruments
Consequences of the conditions for Additional Tier 1 instruments ceasing to be met
Deductions from Additional Tier 1 items
Deductions of holdings of own Additional Tier 1 instruments
Deduction of holdings of Additional Tier 1 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Deduction of holdings of Additional Tier 1 instruments of financial sector entities
Deduction of holdings of Additional Tier 1 instruments where an institution does not have a significant investment in a financial sector entity
Additional Tier 1 capital
Tier 2 items
Tier 2 instruments
Amortisation of Tier 2 instruments
Consequences of the conditions for Tier 2 instruments ceasing to be met
Deductions from Tier 2 items
Deductions of holdings of own Tier 2 instruments
Deduction of holdings of Tier 2 instruments of financial sector entities and where an institution has a reciprocal cross holding designed artificially to inflate own funds
Deduction of holdings of Tier 2 instruments of financial sector entities
Deduction of Tier 2 instruments where an institution does not have a significant investment in a relevant entity
Tier 2 capital
Own funds
Eligible liabilities items
Eligible liabilities instruments
Amortisation of eligible liabilities instruments
Consequences of the eligibility conditions ceasing to be met
Deductions from eligible liabilities items
Deduction of holdings of own eligible liabilities instruments
Deduction base for eligible liabilities items
Deduction of holdings of eligible liabilities of other G-SII entities
Deduction of eligible liabilities where the institution does not have a significant investment in G-SII entities
Trading book exception from deductions from eligible liabilities items
Eligible liabilities
Own funds and eligible liabilities
Distributions on instruments
Holdings of capital instruments issued by regulated financial sector entities that do not qualify as regulatory capital
Deduction and maturity requirements for short positions
Index holdings of capital instruments
Conditions for reducing own funds and eligible liabilities
Supervisory permission to reduce own funds
Permission to reduce eligible liabilities instruments
Temporary waiver from deduction from own funds and eligible liabilities
Assessment of compliance with the conditions for own funds and eligible liabilities instruments
Continuing review of the quality of own funds and eligible liabilities instruments
Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital
Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds
Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entity
Minority interests included in consolidated Common Equity Tier 1 capital
Qualifying Tier 1 instruments included in consolidated Tier 1 capital
Qualifying Tier 1 capital included in consolidated Additional Tier 1 capital
Qualifying own funds included in consolidated own funds
Qualifying own funds instruments included in consolidated Tier 2 capital
Risk weighting and prohibition of qualifying holdings outside the financial sector
Alternative to 1 250 % risk weight
Exceptions
Own funds requirements
Requirements for own funds and eligible liabilities for G-SIIs
Requirement for own funds and eligible liabilities for non-UK G-SIIs
Initial capital requirement on going concern
Derogation for small trading book business
Own funds requirements for investment firms with limited authorisation to provide investment services
Own funds requirements for IFPRU 730K firms
Own Funds based on Fixed Overheads
Own funds for investment firms on a consolidated basis
Reporting on own funds requirements and financial information
Use of credit risk mitigation technique under the Standardised Approach and the IRB Approach
Exposure classes
Exposures to rated institutions
Exposures to unrated institutions
Exposures to corporates
Items representing securitisation positions
Exposures to institutions and corporates with a short-term credit assessment
Equity exposures
Use of credit assessments by export credit agencies
Issuer and issue credit assessment
Long-term and short-term credit assessments
Domestic and foreign currency items
Prior experience of using IRB approaches
Measures to be taken where the requirements of this Chapter cease to be met
Methodology to assign exposures to exposure classes
Conditions to revert to the use of less sophisticated approaches
Treatment by exposure class
Risk-weighted exposure amounts for equity exposures
Risk-weighted exposure amounts for other non credit-obligation assets
Risk-weighted exposure amounts for dilution risk of purchased receivables
Loss Given Default (LGD)
Probability of default (PD)
Equity exposures subject to the PD/LGD method
Equity exposures
Other non credit-obligation assets
General principles
Structure of rating systems
Assignment to grades or pools
Assignment of exposures
Use of models
Documentation of rating systems
Stress tests used in assessment of capital adequacy
Overall requirements for estimation
Requirements for purchased receivables
Validation of internal estimates
Own funds requirement and risk quantification
Risk management process and controls
Validation and documentation
Corporate Governance
Credit risk control
Internal Audit
On-balance sheet netting
Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactions
Additional eligibility of collateral under the Financial Collateral Comprehensive Method
Eligibility of guarantees as unfunded credit protection
Eligible types of credit derivatives
Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206
Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions
Requirements for financial collateral
Requirements for immovable property collateral
Requirements for receivables
Requirements for other physical collateral
Requirements for treating lease exposures as collateralised
Requirements common to guarantees and credit derivatives
Sovereign and other public sector counter-guarantees
Additional requirements for guarantees
Additional requirements for credit derivatives
Requirements to qualify for the treatment set out in Article 153(3)
Credit linked notes
On-balance sheet netting
Using the Supervisory Volatility Adjustments Approach or the Own Estimates Volatility Adjustments Approach for master netting agreements
Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method
Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method
Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method
Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral
Other funded credit protection
Valuation
Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranching
Calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach
Maturity mismatch
Maturity of credit protection
Valuation of protection
First-to-default credit derivatives
Nth-to-default credit derivatives
Operational requirements for early amortisation provisions
Calculation of risk-weighted exposure amounts
Treatment of maturity mismatches in synthetic securitisations
Reduction in risk-weighted exposure amounts
Determination of attachment point (A) and detachment point (D)
Calculation of risk-weighted exposure amounts under the SEC-IRBA
Treatment of STS securitisations under the SEC-IRBA
Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)
Treatment of STS securitisations under the SEC-SA
Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)
Treatment of STS securitisations under the SEC-ERBA
Calculation of risk-weighted exposure amounts under the Internal Assessment Approach
Re-securitisations
NPE securitisations
Determination of the exposure value
Standardised Method
Transactions with a non-linear risk profile
Treatment of collateral
Supervisory delta
Calculation of risk positions
Interest rate risk positions
Hedging sets
Exposure value
Exposure value for netting sets subject to a margin agreement
Management of CCR — Policies, processes and systems
Organisation structures for CCR management
Review of CCR management system
Use test
Requirements for the risk management system
Validation requirements
Obligations of institutions
Reverting to the use of less sophisticated approaches
Alternative Standardised Approach
Criteria for the Standardised Approach
Qualitative standards
Quantitative Standards
Loss event type classification
Own funds requirements for position risk
Interest rate futures and forwards
Swaps
Interest rate risk on derivative instruments
Credit Derivatives
Securities sold under a repurchase agreement or lent
Net positions in debt instruments
Cap on the own funds requirement for a net position
Own funds requirement for the correlation trading portfolio
Maturity-based calculation of general risk
Specific risk of equity instruments
General risk of equity instruments
Reduction of net positions
Allowance for hedges by credit derivatives
Allowance for hedges by first and nth-to default credit derivatives
Own funds requirements for CIUs
De minimis and weighting for foreign exchange risk
Choice of method for commodities risk
Ancillary commodities business
Positions in commodities
Maturity ladder approach
Simplified approach
Extended maturity ladder approach
Specific and general risks
Own funds requirements when using internal models
Regulatory back testing and multiplication factors
Requirements on risk measurement
Qualitative requirements
Internal Validation
Requirements for modelling specific risk
Exclusions from specific risk models
Scope of the internal IRC model
Parameters of the internal IRC model
Recognition of hedges in the internal IRC model
Particular requirements for the internal IRC model
Settlement/delivery risk
Waiver
Eligible hedges
Subject matter
Definition
Definition of a large exposure
Capacity to identify and manage large exposures
Procedures to prevent institutions from avoiding the additional own funds requirement
Scope of application
Retained interest of the issuer
Due diligence
Additional risk weight
Criteria for credit granting
Disclosure to investors
Operational requirements for holdings of liquid assets
Valuation of liquid assets
Scope of disclosure requirements
Means of disclosures
Uniform disclosure formats
Risk management objectives and policies
Exposure to counterparty credit risk
Credit risk adjustments
Exposure to market risk
Operational risk
Exposures in equities not included in the trading book
Exposure to interest rate risk on positions not included in the trading book
Exposure to securitisation positions
Use of credit risk mitigation techniques
Use of the Advanced Measurement Approaches to operational risk
Use of Internal Market Risk Models
Own funds requirements
Deductions from Additional Tier 1 items
Deductions from Tier 2 items
Recognition in consolidated Common Equity Tier 1 capital of instruments and items that do not qualify as minority interests
Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital
Scope of application for derivatives transactions with pension funds
Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 items
Amortisation of items grandfathered as Tier 2 items
Hybrid instruments with a call and incentive to redeem
Tier 2 items with an incentive to redeem
Effective maturity
Cyclicality of capital requirements
Own funds requirements for exposures in the form of covered bonds
Capital instruments subscribed by public authorities in emergency situations
Holdings of eligible liabilities instruments
Review of long-term financing
Credit risk — definition of default
Liquidity requirements
Exposures to transferred credit risk
Monitoring and evaluation
Long-term financing
Definition of eligible capital
Review of capital instruments which may be written down or converted at the point of non-viability
Review of cross-default provisions
Report on overshootings and supervisory powers to limit distributions
Deduction of defined benefit pension fund assets from Common Equity Tier 1 items
Reporting and review
Own funds requirements for market risk
Compliance tool
Amendment of Regulation (EU) No 648/2012
Entry into force and date of application
Enforcement and responsible bodies
The regulators that administer or enforce this legislation.
Prudential Regulation Authority
Part of the Bank of England. Prudentially regulates and supervises around 1,292 banks, building societies, credit unions, insurers, and major investment firms. …
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