1. Introductory Text

  2. PART ONE GENERAL PROVISIONS

    1. TITLE I SUBJECT MATTER, SCOPE AND DEFINITIONS

      1. Article 1. Scope

      2. Article 2. Supervisory powers

      3. Article 3. Application of stricter requirements by institutions

      4. Article 4.Definitions

      5. Article 4A. Definitions: Regulators' rules

      6. Article 4B.The consolidating supervisor

      7. Article 5. Definitions specific to capital requirements for credit risk

    2. TITLE II LEVEL OF APPLICATION OF REQUIREMENTS

      1. CHAPTER 1 Application of requirements on an individual basis

        1. Article 6.General principles

        2. Article 7. Derogation from the application of prudential requirements on an individual basis

        3. Article 8. Derogation from the application of liquidity requirements on an individual basis

        4. Article 9. Individual consolidation method

        5. Article 10. Waiver for credit institutions permanently affiliated to a central body

        6. Article 10A.Application of prudential requirements on a consolidated basis where FCA investment firms are parent undertakings

      2. CHAPTER 2 Prudential consolidation

        1. Section 1 Application of requirements on a consolidated basis

          1. Article 11.General treatment

          2. Article 12. Financial holding company or mixed financial holding company with both a subsidiary credit institution and a subsidiary investment firm

          3. Article 12a. Consolidated calculation for G-SIIs with multiple resolution entities

          4. Article 13. Application of disclosure requirements on a consolidated basis

          5. Article 14. Application of requirements of Article 5 of Regulation (EU) 2017/2402 on a consolidated basis

          6. Article 15. Derogation from the application of own funds requirements on a consolidated basis for groups of investment firms

          7. Article 16. Derogation from the application of the leverage ratio requirements on a consolidated basis for groups of investment firms

          8. Article 17. Supervision of investment firms waived from the application of own funds requirements on a consolidated basis

        2. Section 2 Methods for prudential consolidation

          1. Article 18.Methods of prudential consolidation

        3. Section 3 Scope of prudential consolidation

          1. Article 19. Entities excluded from the scope of prudential consolidation

          2. Article 20. Joint decisions on prudential requirements

          3. Article 21. Joint decisions on the level of application of liquidity requirements

          4. Article 22. Sub-consolidation in cases of entities in third countries

          5. Article 23. Undertakings in third countries

          6. Article 24. Valuation of assets and off-balance sheet items

  3. PART TWO OWN FUNDS AND ELIGIBLE LIABILITIES

    1. TITLE I ELEMENTS OF OWN FUNDS

      1. CHAPTER 1 Tier 1 capital

        1. Article 25. Tier 1 capital

      2. CHAPTER 2 Common Equity Tier 1 capital

        1. Section 1 Common Equity Tier 1 items and instruments

          1. Article 26. Common Equity Tier 1 items

          2. Article 27. Capital instruments of mutuals, cooperative societies, savings institutions or similar institutions in Common Equity Tier 1 items

          3. Article 28. Common Equity Tier 1 instruments

          4. Article 29. Capital instruments issued by mutuals, cooperative societies, savings institutions and similar institutions

          5. Article 30. Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be met

          6. Article 31. Capital instruments subscribed by public authorities in emergency situations

        2. Section 2 Prudential filters

          1. Article 32. Securitised assets

          2. Article 33. Cash flow hedges and changes in the value of own liabilities

          3. Article 34. Additional value adjustments

          4. Article 35. Unrealised gains and losses measured at fair value

        3. Section 3 Deductions from Common Equity Tier 1 items, exemptions and alternatives

          1. Sub-Section 1 Deductions from Common Equity Tier 1 items

            1. Article 36. Deductions from Common Equity Tier 1 items

            2. Article 37. Deduction of intangible assets

            3. Article 38. Deduction of deferred tax assets that rely on future profitability

            4. Article 39. Tax overpayments, tax loss carry backs and deferred tax assets that do not rely on future profitability

            5. Article 40. Deduction of negative amounts resulting from the calculation of expected loss amounts

            6. Article 41. Deduction of defined benefit pension fund assets

            7. Article 42. Deduction of holdings of own Common Equity Tier 1 instruments

            8. Article 43. Significant investment in a financial sector entity

            9. Article 44. 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

            10. Article 45. Deduction of holdings of Common Equity Tier 1 instruments of financial sector entities

            11. Article 46. Deduction of holdings of Common Equity Tier 1 instruments where an institution does not have a significant investment in a financial sector entity

            12. Article 47. Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant investment in a financial sector entity

            13. Article 47a. Non-performing exposures

            14. Article 47b. Forbearance measures

            15. Article 47c. Deduction for non-performing exposures

          2. Sub-Section 2 Exemptions from and alternatives to deduction from Common Equity Tier 1 items

            1. Article 48. Threshold exemptions from deduction from Common Equity Tier 1 items

            2. Article 49.Requirement for deduction where consolidation or supplementary supervision is applied

        4. Section 4 Common Equity Tier 1 capital

          1. Article 50. Common Equity Tier 1 capital

      3. CHAPTER 3 Additional Tier 1 capital

        1. Section 1 Additional Tier 1 items and instruments

          1. Article 51. Additional Tier 1 items

          2. Article 52. Additional Tier 1 instruments

          3. Article 53. Restrictions on the cancellation of distributions on Additional Tier 1 instruments and features that could hinder the recapitalisation of the institution

          4. Article 54. Write down or conversion of Additional Tier 1 instruments

          5. Article 55. Consequences of the conditions for Additional Tier 1 instruments ceasing to be met

        2. Section 2 Deductions from Additional Tier 1 items

          1. Article 56. Deductions from Additional Tier 1 items

          2. Article 57. Deductions of holdings of own Additional Tier 1 instruments

          3. Article 58. 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

          4. Article 59. Deduction of holdings of Additional Tier 1 instruments of financial sector entities

          5. Article 60. Deduction of holdings of Additional Tier 1 instruments where an institution does not have a significant investment in a financial sector entity

        3. Section 3 Additional Tier 1 capital

          1. Article 61. Additional Tier 1 capital

      4. CHAPTER 4 Tier 2 capital

        1. Section 1 Tier 2 items and instruments

          1. Article 62. Tier 2 items

          2. Article 63. Tier 2 instruments

          3. Article 64. Amortisation of Tier 2 instruments

          4. Article 65. Consequences of the conditions for Tier 2 instruments ceasing to be met

        2. Section 2 Deductions from Tier 2 items

          1. Article 66. Deductions from Tier 2 items

          2. Article 67. Deductions of holdings of own Tier 2 instruments

          3. Article 68. 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

          4. Article 69. Deduction of holdings of Tier 2 instruments of financial sector entities

          5. Article 70. Deduction of Tier 2 instruments where an institution does not have a significant investment in a relevant entity

        3. Section 3 Tier 2 capital

          1. Article 71. Tier 2 capital

      5. CHAPTER 5 Own funds

        1. Article 72. Own funds

      6. CHAPTER 5a Eligible liabilities

        1. Section 1 Eligible liabilities items and instruments

          1. Article 72a. Eligible liabilities items

          2. Article 72b. Eligible liabilities instruments

          3. Article 72c. Amortisation of eligible liabilities instruments

          4. Article 72d. Consequences of the eligibility conditions ceasing to be met

        2. Section 2 Deductions from eligible liabilities items

          1. Article 72e. Deductions from eligible liabilities items

          2. Article 72f. Deduction of holdings of own eligible liabilities instruments

          3. Article 72g. Deduction base for eligible liabilities items

          4. Article 72h. Deduction of holdings of eligible liabilities of other G-SII entities

          5. Article 72i. Deduction of eligible liabilities where the institution does not have a significant investment in G-SII entities

          6. Article 72j. Trading book exception from deductions from eligible liabilities items

        3. Section 3 Own funds and eligible liabilities

          1. Article 72k. Eligible liabilities

          2. Article 72l. Own funds and eligible liabilities

      7. CHAPTER 6 General requirements for own funds and eligible liabilities

        1. Article 73. Distributions on instruments

        2. Article 74. Holdings of capital instruments issued by regulated financial sector entities that do not qualify as regulatory capital

        3. Article 75. Deduction and maturity requirements for short positions

        4. Article 76. Index holdings of capital instruments

        5. Article 77. Conditions for reducing own funds and eligible liabilities

        6. Article 78. Supervisory permission to reduce own funds

        7. Article 78a. Permission to reduce eligible liabilities instruments

        8. Article 79. Temporary waiver from deduction from own funds and eligible liabilities

        9. Article 79a. Assessment of compliance with the conditions for own funds and eligible liabilities instruments

        10. Article 80. Continuing review of the quality of own funds and eligible liabilities instruments

    2. TITLE II MINORITY INTEREST AND ADDITIONAL TIER 1 AND TIER 2 INSTRUMENTS ISSUED BY SUBSIDIARIES

      1. Article 81. Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital

      2. Article 82. Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds

      3. Article 83. Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entity

      4. Article 84. Minority interests included in consolidated Common Equity Tier 1 capital

      5. Article 85. Qualifying Tier 1 instruments included in consolidated Tier 1 capital

      6. Article 86. Qualifying Tier 1 capital included in consolidated Additional Tier 1 capital

      7. Article 87. Qualifying own funds included in consolidated own funds

      8. Article 88. Qualifying own funds instruments included in consolidated Tier 2 capital

    3. TITLE III QUALIFYING HOLDINGS OUTSIDE THE FINANCIAL SECTOR

      1. Article 89. Risk weighting and prohibition of qualifying holdings outside the financial sector

      2. Article 90. Alternative to 1 250  % risk weight

      3. Article 91. Exceptions

  4. PART THREE CAPITAL REQUIREMENTS

    1. TITLE I GENERAL REQUIREMENTS, VALUATION AND REPORTING

      1. CHAPTER 1 Required level of own funds

        1. Section 1 Own funds requirements for institutions

          1. Article 92. Own funds requirements

          2. Article 92a. Requirements for own funds and eligible liabilities for G-SIIs

          3. Article 92b.Requirement for own funds and eligible liabilities for non-UK G-SIIs

          4. Article 93. Initial capital requirement on going concern

          5. Article 94. Derogation for small trading book business

        2. Section 2 Own funds requirements for investment firms with limited authorisation to provide investment services

          1. Article 95. Own funds requirements for investment firms with limited authorisation to provide investment services

          2. Article 96. Own funds requirements for IFPRU 730K firms

          3. Article 97. Own Funds based on Fixed Overheads

          4. Article 98. Own funds for investment firms on a consolidated basis

      2. CHAPTER 2 Calculation and reporting requirements

        1. Article 99.Reporting on own funds requirements and financial information

        2. Article 100.Additional reporting requirements

        3. Article 101.Specific reporting obligations

      3. CHAPTER 3 Trading book

        1. Article 102.Requirements for the trading book

        2. Article 103.Management of the trading book

        3. Article 104.Inclusion in the trading book

        4. Article 104b.Requirements for trading desk

        5. Article 105.Requirements for prudent valuation

        6. Article 106.Internal Hedges

    2. TITLE II CAPITAL REQUIREMENTS FOR CREDIT RISK

      1. CHAPTER 1 General principles

        1. Article 107. Approaches to credit risk

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

        3. Article 109. Treatment of securitisation positions

        4. Article 110. Treatment of credit risk adjustment

      2. CHAPTER 2 Standardised approach

        1. Section 1 General principles

          1. Article 111. Exposure value

          2. Article 112. Exposure classes

          3. Article 113. Calculation of risk-weighted exposure amounts

        2. Section 2 Risk weights

          1. Article 114. Exposures to central governments or central banks

          2. Article 115. Exposures to regional governments or local authorities

          3. Article 116. Exposures to public sector entities

          4. Article 117. Exposures to multilateral development banks

          5. Article 118. Exposures to international organisations

          6. Article 119. Exposures to institutions

          7. Article 120. Exposures to rated institutions

          8. Article 121. Exposures to unrated institutions

          9. Article 122. Exposures to corporates

          10. Article 123. Retail exposures

          11. Article 124. Exposures secured by mortgages on immovable property

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

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

          14. Article 127. Exposures in default

          15. Article 128. Items associated with particular high risk

          16. Article 129. Exposures in the form of covered bonds

          17. Article 130. Items representing securitisation positions

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

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

          20. Article 132a. Approaches for calculating risk-weighted exposure amounts of CIUs

          21. Article 133. Equity exposures

          22. Article 134. Other items

        3. Section 3 Recognition and mapping of credit risk assessment

          1. Sub-Section 1 Recognition of ECAIs

            1. Article 135. Use of credit assessments by ECAIs

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

            1. Article 136. Mapping of ECAI's credit assessments

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

            1. Article 137. Use of credit assessments by export credit agencies

        4. Section 4 Use of the ECAI credit assessments for the determination of risk weights

          1. Article 138. General requirements

          2. Article 139. Issuer and issue credit assessment

          3. Article 140. Long-term and short-term credit assessments

          4. Article 141. Domestic and foreign currency items

      3. CHAPTER 3 Internal Ratings Based Approach

        1. Section 1 Permission by competent authorities to use the IRB approach

          1. Article 142. Definitions

          2. Article 143. Permission to use the IRB Approach

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

          4. Article 145. Prior experience of using IRB approaches

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

          6. Article 147. Methodology to assign exposures to exposure classes

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

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

          9. Article 150. Conditions for permanent partial use

        2. Section 2 Calculation of risk-weighted exposure amounts

          1. Sub-Section 1 Treatment by type of exposure class

            1. Article 151. Treatment by exposure class

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

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

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

            2. Article 154. Risk-weighted exposure amounts for retail exposures

            3. Article 155. Risk-weighted exposure amounts for equity exposures

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

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

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

        3. Section 3 Expected loss amounts

          1. Article 158. Treatment by exposure type

          2. Article 159. Treatment of expected loss amounts

        4. Section 4 PD, LGD and maturity

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

            1. Article 160. Probability of default (PD)

            2. Article 161. Loss Given Default (LGD)

            3. Article 162. Maturity

          2. Sub-Section 2 Retail exposures

            1. Article 163. Probability of default (PD)

            2. Article 164. Loss Given Default (LGD)

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

            1. Article 165. Equity exposures subject to the PD/LGD method

        5. Section 5 Exposure value

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

          2. Article 167. Equity exposures

          3. Article 168. Other non credit-obligation assets

        6. Section 6 Requirements for the IRB approach

          1. Sub-Section 1 Rating systems

            1. Article 169. General principles

            2. Article 170. Structure of rating systems

            3. Article 171. Assignment to grades or pools

            4. Article 172. Assignment of exposures

            5. Article 173. Integrity of assignment process

            6. Article 174. Use of models

            7. Article 175. Documentation of rating systems

            8. Article 176. Data maintenance

            9. Article 177. Stress tests used in assessment of capital adequacy

          2. Sub-Section 2 Risk quantification

            1. Article 178. Default of an obligor

            2. Article 179. Overall requirements for estimation

            3. Article 180. Requirements specific to PD estimation

            4. Article 181. Requirements specific to own-LGD estimates

            5. Article 182. Requirements specific to own-conversion factor estimates

            6. Article 183. Requirements 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

            7. Article 184. Requirements for purchased receivables

          3. Sub-Section 3 Validation of internal estimates

            1. Article 185. Validation of internal estimates

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

            1. Article 186. Own funds requirement and risk quantification

            2. Article 187. Risk management process and controls

            3. Article 188. Validation and documentation

          5. Sub-Section 5 Internal governance and oversight

            1. Article 189. Corporate Governance

            2. Article 190. Credit risk control

            3. Article 191. Internal Audit

      4. CHAPTER 4 Credit risk mitigation

        1. Section 1 Definitions and general requirements

          1. Article 192. Definitions

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

          3. Article 194. Principles governing the eligibility of credit risk mitigation techniques

        2. Section 2 Eligible forms of credit risk mitigation

          1. Sub-Section 1 Funded credit protection

            1. Article 195. On-balance sheet netting

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

            3. Article 197. Eligibility of collateral under all approaches and methods

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

            5. Article 199. Additional eligibility for collateral under the IRB Approach

            6. Article 200. Other funded credit protection

          2. Sub-Section 2 Unfunded credit protection

            1. Article 201. Eligibility of protection providers under all approaches

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

            3. Article 203. Eligibility of guarantees as unfunded credit protection

          3. Sub-Section 3 Types of derivatives

            1. Article 204. Eligible types of credit derivatives

        3. Section 3 Requirements

          1. Sub-Section 1 Funded credit protection

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

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

            3. Article 207. Requirements for financial collateral

            4. Article 208. Requirements for immovable property collateral

            5. Article 209. Requirements for receivables

            6. Article 210. Requirements for other physical collateral

            7. Article 211. Requirements for treating lease exposures as collateralised

            8. Article 212. Requirements for other funded credit protection

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

            1. Article 213. Requirements common to guarantees and credit derivatives

            2. Article 214. Sovereign and other public sector counter-guarantees

            3. Article 215. Additional requirements for guarantees

            4. Article 216. Additional requirements for credit derivatives

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

        4. Section 4 Calculating the effects of credit risk mitigation

          1. Sub-Section 1 Funded credit protection

            1. Article 218. Credit linked notes

            2. Article 219. On-balance sheet netting

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

            4. Article 221. Using the internal models approach for master netting agreements

            5. Article 222. Financial Collateral Simple Method

            6. Article 223. Financial Collateral Comprehensive Method

            7. Article 224. Supervisory volatility adjustment under the Financial Collateral Comprehensive Method

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

            9. Article 226. Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method

            10. Article 227. Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive Method

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

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

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

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

            15. Article 232. Other funded credit protection

          2. Sub-Section 2 Unfunded credit protection

            1. Article 233. Valuation

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

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

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

        5. Section 5 Maturity mismatches

          1. Article 237. Maturity mismatch

          2. Article 238. Maturity of credit protection

          3. Article 239. Valuation of protection

        6. Section 6 Basket CRM techniques

          1. Article 240. First-to-default credit derivatives

          2. Article 241. Nth-to-default credit derivatives

      5. CHAPTER 5 Securitisation

        1. Section 1 Definitions and criteria for simple, transparent and standardised securitisations

          1. Article 242.Definitions

          2. Article 243. Criteria for STS securitisations qualifying for differentiated capital treatment

        2. Section 2 Recognition of significant risk transfer

          1. Article 244. Traditional securitisation

          2. Article 245. Synthetic securitisation

          3. Article 246. Operational requirements for early amortisation provisions

        3. Section 3 Calculation of risk-weighted exposure amounts

          1. Subsection 1 General Provisions

            1. Article 247. Calculation of risk-weighted exposure amounts

            2. Article 248. Exposure value

            3. Article 249. Recognition of credit risk mitigation for securitisation positions

            4. Article 250. Implicit support

            5. Article 251. Originator institutions’ calculation of risk-weighted exposure amounts securitised in a synthetic securitisation

            6. Article 252. Treatment of maturity mismatches in synthetic securitisations

            7. Article 253. Reduction in risk-weighted exposure amounts

          2. Subsection 2 Hierarchy of methods and common parameters

            1. Article 254. Hierarchy of methods

            2. Article 255. Determination of K IRB and K SA

            3. Article 256. Determination of attachment point (A) and detachment point (D)

            4. Article 257. Determination of tranche maturity (M T )

          3. Subsection 3 Methods to calculate risk-weighted exposure amounts

            1. Article 258. Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)

            2. Article 259. Calculation of risk-weighted exposure amounts under the SEC-IRBA

            3. Article 260. Treatment of STS securitisations under the SEC-IRBA

            4. Article 261. Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)

            5. Article 262. Treatment of STS securitisations under the SEC-SA

            6. Article 263. Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)

            7. Article 264. Treatment of STS securitisations under the SEC-ERBA

            8. Article 265. Scope and operational requirements for the Internal Assessment Approach

            9. Article 266. Calculation of risk-weighted exposure amounts under the Internal Assessment Approach

          4. Subsection 4 Caps for securitisation positions

            1. Article 267. Maximum risk weight for senior securitisation positions: look-through approach

            2. Article 268. Maximum capital requirements

          5. Subsection 5 Miscellaneous provisions

            1. Article 269. Re-securitisations

            2. Article 269a.NPE securitisations

            3. Article 270. Senior positions in SME securitisations

            4. Article 270a. Additional risk weight

        4. Section 4 External credit assessments

          1. Article 270b. Use of credit assessments by ECAIs

          2. Article 270c. Requirements to be met by the credit assessments of ECAIs

          3. Article 270d. Use of credit assessments

          4. Article 270e. Securitisation mapping

      6. CHAPTER 6 Counterparty credit risk

        1. Section 1 Definitions

          1. Article 271. Determination of the exposure value

          2. Article 272. Definitions

        2. Section 2 Methods for calculating the exposure value

          1. Article 273. Methods for calculating the exposure value

        3. Section 3 Mark-to-Market Method

          1. Article 274. Mark-to-Market Method

        4. Section 4 Original Exposure Method

          1. Article 275. Original Exposure Method

        5. Section 5 Standardised Method

          1. Article 276. Standardised Method

          2. Article 277.Transactions with a linear risk profile

          3. Article 278. Transactions with a non-linear risk profile

          4. Article 279. Treatment of collateral

          5. Article 279a. Supervisory delta

          6. Article 280. Calculation of risk positions

          7. Article 281. Interest rate risk positions

          8. Article 282. Hedging sets

        6. Section 6 Internal Model Method

          1. Article 283.Permission to use the Internal Model Method

          2. Article 284. Exposure value

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

          4. Article 286. Management of CCR — Policies, processes and systems

          5. Article 287. Organisation structures for CCR management

          6. Article 288. Review of CCR management system

          7. Article 289. Use test

          8. Article 290.Stress testing

          9. Article 291.Wrong-Way Risk

          10. Article 292. Integrity of the modelling process

          11. Article 293. Requirements for the risk management system

          12. Article 294. Validation requirements

        7. Section 7 Contractual netting

          1. Article 295. Recognition of contractual netting as risk-reducing

          2. Article 296. Recognition of contractual netting agreements

          3. Article 297. Obligations of institutions

          4. Article 298. Effects of recognition of netting as risk-reducing

        8. Section 8 Items in the trading book

          1. Article 299.Items in the trading book

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

          1. Article 300. Definitions

          2. Article 301. Material scope

          3. Article 302. Monitoring of exposures to CCPs

          4. Article 303. Treatment of clearing members' exposures to CCPs

          5. Article 304.Treatment of clearing members' exposures to clients

          6. Article 305. Treatment of clients' exposures

          7. Article 306. Own funds requirements for trade exposures

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

          9. Article 308. Own funds requirements for pre-funded contributions to the default fund of a QCCP

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

          11. Article 310. Alternative calculation of own funds requirement for exposures to a QCCP

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

    3. TITLE III OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK

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

        1. Article 312. Permission and notification

        2. Article 313. Reverting to the use of less sophisticated approaches

        3. Article 314. Combined use of different approaches

      2. CHAPTER 2 Basic Indicator Approach

        1. Article 315. Own funds requirement

        2. Article 316. Relevant indicator

      3. CHAPTER 3 Standardised Approach

        1. Article 317. Own funds requirement

        2. Article 318. Principles for business line mapping

        3. Article 319. Alternative Standardised Approach

        4. Article 320. Criteria for the Standardised Approach

      4. CHAPTER 4 Advanced measurement approaches

        1. Article 321. Qualitative standards

        2. Article 322. Quantitative Standards

        3. Article 323. Impact of insurance and other risk transfer mechanisms

        4. Article 324. Loss event type classification

    4. TITLE IV OWN FUNDS REQUIREMENTS FOR MARKET RISK

      1. CHAPTER 1 General provisions

        1. Article 325. Approaches for calculating the own funds requirements for market risk

        2. Article 325a. Exemptions from specific reporting requirements for market risk

        3. Article 325b. Permission for consolidated requirements

      2. CHAPTER 1a Alternative standardised approach

        1. Section 1 General provisions

          1. Article 325c.Scope and structure of the alternative standardised approach

        2. Section 2 Sensitivities-based method for calculating the own funds requirement

          1. Article 325d.Definitions

          2. Article 325e.Components of the sensitivities-based method

          3. Article 325f.Own funds requirements for delta and vega risks

          4. Article 325g.Own funds requirements for curvature risk

          5. Article 325h.Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks

          6. Article 325i.Treatment of index instruments and multi-underlying options

          7. Article 325j.Treatment of collective investment undertakings

          8. Article 325k.Underwriting positions

        3. Section 3 Risk factor and sensitivity definitions

          1. Subsection 1 Risk factor definitions

            1. Article 325l.General interest rate risk factors

            2. Article 325m.Credit spread risk factors for non-securitisation

            3. Article 325n.Credit spread risk factors for securitisation

            4. Article 325o.Equity risk factors

            5. Article 325p.Commodity risk factors

            6. Article 325q.Foreign exchange risk factors

          2. Subsection 2 Sensitivity definitions

            1. Article 325r.Delta risk sensitivities

            2. Article 325s.Vega risk sensitivities

            3. Article 325t.Requirements on sensitivity computations

        4. Section 4 The residual risk add-on

          1. Article 325u.Own funds requirements for residual risks

        5. Section 5 Own funds requirements for the default risk

          1. Article 325v.Definitions and general provisions

          2. Subsection 1 Own funds requirements for the default risk for non-securitisations

            1. Article 325w.Gross jump-to-default amounts

            2. Article 325x.Net jump-to-default amounts

            3. Article 325y.Calculation of the own funds requirements for the default risk

          3. Subsection 2 Own funds requirements for the default risk for securitisations not included in the ACTP

            1. Article 325z.Jump-to-default amounts

            2. Article 325aa.Calculation of the own funds requirement for the default risk for securitisations

          4. Subsection 3 Own funds requirements for the default risk for securitisations included in the ACTP

            1. Article 325ab.Scope

            2. Article 325ac.Jump-to-default amounts for the ACTP

            3. Article 325ad.Calculation of the own funds requirements for the default risk for the ACTP

        6. Section 6 Risk weights and correlations

          1. Subsection 1 Delta risk weights and correlations

            1. Article 325ae.Risk weights for general interest rate risk

            2. Article 325af.Intra bucket correlations for general interest rate risk

            3. Article 325ag.Correlations across buckets for general interest rate risk

            4. Article 325ah.Risk weights for credit spread risk for non-securitisations

            5. Article 325ai.Intra-bucket correlations for credit spread risk for non-securitisations

            6. Article 325aj.Correlations across buckets for credit spread risk for non-securitisations

            7. Article 325ak.Risk weights for credit spread risk for securitisations included in the ACTP

            8. Article 325al.Correlations for credit spread risk for securitisations included in the ACTP

            9. Article 325am.Risk weights for credit spread risk for securitisations not included in the ACTP

            10. Article 325an.Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP

            11. Article 325ao.Correlations across buckets for credit spread risk for securitisations not included in the ACTP

            12. Article 325ap.Risk weights for equity risk

            13. Article 325aq.Intra-bucket correlations for equity risk

            14. Article 325ar.Correlations across buckets for equity risk

            15. Article 325as.Risk weights for commodity risk

            16. Article 325at.Intra-bucket correlations for commodity risk

            17. Article 325au.Correlations across buckets for commodity risk

            18. Article 325av.Risk weights for foreign exchange risk

            19. Article 325aw.Correlations for foreign exchange risk

          2. Subsection 2 Vega and curvature risk weights and correlations

            1. Article 325ax.Vega and curvature risk weights

            2. Article 325ay.Vega and curvature risk correlations

      3. CHAPTER 1b Alternative internal model approach

        1. Section 1 Permission and own funds requirements

          1. Article 325az.Alternative internal model approach and permission to use alternative internal models

          2. Article 325ba.Own funds requirements when using alternative internal models

        2. Section 2 General requirements

          1. Article 325bb.Expected shortfall risk measure

          2. Article 325bc.Partial expected shortfall calculations

          3. Article 325bd.Liquidity horizons

          4. Article 325be.Assessment of the modellability of risk factors

          5. Article 325bf.Regulatory back-testing requirements and multiplication factors

          6. Article 325bg.Profit and loss attribution requirement

          7. Article 325bh.Requirements on risk measurement

          8. Article 325bi.Qualitative requirements

          9. Article 325bj.Internal validation

          10. Article 325bk.Calculation of stress scenario risk measure

        3. Section 3 Internal default risk model

          1. Article 325bl.Scope of the internal default risk model

          2. Article 325bm.Permission to use an internal default risk model

          3. Article 325bn.Own funds requirements for default risk using an internal default risk model

          4. Article 325bo.Recognition of hedges in an internal default risk model

          5. Article 325bp.Particular requirements for an internal default risk model

      4. CHAPTER 2 Own funds requirements for position risk

        1. Section 1 General provisions and specific instruments

          1. Article 326. Own funds requirements for position risk

          2. Article 327. Netting

          3. Article 328. Interest rate futures and forwards

          4. Article 329. Options and warrants

          5. Article 330. Swaps

          6. Article 331. Interest rate risk on derivative instruments

          7. Article 332. Credit Derivatives

          8. Article 333. Securities sold under a repurchase agreement or lent

        2. Section 2 Debt instruments

          1. Article 334. Net positions in debt instruments

          2. Sub-Section 1 Specific risk

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

            2. Article 336. Own funds requirement for non-securitisation debt instruments

            3. Article 337. Own funds requirement for securitisation instruments

            4. Article 338. Own funds requirement for the correlation trading portfolio

          3. Sub-Section 2 General risk

            1. Article 339. Maturity-based calculation of general risk

            2. Article 340. Duration-based calculation of general risk

        3. Section 3 Equities

          1. Article 341. Net positions in equity instruments

          2. Article 342. Specific risk of equity instruments

          3. Article 343. General risk of equity instruments

          4. Article 344. Stock indices

        4. Section 4 Underwriting

          1. Article 345. Reduction of net positions

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

          1. Article 346. Allowance for hedges by credit derivatives

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

        6. Section 6 Own funds requirements for CIUs

          1. Article 348. Own funds requirements for CIUs

          2. Article 349. General criteria for CIUs

          3. Article 350. Specific methods for CIUs

      5. CHAPTER 3 Own funds requirements for foreign-exchange risk

        1. Article 351. De minimis and weighting for foreign exchange risk

        2. Article 352. Calculation of the overall net foreign exchange position

        3. Article 353. Foreign exchange risk of CIUs

        4. Article 354. Closely correlated currencies

      6. CHAPTER 4 Own funds requirements for commodities risk

        1. Article 355. Choice of method for commodities risk

        2. Article 356. Ancillary commodities business

        3. Article 357. Positions in commodities

        4. Article 358. Particular instruments

        5. Article 359. Maturity ladder approach

        6. Article 360. Simplified approach

        7. Article 361. Extended maturity ladder approach

      7. CHAPTER 5 Use of internal models to calculate own funds requirements

        1. Section 1 Permission and own funds requirements

          1. Article 362. Specific and general risks

          2. Article 363. Permission to use internal models

          3. Article 364. Own funds requirements when using internal models

        2. Section 2 General requirements

          1. Article 365. VaR and stressed VaR Calculation

          2. Article 366. Regulatory back testing and multiplication factors

          3. Article 367. Requirements on risk measurement

          4. Article 368. Qualitative requirements

          5. Article 369. Internal Validation

        3. Section 3 Requirements particular to specific risk modelling

          1. Article 370. Requirements for modelling specific risk

          2. Article 371. Exclusions from specific risk models

        4. Section 4 Internal model for incremental default and migration risk

          1. Article 372. Requirement to have an internal IRC model

          2. Article 373. Scope of the internal IRC model

          3. Article 374. Parameters of the internal IRC model

          4. Article 375. Recognition of hedges in the internal IRC model

          5. Article 376. Particular requirements for the internal IRC model

        5. Section 5 Internal model for correlation trading

          1. Article 377. Requirements for an internal model for correlation trading

    5. TITLE V OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK

      1. Article 378. Settlement/delivery risk

      2. Article 379. Free deliveries

      3. Article 380. Waiver

    6. TITLE VI OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK

      1. Article 381. Meaning of credit valuation adjustment

      2. Article 382. Scope

      3. Article 383. Advanced method

      4. Article 384.Standardised method

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

      6. Article 386. Eligible hedges

  5. PART FOUR LARGE EXPOSURES

    1. Article 387. Subject matter

    2. Article 388. Negative Scope

    3. Article 389. Definition

    4. Article 390. Calculation of the exposure value

    5. Article 391. Definition of an institution for large exposures purposes

    6. Article 392. Definition of a large exposure

    7. Article 393. Capacity to identify and manage large exposures

    8. Article 394. Reporting requirements

    9. Article 395. Limits to large exposures

    10. Article 396. Compliance with large exposures requirements

    11. Article 397. Calculating additional own funds requirements for large exposures in the trading book

    12. Article 398. Procedures to prevent institutions from avoiding the additional own funds requirement

    13. Article 399. Eligible credit mitigation techniques

    14. Article 400. Exemptions

    15. Article 401. Calculating the effect of the use of credit risk mitigation techniques

    16. Article 402. Exposures arising from mortgage lending

    17. Article 403. Substitution approach

  6. PART FIVE EXPOSURES TO TRANSFERRED CREDIT RISK

    1. TITLE I GENERAL PROVISIONS FOR THIS PART

      1. Article 404. Scope of application

    2. TITLE II REQUIREMENTS FOR INVESTOR INSTITUTIONS

      1. Article 405. Retained interest of the issuer

      2. Article 406. Due diligence

      3. Article 407. Additional risk weight

    3. TITLE III REQUIREMENTS FOR SPONSOR AND ORIGINATOR INSTITUTIONS

      1. Article 408. Criteria for credit granting

      2. Article 409. Disclosure to investors

      3. Article 410. Uniform condition of application

  7. PART SIX LIQUIDITY

    1. TITLE I DEFINITIONS AND LIQUIDITY COVERAGE REQUIREMENT

      1. Article 411. Definitions

      2. Article 412. Liquidity coverage requirement

      3. Article 413. Stable Funding

      4. Article 414. Compliance with liquidity requirements

    2. TITLE II LIQUIDITY REPORTING

      1. Article 415. Reporting obligation and reporting format

      2. Article 416. Reporting on liquid assets

      3. Article 417. Operational requirements for holdings of liquid assets

      4. Article 418. Valuation of liquid assets

      5. Article 419. Currencies with constraints on the availability of liquid assets

      6. Article 420. Liquidity outflows

      7. Article 421. Outflows on retail deposits

      8. Article 422. Outflows on other liabilities

      9. Article 423. Additional outflows

      10. Article 424. Outflows from credit and liquidity facilities

      11. Article 425. Inflows

      12. Article 426. Updating Future liquidity requirements

    3. TITLE III REPORTING ON STABLE FUNDING

      1. Article 427. Items providing stable funding

      2. Article 428. Items requiring stable funding

  8. PART SEVEN LEVERAGE

    1. Article 429. Calculation of the leverage ratio

    2. Article 429a. Exposure value of derivatives

    3. Article 429b. Counterparty credit risk add-on for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions

  9. PART SEVEN A REPORTING REQUIREMENTS

    1. Article 430. Reporting on prudential requirements and financial information

    2. Article 430b. Specific reporting requirements for market risk

    3. Article 430c. Feasibility report on the integrated reporting system

  10. PART EIGHT DISCLOSURE BY INSTITUTIONS

    1. TITLE I GENERAL PRINCIPLES

      1. Article 431.Scope of disclosure requirements

      2. Article 432.Non-material, proprietary or confidential information

      3. Article 433.Frequency of disclosure

      4. Article 434.Means of disclosures

      5. Article 434a.Uniform disclosure formats

    2. TITLE II TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE

      1. Article 435.Risk management objectives and policies

      2. Article 436.Scope of application

      3. Article 437.Own funds

      4. Article 438.Capital requirements

      5. Article 439.Exposure to counterparty credit risk

      6. Article 440.Capital buffers

      7. Article 441.Indicators of global systemic importance

      8. Article 442.Credit risk adjustments

      9. Article 443.Unencumbered assets

      10. Article 444.Use of ECAIs

      11. Article 445.Exposure to market risk

      12. Article 446.Operational risk

      13. Article 447.Exposures in equities not included in the trading book

      14. Article 448.Exposure to interest rate risk on positions not included in the trading book

      15. Article 449.Exposure to securitisation positions

      16. Article 450.Remuneration policy

      17. Article 451.Leverage

    3. TITLE III QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIES

      1. Article 452.Use of the IRB Approach to credit risk

      2. Article 453.Use of credit risk mitigation techniques

      3. Article 454.Use of the Advanced Measurement Approaches to operational risk

      4. Article 455.Use of Internal Market Risk Models

  11. PART NINE Regulations, enhanced prudential measures and technical standards

    1. Article 456. Regulations modifying this Regulation

    2. Article 457. Technical adjustments and corrections

    3. Article 458.Enhanced prudential measures directions & recommendations: Interpretation

    4. Article 458A.Enhanced prudential measures

    5. Article 458B.Enhanced prudential measures: effect of revocation

    6. Article 458C.Enhanced prudential measures: publication and application

    7. Article 459. Prudential requirements

    8. Article 460. Liquidity

    9. Article 461. Review of the phasing-in of the liquidity coverage requirement

    10. Article 461a. Alternative standardised approach for market risk

    11. Article 462. Exercise of the delegation

    12. Article 463. Objections to regulatory technical standards

    13. Article 464. European Banking Committee

    14. Article 464A.Regulations: general provisions

    15. Article 464B.Power to make technical standards

  12. PART TEN TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS

    1. TITLE I TRANSITIONAL PROVISIONS

      1. CHAPTER 1 Own funds requirements, unrealised gains and losses measured at fair value and deductions

        1. Section 1 Own funds requirements

          1. Article 465. Own funds requirements

          2. Article 466. First time application of International Financial Reporting Standards

        2. Section 2 Unrealised gains and losses measured at fair value

          1. Article 467. Unrealised losses measured at fair value

          2. Article 468. Temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the COVID-19 pandemic

        3. Section 3 Deductions

          1. Sub-Section 1 Deductions from Common Equity Tier 1 items

            1. Article 469. Deductions from Common Equity Tier 1 items

            2. Article 469a. Derogation from deductions from Common Equity Tier 1 items for non-performing exposures

            3. Article 470. Exemption from deduction from Common Equity Tier 1 items

            4. Article 471. Exemption from Deduction of Equity Holdings in Insurance Companies from Common Equity Tier 1 Items

            5. Article 472. Items not deducted from Common Equity Tier 1

            6. Article 473. Introduction of amendments to IAS 19

            7. Article 473a. Introduction of IFRS 9

          2. Sub-Section 2 Deductions from Additional Tier 1 items

            1. Article 474. Deductions from Additional Tier 1 items

            2. Article 475. Items not deducted from Additional Tier 1 items

          3. Sub-Section 3 Deductions from Tier 2 items

            1. Article 476. Deductions from Tier 2 items

            2. Article 477. Deductions from Tier 2 items

          4. Sub-Section 4 Applicable percentages for deduction

            1. Article 478. Applicable percentages for deduction from Common Equity Tier 1, Additional Tier 1 and Tier 2 items

        4. Section 4 minority interest and additional Tier 1 and Tier 2 instruments issued by subsidiaries

          1. Article 479. Recognition in consolidated Common Equity Tier 1 capital of instruments and items that do not qualify as minority interests

          2. Article 480. Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital

        5. Section 5 Additional filters and deductions

          1. Article 481. Additional filters and deductions

          2. Article 482. Scope of application for derivatives transactions with pension funds

      2. CHAPTER 2 Grandfathering of capital instruments

        1. Section 1 Instruments constituting State aid

          1. Article 483. Grandfathering of State aid instruments

        2. Section 2 Instruments not constituting State aid

          1. Sub-Section 1 Grandfathering eligibility and limits

            1. Article 484. Eligibility for grandfathering of items that qualified as own funds under national transposition measures for Directive 2006/48/EC

            2. Article 485. Eligibility 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

            3. Article 486. Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 items

            4. Article 487. Items excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other elements of own funds

            5. Article 488. Amortisation of items grandfathered as Tier 2 items

          2. Sub-Section 2 Inclusion of instruments with a call and incentive to redeem in additional Tier 1 and Tier 2 items

            1. Article 489. Hybrid instruments with a call and incentive to redeem

            2. Article 490. Tier 2 items with an incentive to redeem

            3. Article 491. Effective maturity

      3. CHAPTER 3 Transitional provisions for disclosure of own funds

        1. Article 492. Disclosure of own funds

      4. CHAPTER 4 Large exposures, own funds requirements, leverage and the Basel I Floor

        1. Article 493. Transitional provisions for large exposures

        2. Article 494. Transitional provisions concerning the requirement for own funds and eligible liabilities

        3. Article 494a. Grandfathering of issuances through special purpose entities

        4. Article 494b. Grandfathering of own funds instruments and eligible liabilities instruments

        5. Article 495. Treatment of equity exposures under the IRB Approach

        6. Article 496. Own funds requirements for covered bonds

        7. Article 497.Own funds requirements for exposures to CCPs

        8. Article 498. Exemption for Commodities dealers

        9. Article 499. Leverage

        10. Article 500. Adjustment for massive disposals

        11. Article 500a. Temporary treatment of public debt issued in the currency of another Member State

        12. Article 500b. Temporary exclusion of certain exposures to central banks from the total exposure measure in view of the COVID-19 pandemic

        13. Article 500c. Exclusion of overshootings from the calculation of the back-testing addend in view of the COVID-19 pandemic

        14. Article 500d. ... Calculation of the exposure value of regular-way purchases and sales awaiting settlement in view of the COVID-19 pandemic

        15. Article 501. Adjustment of risk-weighted non-defaulted SME exposures

        16. Article 501a.Adjustment 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

        17. Article 501b. Derogation from reporting requirements

    2. TITLE II REPORTS AND REVIEWS

      1. Article 501c. Prudential treatment of exposures related to environmental and/or social objectives

      2. Article 502. Cyclicality of capital requirements

      3. Article 503. Own funds requirements for exposures in the form of covered bonds

      4. Article 504. Capital instruments subscribed by public authorities in emergency situations

      5. Article 504a. Holdings of eligible liabilities instruments

      6. Article 505. Review of long-term financing

      7. Article 506. Credit risk — definition of default

      8. Article 507. Large exposures

      9. Article 508. Level of application

      10. Article 509. Liquidity requirements

      11. Article 510. Net Stable Funding Requirements

      12. Article 511. Leverage

      13. Article 512. Exposures to transferred credit risk

      14. Article 513. Macroprudential rules

      15. Article 514. Method for the calculation of the exposure value of derivative transactions

      16. Article 515. Monitoring and evaluation

      17. Article 516. Long-term financing

      18. Article 517. Definition of eligible capital

      19. Article 518. Review of capital instruments which may be written down or converted at the point of non-viability

      20. Article 518a. Review of cross-default provisions

      21. Article 518b. Report on overshootings and supervisory powers to limit distributions

      22. Article 519. Deduction of defined benefit pension fund assets from Common Equity Tier 1 items

      23. Article 519a. Reporting and review

      24. Article 519b. Own funds requirements for market risk

    3. TITLE IIA IMPLEMENTATION OF RULES

      1. Article 519c. Compliance tool

    4. TITLE III AMENDMENTS

      1. Article 520. Amendment of Regulation (EU) No 648/2012

  13. PART ELEVEN FINAL PROVISIONS

    1. Article 521. Entry into force and date of application

    2. Article 522.Savings provisions: pre-exit decisions

  14. Signature

    1. ANNEX I

      Classification of off-balance sheet items

      1. 1. Full risk:

      2. 2. Medium risk:

      3. 3. Medium/low risk:

      4. 4. Low risk:

    2. ANNEX II

      Types of derivatives

      1. 1. Interest-rate contracts:

      2. 2. Foreign-exchange contracts and contracts concerning gold:

      3. 3. Contracts of a nature similar to those in points 1(a)...

    3. ANNEX III

      Items subject to supplementary reporting of liquid assets

      1. 1. Cash.

      2. 2. Central bank exposures, to the extent that these exposures can...

      3. 3. Transferable securities representing claims on or claims guaranteed by sovereigns,...

      4. 4. Transferable securities other than those referred to in point 3...

      5. 5. Transferable securities representing claims on or claims guaranteed by sovereigns,...

      6. 6. Transferable securities other than those referred to in points 3,...

      7. 7. Transferable securities other than those referred to in points 3...

      8. 8. Transferable securities other than those referred to in points 3...

      9. 9. Standby credit facilities granted by central banks within the scope...

      10. 10. Legal or statutory minimum deposits with the central credit institution...

      11. 11. Exchange traded, centrally cleared common equity shares, that are a...

      12. 12. Gold listed on a recognised exchange, held on an allocated...

    4. ANNEX IV

      Correlation table

      1. This Regulation Directive 2006/48/EC Directive 2006/49/EC Article 1 Article 2...

UK CRR 575/2013

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)

    Changes to legislation:

    There are currently no known outstanding effects for the Regulation (EU) No 575/2013 of the European Parliament and of the Council.

    [X1PART ONE U.K. GENERAL PROVISIONS

    TITLE I U.K. SUBJECT MATTER, SCOPE AND DEFINITIONS

    [F1 Article 1 U.K. Scope

    This Regulation lays down uniform rules concerning general prudential requirements that [F2CRR firms, financial holding companies set up in the United Kingdom, and mixed financial holding companies set up in the United Kingdom] shall comply with in relation to the following items:

    (a)

    own funds requirements relating to entirely quantifiable, uniform and standardised elements of credit risk, market risk, [F3operational risk and settlement risk];

    (b)

    F4...

    (c)

    F4...

    (d)

    F4...

    (e)

    F4...

    This Regulation lays down uniform rules concerning the own funds and eligible liabilities requirements that resolution entities that are global systemically important institutions (G-SIIs) or part of G-SIIs and material subsidiaries of [F5non-UK] G-SIIs shall comply with.

    F6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

    Textual Amendments

    Article 2 U.K. Supervisory powers

    1 . For the purpose of ensuring compliance with this Regulation, competent authorities shall have the powers and shall follow the procedures set out in [F7Directive 2013/36/EU UK law] and in this Regulation.

    2 . For the purpose of ensuring compliance with this Regulation, [F8the resolution authority] shall have the powers and shall follow the procedures set out in [F9the United Kingdom legislation that implemented Directive 2014/59/EU, as amended from time to time,] and in this Regulation.

    3 . For the purpose of ensuring compliance with the requirements concerning own funds and eligible liabilities, competent authorities and [F8the resolution authority] shall cooperate.

    F10 4 .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .]

    Article 3 U.K. Application of stricter requirements by institutions

    This Regulation shall not prevent institutions from holding own funds and their components in excess of, or applying measures that are stricter than those required by this Regulation.

    Article 4U.K.Definitions

    1.For the purposes of this Regulation, the following definitions shall apply:

    (1)

    credit institution’ means an undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account;

    (2)

    investment firm’ means a person as defined in [F11paragraph 1A of Article 2 of Regulation 600/2014/EU, as that Article has effect subject to the requirements imposed by the United Kingdom legislation that implemented Directive 2014/65/EU, as amended from time to time], [F12other than a credit institution];

    (2A)

    [F13CRR firm’ means a person that satisfies the following conditions—

    (a)

    it is an authorised person within the meaning of section 31(1)(a) of FSMA that—

    (i)

    is a credit institution which has permission under Part 4A of FSMA to carry on the regulated activity of accepting deposits; or

    (ii)

    is [F14a designated investment firm];

    (b)

    its registered office, or if it has no registered office, its head office, is in the United Kingdom; and

    (c)

    it is not a credit union within the meaning of the Credit Unions Act 1979 or the Credit Unions (Northern Ireland) Order 1985, or a friendly society within the meaning of section 417(1) of FSMA;

    and for the purposes of this definition, ‘regulated activity’ has the meaning in section 22 of FSMA, and ‘accepting deposits’ has the meaning in Regulation 5 of the Regulated Activities Order;

    (2AA)

    [F15designated investment firm’ means an investment firm that is for the time being designated by the PRA under article 3 of the Financial Services and Markets Act 2000 (PRA-regulated Activities) Order 2013 (S.I. 2013/556), but is not—

    (a)

    a commodity and emission allowance dealer,

    (b)

    a collective investment undertaking, or

    (c)

    an insurance undertaking;

    (2AB)

    FCA investment firm’ means an investment firm that—

    (a)

    is an authorised person within the meaning of section 31(1)(a) of FSMA, and

    (b)

    is not a designated investment firm;]

    (2B)

    Solvency II excluded operations’ has the meaning given in the PRA rulebook;]

    (3)

    institution’ means a credit institution or [F16a designated investment firm];

    (4)

    F17...

    (5)

    insurance undertaking’ means insurance undertaking as defined in [F18section 417 of FSMA];

    (6)

    reinsurance undertaking’ means reinsurance undertaking as defined in [F19section 417 of FSMA];

    (6A)

    [F20pure reinsurer’ has the meaning given in the PRA rulebook;]

    (7)

    [F1collective investment undertaking’ or ‘CIU’ means a UCITS as defined in [F21section 236A of FSMA , or a UK AIF, an EEA AIF, a Gibraltar AIF, or a third country AIF within the meaning of regulation 2(1) of the Alternative Investment Fund Managers Regulations 2013]; ]

    (8)

    public sector entity’ means a non-commercial administrative body responsible to central governments, regional governments or local authorities, or to authorities that exercise the same responsibilities as regional governments and local authorities, or a non-commercial undertaking that is owned by or set up and sponsored by central governments, regional governments or local authorities, and that has explicit guarantee arrangements, and may include self-administered bodies governed by law that are under public supervision;

    (9)

    [F22management body’ means an institution's body, which is appointed in accordance with national law, which is empowered to set the institution's strategy, objectives and overall direction, and which oversees and monitors management decision-making, and includes the persons who effectively direct the business of the institution;]

    (9A)

    [F23management body in its supervisory function’ means the management body acting in its role of overseeing and monitoring management decision-making;]

    (10)

    [F24senior management’ means those natural persons who exercise executive functions within an institution and who are responsible, and accountable to the management body, for the day-to-day management of the institution;]

    (11)

    [F25systemic risk’ means a risk of disruption in the financial system of the United Kingdom with the potential to have serious negative consequences for the financial system and the real economy of the United Kingdom;]

    (12)

    [F26model risk’ means the potential loss an institution may incur as a consequence of decisions that could be principally based on the output of internal models due to errors in the development, implementation or use of such models;]

    (13)

    originator’ means an originator as defined in point (3) of Article 2 of Regulation (EU) 2017/2402 (1);

    (14)

    sponsor’ means a sponsor as defined in point (5) of Article 2 of Regulation (EU) 2017/2402;

    (14a)

    [F27original lender’ means an original lender as defined in point (20) of Article 2 of Regulation (EU) 2017/2402;]

    (15)

    [F28parent undertaking’ means—

    (a)

    a parent undertaking within the meaning of section 1162 of the Companies Act 2006; or

    (b)

    for the purposes of Directive 2013/36/EU UK law which implemented Section II of Chapters 3 and 4 of Title 7 and Title 8, and for the purposes of Part 5 of this Regulation—

    (i)

    a parent undertaking within the meaning of section 1162 of the Companies Act 2006, apart from the meaning given in subsection (4), or

    (ii)

    an undertaking which effectively exercises a dominant influence over another undertaking;

    where section 1162(5) of the Companies Act 2006 applies to parent undertakings falling within point (b)(ii) as it applies to parent undertakings falling within section 1162;]

    (16)

    [F29subsidiary’ means—

    (a)

    a subsidiary undertaking within the meaning of section 1162 of the Companies Act 2006; or

    (b)

    for the purposes of Directive 2013/36/EU UK law which implemented Section II of Chapters 3 and 4 of Title 7 and Title 8, and for the purposes of Part 5 of this Regulation—

    (i)

    a subsidiary undertaking within the meaning of section 1162 of the Companies Act 2006, apart from the meaning given in subsection (4), or

    (ii)

    an undertaking over which another undertaking effectively exercises a dominant influence;

    where section 1162(5) of the Companies Act 2006 applies to subsidiaries falling within point (b)(ii) as it applies to subsidiaries falling within section 1162;]

    (17)

    branch’ means a place of business which forms a legally dependent part of an institution and which carries out directly all or some of the transactions inherent in the business of institutions;

    (18)

    ancillary services undertaking’ means an undertaking the principal activity of which consists of owning or managing property, managing data-processing services, or a similar activity which is ancillary to the principal activity of one or more institutions;

    (19)

    [F30asset management company’ means—

    (a)

    a person who has permission under Part 4A of FSMA to carry on the regulated activity of managing a UK UCITS (as specified in article 51ZA of the Regulated Activities Order), or would require that permission if its registered office were located in the United Kingdom;

    (b)

    a person who has permission under Part 4A of FSMA to carry on the regulated activity of managing an AIF (as specified in article 51ZC of the Regulated Activities Order), or would require that permission if its registered office were located in the United Kingdom; or

    (c)

    a person who is registered as a small AIFM within the meaning of regulation 9 of the Alternative Investment Fund Managers Regulations 2013 under Part 3 of those Regulations, or would require that permission if its registered office were located in the United Kingdom; including, unless otherwise provided, a third-country entity that carries out similar activities and that is subject to the laws of a third country which applies supervisory and regulatory requirements at least equivalent to those applied in the United Kingdom;]

    (20)

    [F1financial holding company’ means a financial institution, the subsidiaries of which are exclusively or mainly institutions or financial institutions, and which is not a mixed financial holding company; the subsidiaries of a financial institution are mainly institutions or financial institutions where at least one of them is an institution and where more than 50 % of the financial institution's equity, consolidated assets, revenues, personnel or other indicator considered relevant by the competent authority are associated with subsidiaries that are institutions or financial institutions;]

    (21)

    [F31mixed financial holding company’ has the meaning given in regulation 1(2) of the Financial Conglomerates and Other Financial Groups Regulations 2004;]

    (22)

    mixed activity holding company’ means a parent undertaking, other than a financial holding company or an institution or a mixed financial holding company, the subsidiaries of which include at least one institution;

    (22A)

    [F32investment holding company means a financial institution which is not a financial holding company and whose subsidiaries

    (a)

    are exclusively or mainly investment firms or financial institutions, and

    (b)

    include at least one investment firm;]

    (23)

    third-country insurance undertaking’ means third-country insurance undertaking as defined in [F33the Solvency 2 Regulations 2015];

    (24)

    third-country reinsurance undertaking’ means third-country reinsurance undertaking as defined in [F34the Solvency 2 Regulations 2015];

    (25)

    F35... third-country investment firm’ means a firm meeting all of the following conditions:

    (a)

    if it were established within the [F36United Kingdom], it would be covered by the definition of an investment firm;

    (b)

    it is authorised in a third country;

    (c)

    it is subject to and complies with prudential rules considered by the competent authorities at least as stringent as those laid down in this Regulation or in [F37Directive 2013/36/EU UK law];

    (25A)

    [F38third country’ means a country or territory outside the United Kingdom];

    (26)

    [F1financial institution’ means an undertaking other than an institution and other than a pure industrial holding company, the principal activity of which is to acquire holdings or to pursue one or more of the [F39Annex 1] activities listed in points 2 to 12 and point 15 F40..., including [F41an investment firm,] a financial holding company, a mixed financial holding company, [F42an investment holding company,] [F43an authorised payment institution within the meaning of regulation 2(1) of the Payment Services Regulations 2017], and an asset management company, but excluding insurance holding companies and mixed-activity insurance holding companies as defined [F44in the PRA rulebook];]

    (26A)

    [F45Annex 1 activities’ means the list of activities set out in Annex 1 to Directive 2013/36/EU as it had effect immediately before IP completion day, with the following amendments—

    (a)

    omit the heading;

    (b)

    in point 4 for the words “Article 4(3) of Directive 2007/64/EC” substitute “ regulation 2 of the Payment Services Regulations 2017;

    (c)

    after point 15—

    (i)

    for “Sections A and B of Annex I to Directive 2004/39/EC” substitute “ Parts 3 and 3A of Schedule 2 to the Regulated Activities Order;

    (ii)

    for “Section C of Annex I of that Directive” substitute “ Part 1 of Schedule 2 to the Regulated Activities Order;

    (iii)

    omit the words from “, are subject to” to the end;]

    (27)

    financial sector entity’ means any of the following:

    (a)

    an institution;

    (b)

    a financial institution;

    (c)

    an ancillary services undertaking included in the consolidated financial situation of an institution;

    (d)

    an insurance undertaking;

    (e)

    a third-country insurance undertaking;

    (f)

    a reinsurance undertaking;

    (g)

    a third-country reinsurance undertaking;

    (h)

    an insurance holding company as defined in [F46the Solvency 2 Regulations 2015];

    (k)

    [F47a non-directive firm as defined in the PRA Rulebook unless that non-directive firm is only a non-directive firm because either—

    (i)

    the firm's Part 4A permission includes a requirement that it may only carry on Solvency II excluded operations; or

    (ii)

    the firm is a pure reinsurer which ceased to conduct new reinsurance contracts before 10 December 2007;]

    (l)

    a third-country undertaking with a main business comparable to any of the entities referred to in points (a) to (k);

    (28)

    [F48UK parent institution’ means an institution in the United Kingdom which has an institution, a financial institution or an ancillary services undertaking as a subsidiary or which holds a participation in an institution, financial institution or ancillary services undertaking, and which is not itself a subsidiary of another institution authorised in the United Kingdom, or of a financial holding company or mixed financial holding company set up in the United Kingdom;]

    (29)

    F49...

    (29a)

    [F50UK parent investment firm’ means a parent undertaking in the United Kingdom that is an investment firm;]

    (29b)

    F51...

    (29c)

    [F52UK parent credit institution’ means a UK parent institution that is a credit institution within the meaning of point (1) of this paragraph;]

    (29d)

    F53...

    (30)

    [F54UK parent financial holding company]’ means a financial holding company which is not itself a subsidiary of an institution authorised in the [F55United Kingdom], or of a financial holding company or mixed financial holding company set up in the [F55United Kingdom];

    (31)

    F56...

    (32)

    [F57UK parent mixed financial holding company]’ means a mixed financial holding company which is not itself a subsidiary of an institution authorised in [F58the United Kingdom], or of a financial holding company or mixed financial holding company set up in [F59the United Kingdom];

    (33)

    F60...

    (34)

    central counterparty’ or ‘CCP’ means a CCP as defined in point (1) of Article 2 of Regulation (EU) No 648/2012;

    (35)

    [F61participation’ means rights in the capital of other undertakings, whether or not represented by certificates, which, by creating a durable link with those undertakings, are intended to contribute to the activities of the undertaking which holds those rights, or the ownership, direct or indirect, of 20% or more of the voting rights or capital of an undertaking;]

    (36)

    qualifying holding’ means a direct or indirect holding in an undertaking which represents 10 % or more of the capital or of the voting rights or which makes it possible to exercise a significant influence over the management of that undertaking;

    (37)

    control’ means the relationship between a parent undertaking and a subsidiary, as defined in Article 1 of Directive 83/349/EEC, or [F62the accounting standards to which an institution is subject under section 403(1) of the Companies Act 2006], or a similar relationship between any natural or legal person and an undertaking;

    (38)

    close links’ means a situation in which two or more natural or legal persons are linked in any of the following ways:

    (a)

    participation in the form of ownership, direct or by way of control, of 20 % or more of the voting rights or capital of an undertaking;

    (b)

    control;

    (c)

    a permanent link of both or all of them to the same third person by a control relationship;

    (38A)

    [F63common management relationship’ means a relationship between an undertaking (“U1”) and one or more other undertakings (“U2”) which satisfies the following conditions—

    (a)

    U1 and U2 are not connected in the manner described in section 1162 of the Companies Act 2006; and

    (b)

    either—

    (i)

    U1 and U2 are managed on a unified basis pursuant to a contract with U1, or provisions in U2's memorandum or articles of association; or

    (ii)

    the administrative, management or supervisory bodies of U2 consist, for the major part, of the same persons in office as U1, during the financial year of U1 for which it is being decided whether such a relationship exists;]

    (39)

    group of connected clients’ means any of the following:

    (a)

    two or more natural or legal persons who, unless it is shown otherwise, constitute a single risk because one of them, directly or indirectly, has control over the other or others;

    (b)

    two or more natural or legal persons between whom there is no relationship of control as described in point (a) but who are to be regarded as constituting a single risk because they are so interconnected that, if one of them were to experience financial problems, in particular funding or repayment difficulties, the other or all of the others would also be likely to encounter funding or repayment difficulties.

    Notwithstanding points (a) and (b), where a central government has direct control over or is directly interconnected with more than one natural or legal person, the set consisting of the central government and all of the natural or legal persons directly or indirectly controlled by it in accordance with point (a), or interconnected with it in accordance with point (b), may be considered as not constituting a group of connected clients. Instead the existence of a group of connected clients formed by the central government and other natural or legal persons may be assessed separately for each of the persons directly controlled by it in accordance with point (a), or directly interconnected with it in accordance with point (b), and all of the natural and legal persons which are controlled by that person according to point (a) or interconnected with that person in accordance with point (b), including the central government. The same applies in cases of regional governments or local authorities to which Article 115(2) applies[F1.]

    [F64Two or more natural or legal persons who fulfil the conditions set out in point (a) or (b) because of their direct exposure to the same CCP for clearing activities purposes are not considered as constituting a group of connected clients;]

    (40)

    competent authority’ means a public authority or body officially recognised by national law, which is empowered by national law to supervise institutions as part of the supervisory system in operation in the [F65United Kingdom (or, where the context requires, a third country)];

    (41)

    [F66consolidating supervisor’ means the competent authority responsible for the exercise of supervision on a consolidated basis of—

    (a)

    a UK parent institution, or

    (b)

    an institution controlled by a UK parent financial holding company or UK parent mixed financial holding company; determined in accordance with Article 4B;]

    (42)

    authorisation’ means an instrument issued in any form by the authorities by which the right to carry out the business is granted;

    (43)

    F67...

    (44)

    F68...

    (45)

    F69...

    (46)

    [F70central banks’ means the Bank, the European Central Bank and the central banks of third countries;]

    (47)

    consolidated situation’ means the situation that results from applying the requirements of this Regulation in accordance with Part One, Title II, Chapter 2 to an institution as if that institution formed, together with one or more other entities, a single institution;

    (48)

    consolidated basis’ means on the basis of the consolidated situation;

    (49)

    sub-consolidated basis’ means on the basis of the consolidated situation of a parent institution, financial holding company or mixed financial holding company, excluding a sub-group of entities, or on the basis of the consolidated situation of a parent institution, financial holding company or mixed financial holding company that is not the ultimate parent institution, financial holding company or mixed financial holding company;

    (50)

    financial instrument’ means any of the following:

    (a)

    a contract that gives rise to both a financial asset of one party and a financial liability or equity instrument of another party;

    (b)

    an instrument specified in [F71Part 1 of Schedule 2 to the Regulated Activities Order];

    (c)

    a derivative financial instrument;

    (d)

    a primary financial instrument;

    (e)

    a cash instrument.

    The instruments referred to in points (a), (b) and (c) are only financial instruments if their value is derived from the price of an underlying financial instrument or another underlying item, a rate, or an index;

    (51)

    [F72initial capital’, in relation to an institution, means the amount and types of own funds specified in rule 12.1 of the Definition of Capital Part of the PRA rulebook;]

    (52)

    operational risk’ means the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events, and includes legal risk;

    (53)

    dilution risk’ means the risk that an amount receivable is reduced through cash or non-cash credits to the obligor;

    (54)

    probability of default’ or ‘PD’ means the probability of default of a counterparty over a one-year period;

    (55)

    loss given default’ or ‘LGD’ means the ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default;

    (56)

    conversion factor’ means the ratio of the currently undrawn amount of a commitment that could be drawn and that would therefore be outstanding at default to the currently undrawn amount of the commitment, the extent of the commitment being determined by the advised limit, unless the unadvised limit is higher;

    (57)

    credit risk mitigation’ means a technique used by an institution to reduce the credit risk associated with an exposure or exposures which that institution continues to hold;

    (58)

    funded credit protection’ means a technique of credit risk mitigation where the reduction of the credit risk on the exposure of an institution derives from the right of that institution, in the event of the default of the counterparty or on the occurrence of other specified credit events relating to the counterparty, to liquidate, or to obtain transfer or appropriation of, or to retain certain assets or amounts, or to reduce the amount of the exposure to, or to replace it with, the amount of the difference between the amount of the exposure and the amount of a claim on the institution;

    (59)

    unfunded credit protection’ means a technique of credit risk mitigation where the reduction of the credit risk on the exposure of an institution derives from the obligation of a third party to pay an amount in the event of the default of the borrower or the occurrence of other specified credit events;

    (60)

    cash assimilated instrument’ means a certificate of deposit, a bond, including a covered bond, or any other non-subordinated instrument, which has been issued by an institution [F73or investment firm], for which the institution [F73or investment firm] has already received full payment and which shall be unconditionally reimbursed by the institution [F73or investment firm] at its nominal value;

    (61)

    [F74securitisation’ means a securitisation as defined in point (1) of Article 2 of Regulation (EU) 2017/2402;

    (62)

    securitisation position’ means a securitisation position as defined in point (19) of Article 2 of Regulation (EU) 2017/2402;

    (63)

    resecuritisation’ means a resecuritisation as defined in point (4) of Article 2 of Regulation (EU) 2017/2402;]

    (64)

    re-securitisation position’ means an exposure to a re-securitisation;

    (65)

    credit enhancement’ means a contractual arrangement whereby the credit quality of a position in a securitisation is improved in relation to what it would have been if the enhancement had not been provided, including the enhancement provided by more junior tranches in the securitisation and other types of credit protection;

    (66)

    [F74securitisation special purpose entity’ or ‘SSPE’ means a securitisation special purpose entity or SSPE as defined in point (2) of Article 2 of Regulation (EU) 2017/2402;

    (67)

    tranche’ means a tranche as defined in point (6) of Article 2 of Regulation (EU) 2017/2402;]

    (68)

    marking to market’ means the valuation of positions at readily available close out prices that are sourced independently, including exchange prices, screen prices or quotes from several independent reputable brokers;

    (69)

    marking to model’ means any valuation which has to be benchmarked, extrapolated or otherwise calculated from one or more market inputs;

    (70)

    independent price verification’ means a process by which market prices or marking to model inputs are regularly verified for accuracy and independence;

    (71)

    eligible capital’ means the following:

    (a)

    for the purposes of Title III of Part Two it means the sum of the following:

    (i)

    Tier 1 capital as referred to in Article 25, without applying the deduction in Article 36(1)(k)(i);

    (ii)

    Tier 2 capital as referred to in Article 71 that is equal to or less than one third of Tier 1 capital as calculated pursuant to point (i) of this point;

    (b)

    [F1for the purposes of Article 97 it means the sum of the following:]

    (i)

    Tier 1 capital as referred to in Article 25;

    (ii)

    Tier 2 capital as referred to in Article 71 that is equal to or less than one third of Tier 1 capital;

    (72)

    recognised exchange’ means an exchange which meets all of the following conditions:

    (a)

    [F1it is a regulated market or a third-country market that is considered to be equivalent to a regulated market in accordance with [F75paragraph 8 of Schedule 3 to Regulation (EU) No 600/2014 of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Regulation (EU) No 648/2012];]

    (b)

    it has a clearing mechanism whereby contracts listed in Annex II are subject to daily margin requirements which, in the opinion of the competent authorities, provide appropriate protection;

    (73)

    discretionary pension benefits’ means enhanced pension benefits granted on a discretionary basis by an institution to an employee as part of that employee's variable remuneration package, which do not include accrued benefits granted to an employee under the terms of the company pension scheme;

    (74)

    mortgage lending value’ means the value of immovable property as determined by a prudent assessment of the future marketability of the property taking into account long-term sustainable aspects of the property, the normal and local market conditions, the current use and alternative appropriate uses of the property;

    (75)

    residential property’ means a residence which is occupied by the owner or the lessee of the residence F76...;

    (76)

    market value’ means, for the purposes of immovable property, the estimated amount for which the property should exchange on the date of valuation between a willing buyer and a willing seller in an arm's-length transaction after proper marketing wherein the parties had each acted knowledgeably, prudently and without compulsion;

    (77)

    applicable accounting framework’ means [F77the accounting standards to which an institution is subject under section 403(1) of the Companies Act 2006] or [F78Directive 86/635/EEC UK law];

    (78)

    one-year default rate’ means the ratio between the number of defaults occurred during a period that starts from one year prior to a date T and the number of obligors assigned to this grade or pool one year prior to that date;

    (79)

    speculative immovable property financing’ means loans for the purposes of the acquisition of or development or construction on land in relation to immovable property, or of and in relation to such property, with the intention of reselling for profit;

    (80)

    trade finance’ means financing, including guarantees, connected to the exchange of goods and services through financial products of fixed short-term maturity, generally of less than one year, without automatic rollover;

    (81)

    officially supported export credits’ means loans or credits to finance the export of goods and services for which an official export credit agency provides guarantees, insurance or direct financing;

    (82)

    repurchase agreement’ and ‘reverse repurchase agreement’ mean any agreement in which an institution or its counterparty transfers securities or commodities or guaranteed rights relating to title to securities or commodities where that guarantee is issued by a recognised exchange which holds the rights to the securities or commodities and the agreement does not allow an institution to transfer or pledge a particular security or commodity to more than one counterparty at one time, subject to a commitment to repurchase them, or substituted securities or commodities of the same description at a specified price on a future date specified, or to be specified, by the transferor, being a repurchase agreement for the institution selling the securities or commodities and a reverse repurchase agreement for the institution buying them;

    (83)

    repurchase transaction’ means any transaction governed by a repurchase agreement or a reverse repurchase agreement;

    (84)

    simple repurchase agreement’ means a repurchase transaction of a single asset, or of similar, non-complex assets, as opposed to a basket of assets;

    (85)

    positions held with trading intent’ means any of the following:

    (a)

    proprietary positions and positions arising from client servicing and market making;

    (b)

    positions intended to be resold short term;

    (c)

    positions intended to benefit from actual or expected short-term price differences between buying and selling prices or from other price or interest rate variations;

    (86)

    [F1trading book’ means all positions in financial instruments and commodities held by an institution either with trading intent or to hedge positions held with trading intent in accordance with Article 104;]

    (87)

    [F79multilateral trading facility’ has the meaning given in Article 2(1)(14) of Regulation 600/2014/EU;]

    (88)

    qualifying central counterparty’ or ‘QCCP’ means a central counterparty that has been either authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation;

    (89)

    default fund’ means a fund established by a CCP in accordance with Article 42 of Regulation (EU) No 648/2012 and used in accordance with Article 45 of that Regulation;

    (90)

    pre-funded contribution to the default fund of a CCP’ means a contribution to the default fund of a CCP that is paid in by an institution;

    (91)

    [F1trade exposure’ means a current exposure, including a variation margin due to the clearing member but not yet received, and any potential future exposure of a clearing member or a client, to a CCP arising from contracts and transactions listed in points (a), (b) and (c) of Article 301(1), as well as initial margin;]

    (92)

    [F80regulated market’ has the meaning given in Article 2(1)(13A) of Regulation 600/2014/EU;]

    (93)

    leverage’ means the relative size of an institution's assets, off-balance sheet obligations and contingent obligations to pay or to deliver or to provide collateral, including obligations from received funding, made commitments, derivatives or repurchase agreements, but excluding obligations which can only be enforced during the liquidation of an institution, compared to that institution's own funds;

    (94)

    risk of excessive leverage’ means the risk resulting from an institution's vulnerability due to leverage or contingent leverage that may require unintended corrective measures to its business plan, including distressed selling of assets which might result in losses or in valuation adjustments to its remaining assets;

    (95)

    credit risk adjustment’ means the amount of specific and general loan loss provision for credit risks that has been recognised in the financial statements of the institution in accordance with the applicable accounting framework;

    (96)

    [F1internal hedge’ means a position that materially offsets the component risk elements between a trading book position and one or more non-trading book positions or between two trading desks;]

    (97)

    reference obligation’ means an obligation used for the purposes of determining the cash settlement value of a credit derivative;

    (98)

    external credit assessment institution’ or ‘ECAI’ means a credit rating agency that is registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies(2)or a central bank issuing credit ratings which are exempt from the application of Regulation (EC) No 1060/2009;

    (99)

    nominated ECAI’ means an ECAI nominated by an institution;

    (100)

    accumulated other comprehensive income’ has the same meaning as under International Accounting Standard (IAS) 1, [F81as applicable under UK-adopted international accounting standards];

    (101)

    [F82basic own funds’ has the meaning given in the PRA rulebook;]

    (102)

    [F83Tier 1 own-fund insurance items’ means basic own-fund items of insurance undertakings and reinsurance undertakings where those items are classified in Tier 1 in accordance with rule 3.1 of the Own Funds Part of the PRA rulebook;]

    (103)

    additional Tier 1 own-fund insurance items’ means basic own-fund items of [F84insurance undertakings and reinsurance undertakings] where those items are classified in Tier 1 F85... in accordance with [F86rule 3.1 of the Own Funds Part of the PRA rulebook] and the inclusion of those items is limited by [F87Article 82(3) of the Commission Delegated Regulation (EU) 2015/35 of 10th October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) Text];

    (104)

    [F88Tier 2 own-fund insurance items’ means basic own-fund items of insurance undertakings and reinsurance undertakings where those items are classified in Tier 2 in accordance with rule 3.2 of the Own Funds Part of the PRA rulebook;]

    (105)

    Tier 3 own-fund insurance items’ means basic own-fund insurance items of [F89insurance undertakings and reinsurance undertakings] where those items are classified in Tier 3 [F90in accordance with rule 3.3 of the Own Funds Part of the PRA rulebook];

    (106)

    deferred tax assets’ has the same meaning as under the applicable accounting framework;

    (107)

    deferred tax assets that rely on future profitability’ means deferred tax assets the future value of which may be realised only in the event the institution generates taxable profit in the future;

    (108)

    deferred tax liabilities’ has the same meaning as under the applicable accounting framework;

    (109)

    defined benefit pension fund assets’ means the assets of a defined pension fund or plan, as applicable, calculated after they have been reduced by the amount of obligations under the same fund or plan;

    (110)

    distributions’ means the payment of dividends or interest in any form;

    (111)

    F91...

    (112)

    [F92funds for general banking risk’ means those amounts which a credit institution decides to put aside to cover the particular risks associated with banking where this is permitted under the applicable accounting framework;]

    (113)

    goodwill’ has the same meaning as under the applicable accounting framework;

    (114)

    indirect holding’ means any exposure to an intermediate entity that has an exposure to capital instruments issued by a financial sector entity where, in the event the capital instruments issued by the financial sector entity were permanently written off, the loss that the institution would incur as a result would not be materially different from the loss the institution would incur from a direct holding of those capital instruments issued by the financial sector entity;

    (115)

    intangible assets’ has the same meaning as under the applicable accounting framework and includes goodwill;

    (116)

    other capital instruments’ means capital instruments issued by financial sector entities that do not qualify as Common Equity Tier 1, Additional Tier 1 or Tier 2 instruments or Tier 1 own-fund insurance items, additional Tier 1 own-fund insurance items, Tier 2 own-fund insurance items or Tier 3 own-fund insurance items;

    (117)

    other reserves’ means reserves within the meaning of the applicable accounting framework that are required to be disclosed under the applicable accounting standard, excluding any amounts already included in accumulated other comprehensive income or retained earnings;

    (118)

    own funds’ means the sum of Tier 1 capital and Tier 2 capital;

    (119)

    own funds instruments’ means capital instruments issued by the institution that qualify as Common Equity Tier 1, Additional Tier 1 or Tier 2 instruments;

    (120)

    minority interest’ means the amount of Common Equity Tier 1 capital of a subsidiary of an institution that is attributable to natural or legal persons other than those included in the prudential scope of consolidation of the institution;

    (121)

    profit’ has the same meaning as under the applicable accounting framework;

    (122)

    reciprocal cross holding’ means a holding by an institution of the own funds instruments or other capital instruments issued by financial sector entities where those entities also hold own funds instruments issued by the institution;

    (123)

    retained earnings’ means profits and losses brought forward as a result of the final application of profit or loss under the applicable accounting framework;

    (124)

    share premium account’ has the same meaning as under the applicable accounting framework;

    (125)

    temporary differences’ has the same meaning as under the applicable accounting framework;

    (126)

    synthetic holding’ means an investment by an institution in a financial instrument the value of which is directly linked to the value of the capital instruments issued by a financial sector entity;

    (127)

    F93...

    (128)

    [F1distributable items’ means the amount of the profits at the end of the last financial year plus any profits brought forward and reserves available for that purpose, before distributions to holders of own funds instruments, less any losses brought forward, any profits which are non-distributable pursuant to F94... [F95the law of the United Kingdom, or any part of it, or of a third country] or the institution's by-laws and any sums placed in non-distributable reserves in accordance with [F95the law of the United Kingdom, or any part of it, or of a third country] or the statutes of the institution, in each case with respect to the specific category of own funds instruments to which F94... [F95the law of the United Kingdom, or any part of it, or of a third country], institutions' by-laws, or statutes relate; such profits, losses and reserves being determined on the basis of the individual accounts of the institution and not on the basis of the consolidated accounts;]

    (128A)

    [F96CRR covered bonds’ means bonds issued by a credit institution which—

    (a)

    has its registered office in the UK; and

    (b)

    is subject by law to special public supervision designed to protect bondholders and in particular protection under which—

    (i)

    sums deriving from the issue of the bond must be invested in conformity with the law in assets;

    (ii)

    during the whole period of validity of the bond, those sums are capable of covering claims attaching to the bond; and

    (ii)

    in the event of failure of the issuer, those sums would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest;

    (128B)

    Directive 86/635/EEC UK law’ means the law of the United Kingdom or any part of it which immediately before IP completion day implemented Directive 86/635/EEC, and its implementing measures—

    (i)

    as they have effect on IP completion day, in the case of rules made by the FCA or the PRA under the Financial Services and Markets Act 2000; and

    (ii)

    as amended from time to time, in all other cases.

    (128C)

    internal approaches’ means—

    (a)

    the internal ratings-based approach referred to in Article 143(1);

    (b)

    the internal models approach referred to in Article 221;

    (c)

    the own estimates approach referred to in Article 225;

    (d)

    the advanced measurement approaches referred to in Article 312(2);

    (e)

    the internal model method referred to in Article 283 and 363; and

    (f)

    the internal assessment approach referred to in Article 259(3) of this Regulation;

    (128D)

    SME’ means a micro, small and medium-sized enterprise as defined in Articles 1 to 6 of the Annex to Commission Recommendation 2003/361/EC of 6th May 2003 with the following amendments—

    (a)

    in article 3 (types of enterprise taken into consideration in calculating staff numbers and financial amounts), in paragraph (5) for “by national or Community rules” substitute “ under the law of the United Kingdom (or any part of it) ”;

    (b)

    in article 5 (staff headcount), in paragraph (b) for “national law” substitute “ the law of the United Kingdom (or any part of it) ”;

    (128E)

    systemically important institution’ means a UK parent institution, a UK parent financial holding company, a UK parent mixed financial holding company or an institution the failure or malfunction of which could lead to systemic risk;

    (128F)

    UK deposit guarantee scheme’ means a deposit protection scheme established by the PRA and managed by the Financial Services Compensation Scheme Limited;]

    (128G)

    [F97UK-adopted international accounting standards’ has the meaning given by section 474(1) of the Companies Act 2006;]

    (129)

    [F27servicer’ means a servicer as defined in point (13) of Article 2 of Regulation (EU) 2017/2402[F1;]]

    (130)

    [F64[F98resolution authority’ means the Bank;]

    (130A)

    [F99resolution’ means the application of a stabilisation option referred to in section 1(3) of the Banking Act 2009 in order to achieve one or more of the objectives referred to in section 4 of that Act;]

    (131)

    [F100resolution entity’ means either—

    (a)

    a legal person established in the United Kingdom which is identified by the resolution authority as an entity in respect of which the resolution plan drawn up in accordance with article 40 of the second BRRD Order provides for resolution action; or

    (b)

    an institution that is not part of a group that is subject to consolidated supervision under [F101this Regulation and CRR rules], in respect of which the resolution plan drawn up in accordance with article 37 of the second BRRD Order provides for resolution action;]

    (132)

    [F102resolution group’ means a resolution entity and its subsidiaries that are not—

    (a)

    resolution entities themselves;

    (b)

    subsidiaries of other resolution entities; or

    (c)

    entities established in a third country that are not included in the resolution group in accordance with the resolution plan and their subsidiaries;]

    (132A)

    [F103resolution action’ means—

    (a)

    the decision to place an institution or entity under resolution pursuant to sections 7, 81B, 81BA, 81ZBA, 81C, 81D, or 82 of the Banking Act 2009;

    (b)

    the application of a stabilisation option referred to in section 1(3) of the Banking Act 2009; or

    (c)

    the exercise of one or more powers conferred on the Bank by United Kingdom legislation which implemented Articles 63 to 72 of Directive 2014/59/EU;]

    (133)

    global systemically important institution’ or ‘G-SII’ means a G-SII that has been identified in accordance with [F104Part 4 of the Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014];

    (134)

    [F105non-UK] global systemically important institution’ or ‘[F105non-UK] G-SII’ means a global systemically important banking group or a bank (G-SIBs) that is not a G-SII and that is included in the list of G-SIBs published by the Financial Stability Board, as regularly updated;

    (135)

    material subsidiary’ means a subsidiary that on an individual or consolidated basis meets any of the following conditions:

    (a)

    the subsidiary holds more than 5 % of the consolidated risk-weighted assets of its original parent undertaking;

    (b)

    the subsidiary generates more than 5 % of the total operating income of its original parent undertaking;

    (c)

    the total exposure measure, referred to in Article 429(4) of this Regulation, of the subsidiary is more than 5 % of the consolidated total exposure measure of its original parent undertaking;

    F106...

    (136)

    G-SII entity’ means an entity with legal personality that is a G-SII or is part of a G-SII or of a [F107non-UK] G-SII;

    (137)

    [F108bail-in tool’ means the mechanism for effecting the exercise by the resolution authority of the write-down and conversion powers in relation to liabilities of an institution under resolution, in accordance with section 12A of the Banking Act 2009;]

    (138)

    group’ means a group of undertakings of which at least one is an institution and which consists of a parent undertaking and its subsidiaries, or of undertakings [F109that are related to each other pursuant to a common management relationship within the meaning of point (38A)];

    (139)

    securities financing transaction’ means a repurchase transaction, a securities or commodities lending or borrowing transaction, or a margin lending transaction;

    (140)

    initial margin’ or ‘IM’ means any collateral, other than variation margin, collected from or posted to an entity to cover the current and potential future exposure of a transaction or of a portfolio of transactions in the period needed to liquidate those transactions, or to re-hedge their market risk, following the default of the counterparty to the transaction or portfolio of transactions;

    (141)

    market risk’ means the risk of losses arising from movements in market prices, including in foreign exchange rates or commodity prices;

    (142)

    foreign exchange risk’ means the risk of losses arising from movements in foreign exchange rates;

    (143)

    commodity risk’ means the risk of losses arising from movements in commodity prices;

    (144)

    trading desk’ means a well-identified group of dealers set up by the institution to jointly manage a portfolio of trading book positions in accordance with a well-defined and consistent business strategy and operating under the same risk management structure;

    (145)

    small and non-complex institution’ means an institution that meets all the following conditions:

    (a)

    it is not a large institution;

    (b)

    the total value of its assets on an individual basis or, where applicable, on a consolidated basis in accordance with this Regulation F110... is on average equal to or less than the threshold of EUR 5 billion over the four-year period immediately preceding the current annual reporting period; F111...

    (c)

    it is not subject to any obligations, or is subject to simplified obligations, in relation to recovery and resolution planning in accordance with [F112articles 7 and 8 of the second BRRD Order];

    (d)

    its trading book business is classified as small within the meaning of Article 94(1);

    (e)

    the total value of its derivative positions held with trading intent does not exceed 2 % of its total on- and off-balance-sheet assets and the total value of its overall derivative positions does not exceed 5 %, both calculated in accordance with Article 273a(3);

    (f)

    more than 75 % of both the institution's consolidated total assets and liabilities, excluding in both cases the intragroup exposures, relate to activities with counterparties located in the [F113United Kingdom];

    (g)

    the institution does not use internal models to meet the prudential requirements in accordance with this Regulation except for subsidiaries using internal models developed at the group level, provided that the group is subject to the disclosure requirements laid down in Article 433a or 433c on a consolidated basis;

    (h)

    the institution has not communicated to the competent authority an objection to being classified as a small and non-complex institution;

    (i)

    the competent authority has not decided that the institution is not to be considered a small and non-complex institution on the basis of an analysis of its size, interconnectedness, complexity or risk profile;

    (146)

    large institution’ means an institution that meets any of the following conditions:

    (a)

    it is a G-SII;

    (b)

    it has been identified as an other systemically important institution (O-SII) in accordance with [F114Part 6 of the Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014];

    (c)

    it is F115... one of the three largest institutions [F116in the United Kingdom] in terms of total value of assets;

    (d)

    the total value of its assets on an individual basis or, where applicable, on the basis of its consolidated situation in accordance with this Regulation F117... is equal to or greater than EUR 30 billion;

    (147)

    large subsidiary’ means a subsidiary that qualifies as a large institution;

    (148)

    non-listed institution’ means an institution that has not issued securities that are admitted to trading on a regulated market F118...;

    (149)

    F119...

    (150)

    [F120commodity and emission allowance dealer’ means an undertaking the main business of which consists exclusively of the provision of investment services or activities in relation to—

    (a)

    commodity derivatives or commodity derivative contracts referred to in paragraphs 5, 6, 7, 9 and 10 of Part 1 of Schedule 2 to the Regulated Activities Order,

    (b)

    derivatives of emission allowances referred to in paragraph 4 of that Part of that Schedule, or

    (c)

    emission allowances referred to in paragraph 11 of that Part of that Schedule.]

    [F1211A.In this Regulation—

    • Bank’ means the Bank of England;

    • [F122CRR rules’ has the meaning given by section 144A of FSMA (CRR rules);]

    • FCA’ means the Financial Conduct Authority;

    • Financial Policy Committee’ means the Financial Policy Committee of the Bank;

    • FSMA’ means the Financial Services and Markets Act 2000;

    • Part 4A permission’ means a permission given by the FCA or PRA under Part 4A of FSMA or having effect as if so given;

    • PRA’ means the Prudential Regulation Authority;

    • Regulated Activities Order’ means the Financial Services and Markets Act 2000 (Regulated Activities) Order 2001.]

    • [F123the second BRRD Order’ means the Bank Recovery and Resolution (No. 2) Order 2014;]

    F1242.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

    3.Trade finance as referred to in point (80) of paragraph 1 is generally uncommitted and requires satisfactory supporting transactional documentation for each drawdown request enabling refusal of the finance in the event of any doubt about creditworthiness or the supporting transactional documentation. Repayment of trade finance exposures is usually independent of the borrower, the funds instead coming from cash received from importers or resulting from proceeds of the sales of the underlying goods.

    [F644.[F125The [F126PRA may] make] technical standards specifying in which circumstances the conditions set out in point (39) of paragraph 1 are met.

    F127...]]

    Textual Amendments

    F126Words in Art. 4(4) substituted (1.1.2022) by Financial Services Act 2021 (c. 22), s. 49(5), Sch. 1 para. 47; S.I. 2021/671, reg. 5(1)(b) (with reg. 5(2)) (as amended by S.I. 2021/1163, regs. 1(2), 2)

    [F128Article 4AU.K. Definitions: Regulators' rules

    1.In [F129this Regulation]

    (a)a reference to the PRA rulebook is to the rulebook published by the PRA containing rules made by that Authority under FSMA [F130as amended from time to time];

    (b)any reference to a sourcebook is to a sourcebook in the Handbook of Rules and Guidance published by the FCA containing rules made by that Authority under FSMA [F131as amended from time to time];

    (c)Directive 2013/36/EU UK law’ means the law of the United Kingdom or any part of it, which was relied on by the United Kingdom immediately before IP completion day to implement Directive 2013/36/EU and its implementing measures—

    (i)as they have effect on [F1321 January 2022], in the case of rules made by the FCA or the PRA under FSMA; and

    (ii)as amended from time to time, in all other cases.

    2.By way of an exception to paragraph 1(c), for the purposes of Articles 4(1)(25), 11(2) and (6), 81(1)(ii), 82(a)(ii), 336(4)(c), 468(4) and 473a(7a), and the references to the Directive 2013/36/EU therein, ‘Directive 2013/36/EU UK law’ shall mean the law of the United Kingdom or any part of it, which was relied on by the United Kingdom immediately before IP completion day to implement Directive 2013/36/EU and its implementing measures as amended from time to time.]

    [F1333.In this Regulation, ‘Part 9C rules’ has the same meaning as in FSMA (see section 417 of that Act).]