Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 Text with EEA relevance

Regulation (EU) No 575/2013 · Regulation · 525 articles

Data as of 2026-07-04 · Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗

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This instrument has 525 articles. This page lists the table of contents, plus 290 articles that fall under no subdivision; read the full text on each subdivision page or article page.

Table of contents

PART ONE — GENERAL PROVISIONSArticle 1–Article 24
TITLE I — SUBJECT MATTER, SCOPE AND DEFINITIONSArticle 1–Article 5
TITLE II — LEVEL OF APPLICATION OF REQUIREMENTSArticle 6–Article 24
CHAPTER 1 — Application of requirements on an individual basisArticle 6–Article 10
CHAPTER 2 — Prudential consolidationArticle 11–Article 24
Section 1 — Application of requirements on a consolidated basisArticle 11–Article 17
Section 2 — Methods for prudential consolidationArticle 18
Section 3 — Scope of prudential consolidationArticle 19–Article 24
PART TWO — OWN FUNDSArticle 25–Article 91
TITLE I — ELEMENTS OF OWN FUNDSArticle 25–Article 80
CHAPTER 1 — Tier 1 capitalArticle 25
CHAPTER 2 — Common Equity Tier 1 capitalArticle 26–Article 50
Section 1 — Common equity tier 1 items and instrumentsArticle 26–Article 31
Section 2 — Prudential filtersArticle 32–Article 35
Section 3 — Deductions from common equity tier 1 items, exemptions and alternativesArticle 36–Article 49
Sub-Section 1 — Deductions from Common Equity Tier 1 itemsArticle 36–Article 47
Sub-Section 2 — Exemptions from and alternatives to deduction from Common Equity Tier 1 itemsArticle 48–Article 49
Section 4 — Common equity tier 1 capitalArticle 50
CHAPTER 3 — Additional Tier 1 capitalArticle 51–Article 61
Section 1 — Additional tier 1 items and instrumentsArticle 51–Article 55
Section 2 — Deductions from additional tier 1 itemsArticle 56–Article 60
Section 3 — Additional Tier 1 capitalArticle 61
CHAPTER 4 — Tier 2 capitalArticle 62–Article 71
Section 1 — Tier 2 items and instrumentsArticle 62–Article 65
Section 2 — Deductions from tier 2 itemsArticle 66–Article 70
Section 3 — Tier 2 capitalArticle 71
CHAPTER 5 — Own fundsArticle 72
CHAPTER 6 — General requirementsArticle 73–Article 80
TITLE II — MINORITY INTEREST AND ADDITIONAL TIER 1 AND TIER 2 INSTRUMENTS ISSUED BY SUBSIDIARIESArticle 81–Article 88
TITLE III — QUALIFYING HOLDINGS OUTSIDE THE FINANCIAL SECTORArticle 89–Article 91
PART THREE — CAPITAL REQUIREMENTSArticle 92–Article 100
TITLE I — GENERAL REQUIREMENTS, VALUATION AND REPORTINGArticle 92–Article 100
CHAPTER 1 — Required level of own fundsArticle 92–Article 98
Section 1 — Own funds requirements for institutionsArticle 92–Article 94
Section 2 — Own funds requirements for investment firms with limited authorisation to provide investment servicesArticle 95–Article 98
CHAPTER 2 — Calculation and reporting requirementsArticle 99–Article 100
PART THREE — CAPITAL REQUIREMENTSArticle 101–Article 386
TITLE I — GENERAL REQUIREMENTS, VALUATION AND REPORTINGArticle 101–Article 106
CHAPTER 2 — Calculation and reporting requirementsArticle 101
CHAPTER 3 — Trading bookArticle 102–Article 106
TITLE II — CAPITAL REQUIREMENTS FOR CREDIT RISKArticle 107–Article 311
CHAPTER 1 — General principlesArticle 107–Article 110
CHAPTER 2 — Standardised ApproachArticle 111–Article 141
Section 1 — General principlesArticle 111–Article 113
Section 2 — Risk weightsArticle 114–Article 134
Section 3 — Recognition and mapping of credit risk assessmentArticle 135–Article 137
Sub-Section 1 — Recognition of ECAIsArticle 135
Sub-Section 2 — Mapping of ECAI's credit assessmentsArticle 136
Sub-Section 3 — Use of credit assessments by Export Credit AgenciesArticle 137
Section 4 — Use of the ecai credit assessments for the determination of risk weightsArticle 138–Article 141
CHAPTER 3 — Internal Ratings Based ApproachArticle 142–Article 191
Section 1 — Permission by competent authorities to use the irb approachArticle 142–Article 150
Section 2 — Calculation of risk weighted exposure amountsArticle 151–Article 157
Sub-Section 1 — Treatment by type of exposure classArticle 151–Article 152
Sub-Section 2 — Calculation of risk weighted exposure amounts for credit riskArticle 153–Article 156
Sub-Section 3 — Calculation of risk weighted exposure amounts for dilution risk of purchased receivablesArticle 157
Section 3 — Expected loss amountsArticle 158–Article 159
Section 4 — PD, LGD and maturityArticle 160–Article 165
Sub-Section 1 — Exposures to corporates, institutions and central governments and central banksArticle 160–Article 162
Sub-Section 2 — Retail exposuresArticle 163–Article 164
Sub-Section 3 — Equity exposures subject to PD/LGD methodArticle 165
Section 5 — Exposure valueArticle 166–Article 168
Section 6 — Requirements for the IRB approachArticle 169–Article 191
Sub-Section 1 — Rating systemsArticle 169–Article 177
Sub-Section 2 — Risk quantificationArticle 178–Article 184
Sub-Section 3 — Validation of internal estimatesArticle 185
Sub-Section 4 — Requirements for equity exposures under the internal models approachArticle 186–Article 188
Sub-Section 5 — Internal governance and oversightArticle 189–Article 191
CHAPTER 4 — Credit risk mitigationArticle 192–Article 241
Section 1 — Definitions and general requirementsArticle 192–Article 194
Section 2 — Eligible forms of credit risk mitigationArticle 195–Article 204
Sub-Section 1 — Funded credit protectionArticle 195–Article 200
Sub-Section 2 — Unfunded credit protectionArticle 201–Article 203
Sub-Section 3 — Types of derivativesArticle 204
Section 3 — RequirementsArticle 205–Article 217
Sub-Section 1 — Funded credit protectionArticle 205–Article 212
Sub-Section 2 — Unfunded credit protection and credit linked notesArticle 213–Article 217
Section 4 — Calculating the effects of credit risk mitigationArticle 218–Article 236
Sub-Section 1 — Funded credit protectionArticle 218–Article 232
Sub-Section 2 — Unfunded credit protectionArticle 233–Article 236
Section 5 — Maturity mismatchesArticle 237–Article 239
Section 6 — Basket CRM techniquesArticle 240–Article 241
CHAPTER 5 — SecuritisationArticle 242–Article 270
Section 1 — DefinitionsArticle 242
Section 2 — Recognition of significant risk transferArticle 243–Article 244
Section 3 — Calculation of the risk weighted exposure amountsArticle 245–Article 266
Sub-Section 1 — PrinciplesArticle 245–Article 248
Sub-Section 2 — Originator institutions' calculation of risk-weighted exposure amounts securitised in a synthetic securitisationArticle 249–Article 250
Sub-Section 3 — Calculation of risk-weighted exposure amounts under the Standardised ApproachArticle 251–Article 258
Sub-Section 4 — Calculation of risk-weighted exposure amounts under the IRB ApproachArticle 259–Article 266
Section 4 — External credit assessmentsArticle 267–Article 270
CHAPTER 6 — Counterparty credit riskArticle 271–Article 311
Section 1 — DefinitionsArticle 271–Article 272
Section 2 — Methods for calculating the exposure valueArticle 273
Section 3 — Mark – to – market MethodArticle 274
Section 4 — Original Exposure MethodArticle 275
Section 5 — Standardised MethodArticle 276–Article 282
Section 6 — Internal Model MethodArticle 283–Article 294
Section 7 — Contractual nettingArticle 295–Article 298
Section 8 — Items in the trading bookArticle 299
Section 9 — Own funds requirements for exposures to a central counterpartyArticle 300–Article 311
TITLE III — OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISKArticle 312–Article 324
CHAPTER 1 — General principles governing the use of the different approachesArticle 312–Article 314
CHAPTER 2 — Basic indicator approachArticle 315–Article 316
CHAPTER 3 — Standardised ApproachArticle 317–Article 320
CHAPTER 4 — Advanced measurement approachesArticle 321–Article 324
TITLE IV — OWN FUNDS REQUIREMENTS FOR MARKET RISKArticle 325–Article 377
CHAPTER 1 — General ProvisionsArticle 325
CHAPTER 2 — Own funds requirements for position riskArticle 326–Article 350
Section 1 — General provisions and specific instrumentsArticle 326–Article 333
Section 2 — Debt instrumentsArticle 334–Article 340
Sub-Section 1 — Specific riskArticle 335–Article 338
Sub-Section 2 — General riskArticle 339–Article 340
Section 3 — EquitiesArticle 341–Article 344
Section 4 — UnderwritingArticle 345
Section 5 — Specific risk own funds requirements for positions hedged by credit derivativesArticle 346–Article 347
Section 6 — Own funds requirements for CIUsArticle 348–Article 350
CHAPTER 3 — Own funds requirements for foreign-exchange riskArticle 351–Article 354
CHAPTER 4 — Own funds requirements for commodities riskArticle 355–Article 361
CHAPTER 5 — Use of internal models to calculate own funds requirementsArticle 362–Article 377
Section 1 — Permission and own funds requirementsArticle 362–Article 364
Section 2 — General requirementsArticle 365–Article 369
Section 3 — Requirements particular to specific risk modellingArticle 370–Article 371
Section 4 — Internal model for incremental default and migration riskArticle 372–Article 376
Section 5 — Internal model for correlation tradingArticle 377
TITLE V — OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISKArticle 378–Article 380
TITLE VI — OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISKArticle 381–Article 386
PART FOUR — LARGE EXPOSURESArticle 387–Article 403
PART FIVE — EXPOSURES TO TRANSFERRED CREDIT RISKArticle 404–Article 410
TITLE I — GENERAL PROVISIONS FOR THIS PARTArticle 404
TITLE II — REQUIREMENTS FOR INVESTOR INSTITUTIONSArticle 405–Article 407
TITLE III — REQUIREMENTS FOR SPONSOR AND ORIGINATOR INSTITUTIONSArticle 408–Article 410
PART SIX — LIQUIDITYArticle 411–Article 428
TITLE I — DEFINITIONS AND LIQUIDITY COVERAGE REQUIREMENTArticle 411–Article 414
TITLE II — LIQUIDITY REPORTINGArticle 415–Article 426
TITLE III — REPORTING ON STABLE FUNDINGArticle 427–Article 428
PART SEVEN — LEVERAGEArticle 429–Article 430
PART EIGHT — DISCLOSURE BY INSTITUTIONSArticle 431–Article 455
TITLE I — GENERAL PRINCIPLESArticle 431–Article 434
TITLE II — TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSUREArticle 435–Article 451
TITLE III — QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIESArticle 452–Article 455
PART NINE — DELEGATED AND IMPLEMENTING ACTSArticle 456–Article 464
PART TEN — TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTSArticle 465–Article 520
TITLE I — TRANSITIONAL PROVISIONSArticle 465–Article 501
CHAPTER 1 — Own funds requirements, unrealised gains and losses measured at fair value and deductionsArticle 465–Article 482
Section 1 — Own funds requirementsArticle 465–Article 466
Section 2 — Unrealised gains and losses measured at fair valueArticle 467–Article 468
Section 3 — DeductionsArticle 469–Article 478
Sub-Section 1 — Deductions from Common Equity Tier 1 itemsArticle 469–Article 473
Sub-Section 2 — Deductions from Additional Tier 1 itemsArticle 474–Article 475
Sub-Section 3 — Deductions from Tier 2 itemsArticle 476–Article 477
Sub-Section 4 — Applicable percentages for deductionArticle 478
Section 4 — Minority interest and Additional Tier 1 and Tier 2 instruments issued by subsidiariesArticle 479–Article 480
Section 5 — Additional filters and deductionsArticle 481–Article 482
CHAPTER 2 — Grandfathering of capital instrumentsArticle 483–Article 491
Section 1 — Instruments constituting State aidArticle 483
Section 2 — Instruments not constituting state aidArticle 484–Article 491
Sub-Section 1 — Grandfathering eligibility and limitsArticle 484–Article 488
Sub-Section 2 — Inclusion of instruments with a call and incentive to redeem in Additional Tier 1 and Tier 2 itemsArticle 489–Article 491
CHAPTER 3 — Transitional provisions for disclosure of own fundsArticle 492
CHAPTER 4 — Large exposures, own funds requirements, leverage and the Basel I floorArticle 493–Article 501
TITLE II — REPORTS AND REVIEWSArticle 502–Article 519
TITLE III — AMENDMENTSArticle 520
PART ELEVEN — FINAL PROVISIONSArticle 521

Supplementary provisions

ANNEX ISupplementary provisions

ANNEX IISupplementary provisions

ANNEX IIISupplementary provisions

ANNEX IVSupplementary provisions

PART THREE — CAPITAL REQUIREMENTS

TITLE I — GENERAL REQUIREMENTS, VALUATION AND REPORTING

CHAPTER 2 — Calculation and reporting requirements

Article 101Specific reporting obligations

CHAPTER 3 — Trading book

Article 102Requirements for the Trading Book

Article 103Management of the trading book

Article 104Inclusion in the Trading Book

Article 105Requirements for Prudent Valuation

Article 106Internal Hedges

TITLE II — CAPITAL REQUIREMENTS FOR CREDIT RISK

CHAPTER 1 — General principles

Article 107Approaches to credit risk

Article 108Use of credit risk mitigation technique under the Standardised Approach and the IRB Approach

Article 109Treatment of securitised exposures under the Standardised Approach and the IRB Approach

Article 110Treatment of credit risk adjustment

CHAPTER 2 — Standardised Approach

Section 1 — General principles

Article 111Exposure value

Article 112Exposure classes

Article 113Calculation of risk weighted exposure amounts

Section 2 — Risk weights

Article 114Exposures to central governments or central banks

Article 115Exposures to regional governments or local authorities

Article 116Exposures to public sector entities

Article 117Exposures to multilateral development banks

Article 118Exposures to international organisations

Article 119Exposures to institutions

Article 120Exposures to rated institutions

Article 121Exposures to unrated institutions

Article 122Exposures to corporates

Article 123Retail exposures

Article 124Exposures secured by mortgages on immovable property

Article 125Exposures fully and completely secured by mortgages on residential property

Article 126Exposures fully and completely secured by mortgages on commercial immovable property

Article 127Exposures in default

Article 128Items associated with particular high risk

Article 129Exposures in the form of covered bonds

Article 130Items representing securitisation positions

Article 131Exposures to institutions and corporates with a short-term credit assessment

Article 132Exposures in the form of units or shares in CIUs

Article 133Equity exposures

Article 134Other items

Section 3 — Recognition and mapping of credit risk assessment

Sub-Section 1 — Recognition of ECAIs

Article 135Use of credit assessments by ECAIs

Sub-Section 2 — Mapping of ECAI's credit assessments

Article 136Mapping of ECAI's credit assessments

Sub-Section 3 — Use of credit assessments by Export Credit Agencies

Article 137Use of credit assessments by Export Credit Agencies

Section 4 — Use of the ecai credit assessments for the determination of risk weights

Article 138General requirements

Article 139Issuer and issue credit assessment

Article 140Long-term and short-term credit assessments

Article 141Domestic and foreign currency items

CHAPTER 3 — Internal Ratings Based Approach

Section 1 — Permission by competent authorities to use the irb approach

Article 142Definitions

Article 143Permission to use the IRB Approach

Article 144Competent authorities' assessment of an application to use an IRB Approach

Article 145Prior experience of using IRB approaches

Article 146Measures to be taken where the requirements of this Chapter cease to be met

Article 147Methodology to assign exposure to exposures classes

Article 148Conditions for implementing the IRB Approach across different classes of exposure and business units

Article 149Conditions to revert to the use of less sophisticated approaches

Article 150Conditions for permanent partial use

Section 2 — Calculation of risk weighted exposure amounts

Sub-Section 1 — Treatment by type of exposure class

Article 151Treatment by exposure class

Article 152Treatment of exposures in the form of units or shares in CIUs

Sub-Section 2 — Calculation of risk weighted exposure amounts for credit risk

Article 153Risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks

Article 154Risk weighted exposure amounts for retail exposures

Article 155Risk weighted exposure amounts for equity exposures

Article 156Risk weighted exposure amounts for other non credit-obligation assets

Sub-Section 3 — Calculation of risk weighted exposure amounts for dilution risk of purchased receivables

Article 157Risk weighted exposure amounts for dilution risk of purchased receivables

Section 3 — Expected loss amounts

Article 158Treatment by exposure type

Article 159Treatment of expected loss amounts

Section 4 — PD, LGD and maturity

Sub-Section 1 — Exposures to corporates, institutions and central governments and central banks

Article 160Probability of default (PD)

Article 161Loss Given Default (LGD)

Article 162Maturity

Sub-Section 2 — Retail exposures

Article 163Probability of default (PD)

Article 164Loss Given Default (LGD)

Sub-Section 3 — Equity exposures subject to PD/LGD method

Article 165Equity exposures subject to the PD/LGD method

Section 5 — Exposure value

Article 166Exposures to corporates, institutions, central governments and central banks and retail exposures

Article 167Equity exposures

Article 168Other non credit-obligation assets

Section 6 — Requirements for the IRB approach

Sub-Section 1 — Rating systems

Article 169General principles

Article 170Structure of rating systems

Article 171Assignment to grades or pools

Article 172Assignment of exposures

Article 173Integrity of assignment process

Article 174Use of models

Article 175Documentation of rating systems

Article 176Data maintenance

Article 177Stress tests used in assessment of capital adequacy

Sub-Section 2 — Risk quantification

Article 178Default of an obligor

Article 179Overall requirements for estimation

Article 180Requirements specific to PD estimation

Article 181Requirements specific to own-LGD estimates

Article 182Requirements specific to own-conversion factor estimates

Article 183Requirements 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 retail exposures

Article 184Requirements for purchased receivables

Sub-Section 3 — Validation of internal estimates

Article 185Validation of internal estimates

Sub-Section 4 — Requirements for equity exposures under the internal models approach

Article 186Own funds requirement and risk quantification

Article 187Risk management process and controls

Article 188Validation and documentation

Sub-Section 5 — Internal governance and oversight

Article 189Corporate Governance

Article 190Credit risk control

Article 191Internal Audit

CHAPTER 4 — Credit risk mitigation

Section 1 — Definitions and general requirements

Article 192Definitions

Article 193Principles for recognising the effect of credit risk mitigation techniques

Article 194Principles governing the eligibility of credit risk mitigation techniques

Section 2 — Eligible forms of credit risk mitigation

Sub-Section 1 — Funded credit protection

Article 195On-balance sheet netting

Article 196Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactions

Article 197Eligibility of collateral under all approaches and methods

Article 198Additional eligibility of collateral under the Financial Collateral Comprehensive Method

Article 199Additional eligibility for collateral under the IRB Approach

Article 200Other funded credit protection

Sub-Section 2 — Unfunded credit protection

Article 201Eligibility of protection providers under all approaches

Article 202Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Article 153(3)

Article 203Eligibility of guarantees as unfunded credit protection

Sub-Section 3 — Types of derivatives

Article 204Eligible types of credit derivatives

Section 3 — Requirements

Sub-Section 1 — Funded credit protection

Article 205Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206

Article 206Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions

Article 207Requirements for financial collateral

Article 208Requirements for immovable property collateral

Article 209Requirements for receivables

Article 210Requirements for other physical collateral

Article 211Requirements for treating lease exposures as collateralised

Article 212Requirements for other funded credit protection

Sub-Section 2 — Unfunded credit protection and credit linked notes

Article 213Requirements common to guarantees and credit derivatives

Article 214Sovereign and other public sector counter-guarantees

Article 215Additional requirements for guarantees

Article 216Additional requirements for credit derivatives

Article 217Requirements to qualify for the treatment set out in Article 153(3)

Section 4 — Calculating the effects of credit risk mitigation

Sub-Section 1 — Funded credit protection

Article 218Credit linked notes

Article 219On-balance sheet netting

Article 220Using the Supervisory Volatility Adjustments Approach or the Own Estimates Volatility Adjustments Approach for master netting agreements

Article 221Using the Internal Models Approach for Master netting agreements

Article 222Financial Collateral Simple Method

Article 223Financial Collateral Comprehensive Method

Article 224Supervisory volatility adjustment under the Financial Collateral Comprehensive Method

Article 225Own estimates of volatility adjustments under the Financial Collateral Comprehensive Method

Article 226Scaling up of volatility adjustment under the Financial Collateral Comprehensive method

Article 227Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive method

Article 228Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method

Article 229Valuation principles for other eligible collateral under the IRB Approach

Article 230Calculating risk-weighted exposure amounts and expected loss amounts for other eligible collateral under the IRB Approach

Article 231Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral

Article 232Other funded credit protection

Sub-Section 2 — Unfunded credit protection

Article 233Valuation

Article 234Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranching

Article 235Calculating risk-weighted exposure amounts under the Standardised Approach

Article 236Calculating risk-weighted exposure amounts and expected loss amounts under the IRB Approach

Section 5 — Maturity mismatches

Article 237Maturity mismatch

Article 238Maturity of credit protection

Article 239Valuation of protection

Section 6 — Basket CRM techniques

Article 240First-to-default credit derivatives

Article 241Nth-to-default credit derivatives

CHAPTER 5 — Securitisation

Section 1 — Definitions

Article 242Definitions

Section 2 — Recognition of significant risk transfer

Article 243Traditional securitisation

Article 244Synthetic securitisation

Section 3 — Calculation of the risk weighted exposure amounts

Sub-Section 1 — Principles

Article 245Calculation of risk-weighted exposure amounts

Article 246Exposure value

Article 247Recognition of credit risk mitigation for securitisation positions

Article 248Implicit support

Sub-Section 2 — Originator institutions' calculation of risk-weighted exposure amounts securitised in a synthetic securitisation

Article 249General treatment

Article 250Treatment of maturity mismatches in synthetic securitisations

Sub-Section 3 — Calculation of risk-weighted exposure amounts under the Standardised Approach

Article 251Risk-weights

Article 252Originator and sponsor institutions

Article 253Treatment of unrated positions

Article 254Treatment of securitisation positions in a second loss tranche or better in an ABCP programme

Article 255Treatment of unrated liquidity facilities

Article 256Additional own funds requirements for securitisations of revolving exposures with early amortisation provisions

Article 257Credit risk mitigation for securitisation positions subject to the Standardised Approach

Article 258Reduction in risk-weighted exposure amounts

Sub-Section 4 — Calculation of risk-weighted exposure amounts under the IRB Approach

Article 259Hierarchy of methods

Article 260Maximum risk-weighted exposure amounts

Article 261Ratings Based Method

Article 262Supervisory Formula Method

Article 263Liquidity Facilities

Article 264Credit risk mitigation for securitisation positions subject to the IRB Approach

Article 265Additional own funds requirements for securitisations of revolving exposures with early amortisation provisions

Article 266Reduction in risk-weighted exposure amounts

Section 4 — External credit assessments

Article 267Use of Credit Assessments by ECAIs

Article 268Requirements to be met by the credit assessments of ECAIs

Article 269Use of credit assessments

Article 270Mapping

CHAPTER 6 — Counterparty credit risk

Section 1 — Definitions

Article 271Determination of the exposure value

Article 272Definitions

Section 2 — Methods for calculating the exposure value

Article 273Methods for calculating the exposure value

Section 3 — Mark – to – market Method

Article 274Mark-to-market Method

Section 4 — Original Exposure Method

Article 275Original Exposure Method

Section 5 — Standardised Method

Article 276Standardised Method

Article 277Transactions with a linear risk profile

Article 278Transactions with a non-linear risk profile

Article 279Treatment of Collateral

Article 280Calculation of risk positions

Article 281Interest rate risk positions

Article 282Hedging sets

Section 6 — Internal Model Method

Article 283Permission to use the Internal Model Method

Article 284Exposure value

Article 285Exposure value for netting sets subject to a margin agreement

Article 286Management of CCR – Policies, processes and systems

Article 287Organisation structures for CCR management

Article 288Review of CCR management system

Article 289Use test

Article 290Stress testing

Article 291Wrong-Way Risk

Article 292Integrity of the modelling process

Article 293Requirements for the risk management system

Article 294Validation requirements

Section 7 — Contractual netting

Article 295Recognition of contractual netting as risk-reducing

Article 296Recognition of contractual netting agreements

Article 297Obligations of institutions

Article 298Effects of recognition of netting as risk-reducing

Section 8 — Items in the trading book

Article 299Items in the trading book

Section 9 — Own funds requirements for exposures to a central counterparty

Article 300Definitions

Article 301Material scope

Article 302Monitoring of exposures to CCPs

Article 303Treatment of clearing members' exposures to CCPs

Article 304Treatment of clearing members' exposures to clients

Article 305Treatment of clients' exposures

Article 306Own funds requirements for trade exposures

Article 307Own funds requirements for pre-funded contributions to the default fund of a CCP

Article 308Own funds requirements for pre-funded contributions to the default fund of a Q CCP

Article 309Own funds requirements for pre-funded contributions to the default fund of a non-qualifying CCP and for unfunded contributions to a non-qualifying CCP

Article 310Alternative calculation of own funds requirement for exposures to a Q CCP

Article 311Own funds requirements for exposures to CCPs that cease to meet certain conditions

TITLE III — OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK

CHAPTER 1 — General principles governing the use of the different approaches

Article 312Permission and notification

Article 313Reverting to the use of less sophisticated approaches

Article 314Combined use of different approaches

CHAPTER 2 — Basic indicator approach

Article 315Own funds requirement

Article 316Relevant indicator

CHAPTER 3 — Standardised Approach

Article 317Own funds requirement

Article 318Principles for business line mapping

Article 319Alternative Standardised Approach

Article 320Criteria for the Standardised Approach

CHAPTER 4 — Advanced measurement approaches

Article 321Qualitative standards

Article 322Quantitative Standards

Article 323Impact of insurance and other risk transfer mechanisms

Article 324Loss event type classification

TITLE IV — OWN FUNDS REQUIREMENTS FOR MARKET RISK

CHAPTER 1 — General Provisions

Article 325Allowances for consolidated requirements

CHAPTER 2 — Own funds requirements for position risk

Section 1 — General provisions and specific instruments

Article 326Own funds requirements for position risk

Article 327Netting

Article 328Interest rate futures and forwards

Article 329Options and warrants

Article 330Swaps

Article 331Interest rate risk on derivative instruments

Article 332Credit Derivatives

Article 333Securities sold under a repurchase agreement or lent

Section 2 — Debt instruments

Article 334Net positions in debt instruments

Sub-Section 1 — Specific risk

Article 335Cap on the own funds requirement for a net position

Article 336Own funds requirement for non-securitisation debt instruments

Article 337Own funds requirement for securitisation instruments

Article 338Own funds requirement for the correlation trading portfolio

Sub-Section 2 — General risk

Article 339Maturity-based calculation of general risk

Article 340Duration-based calculation of general risk

Section 3 — Equities

Article 341Net positions in equity instruments

Article 342Specific risk of equity instruments

Article 343General risk of equity instruments

Article 344Stock indices

Section 4 — Underwriting

Article 345Reduction of net positions

Section 5 — Specific risk own funds requirements for positions hedged by credit derivatives

Article 346Allowance for hedges by credit derivatives

Article 347Allowance for hedges by first and nth-to default credit derivatives

Section 6 — Own funds requirements for CIUs

Article 348Own funds requirements for CIUs

Article 349General criteria for CIUs

Article 350Specific methods for CIUs

CHAPTER 3 — Own funds requirements for foreign-exchange risk

Article 351De minimis and weighting for foreign exchange risk

Article 352Calculation of the overall net foreign exchange position

Article 353Foreign exchange risk of CIUs

Article 354Closely correlated currencies

CHAPTER 4 — Own funds requirements for commodities risk

Article 355Choice of method for commodities risk

Article 356Ancillary commodities business

Article 357Positions in commodities

Article 358Particular instruments

Article 359Maturity ladder approach

Article 360Simplified approach

Article 361Extended maturity ladder approach

CHAPTER 5 — Use of internal models to calculate own funds requirements

Section 1 — Permission and own funds requirements

Article 362Specific and general risks

Article 363Permission to use internal models

Article 364Own funds requirements when using internal models

Section 2 — General requirements

Article 365VaR and stressed VaR Calculation

Article 366Regulatory back testing and multiplication factors

Article 367Requirements on risk measurement

Article 368Qualitative requirements

Article 369Internal Validation

Section 3 — Requirements particular to specific risk modelling

Article 370Requirements for modelling specific risk

Article 371Exclusions from specific risk models

Section 4 — Internal model for incremental default and migration risk

Article 372Requirement to have an internal IRC model

Article 373Scope of the internal IRC model

Article 374Parameters of the internal IRC model

Article 375Recognition of hedges in the internal IRC model

Article 376Particular requirements for the internal IRC model

Section 5 — Internal model for correlation trading

Article 377Requirements for an internal model for correlation trading

TITLE V — OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK

Article 378Settlement/delivery risk

Article 379Free deliveries

Article 380Waiver

TITLE VI — OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK

Article 381Meaning of Credit Valuation Adjustment

Article 382Scope

Article 383Advanced method

Article 384Standardised method

Article 385Alternative to using CVA methods to calculating own funds requirements

Article 386Eligible hedges

Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.

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