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Regulation 575/2013/EU - Capital Requirements Regulation CRRRecitalsPart One - General Provisions (arts. 1-24)Title I Subject matter, scope and definitions (arts. 1-5a)Article 1 ScopeArticle 2 Supervisory powersArticle 3 Application of stricter requirements by institutionsArticle 4 DefinitionsArticle 5 Definitions specific to capital requirements for credit riskArticle 5a Definitions specific to crypto-assetsTitle II Level of Application of Requirements (arts. 6-24)Chapter 1 Application of requirements on an individual basis (arts. 6-10)Article 6 General principlesArticle 7 Derogation from the application of prudential requirements on an individual basisArticle 8 Derogation from the application of liquidity requirements on an individual basisArticle 9 Individual consolidation methodArticle 10 Waiver for credit institutions permanently affiliated to a central bodyChapter 2 Prudential consolidation (arts. 10a-24)Section 1 Application of requirements on a consolidated basis (arts. 10a-17)Article 10a Application of prudential requirements on a consolidated basis where investment firms are parent undertakingsArticle 11 General treatmentArticle 12 Financial holding company or mixed financial holding company with both a subsidiary credit institution and a subsidiary investment firmArticle 12a Consolidated calculation for G-SIIs with multiple resolution entitiesArticle 13 Application of disclosure requirements on a consolidated basisArticle 14 Application of requirements of Article 5 of Regulation (EU) 2017/2402 on a consolidated basisArticle 15 Derogation from the application of own funds requirements on a consolidated basis for groups of investment firmsArticle 16 Derogation from the application of the leverage ratio requirements on a consolidated basis for groups of investment firmsArticle 17 Supervision of investment firms waived from the application of own funds requirements on a consolidated basisSection 2 Methods for prudential consolidation (art. 18)Article 18 Methods of prudential consolidationSection 3 Scope of prudential consolidation (arts. 19-24)Article 19 Entities excluded from the scope of prudential consolidationArticle 20 Joint decisions on prudential requirementsArticle 21 Joint decisions on the level of application of liquidity requirementsArticle 22 Sub-consolidation in the case of entities in third countriesArticle 23 Undertakings in third countriesArticle 24 Valuation of assets and off-balance sheet itemsPart Two - Own Funds and eligible liabilities (arts. 25-91)Title I Elements of Own Funds (arts. 25-80)Chapter 1 Tier 1 capital (art. 25)Article 25 Tier 1 capitalChapter 2 Common Equity Tier 1 capital (arts. 26-50)Section 1 Common equity tier 1 items and instruments (arts. 26-31)Article 26 Common Equity Tier 1 itemsArticle 27 Capital instruments of mutuals, cooperative societies, savings institutions or similar institutions in Common Equity Tier 1 itemsArticle 28 Common Equity Tier 1 instrumentsArticle 29 Capital instruments issued by mutuals, cooperative societies, savings institutions and similar institutionsArticle 30 Consequences of the conditions for Common Equity Tier 1 instruments ceasing to be metArticle 31 Capital instruments subscribed by public authorities in emergency situationsSection 2 Prudential filters (arts. 32-35)Article 32 Securitised assetsArticle 33 Cash flow hedges and changes in the value of own liabilitiesArticle 34 Additional value adjustmentsArticle 35 Unrealised gains and losses measured at fair valueSection 3 Deductions from common equity tier 1 items, exemptions and alternatives (arts. 36-49)Sub-section 1 Deductions from Common Equity Tier 1 items (arts. 36-47c)Article 36 Deductions from Common Equity Tier 1 itemsArticle 37 Deduction of intangible assetsArticle 38 Deduction of deferred tax assets that rely on future profitabilityArticle 39 Tax overpayments, tax loss carry backs and deferred tax assets that do not rely on future profitabilityArticle 40 Deduction of negative amounts resulting from the calculation of expected loss amountsArticle 41 Deduction of defined benefit pension fund assetsArticle 42 Deduction of holdings of own Common Equity Tier 1 instrumentsArticle 43 Significant investment in a financial sector entityArticle 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 fundsArticle 45 Deduction of holdings of Common Equity Tier 1 instruments of financial sector entitiesArticle 46 Deduction of holdings of Common Equity Tier 1 instruments where an institution does not have a significant investment in a financial sector entityArticle 47 Deduction of holdings of Common Equity Tier 1 instruments where an institution has a significant investment in a financial sector entityArticle 47a Non-performing exposuresArticle 47b Forbearance measuresArticle 47c Deduction for non-performing exposuresSub-section 2 Exemptions from and alternatives to deduction from Common Equity Tier 1 items (arts. 48-49)Article 48 Threshold exemptions from deduction from Common Equity Tier 1 itemsArticle 49 Requirement for deduction where consolidation, supplementary supervision or institutional protection schemes are appliedSection 4 Common equity tier 1 capital (art. 50)Article 50 Common Equity Tier 1 capitalChapter 3 Additional Tier 1 capital (arts. 51-61)Section 1 Additional tier 1 items and instruments (arts. 51-55)Article 51 Additional Tier 1 itemsArticle 52 Additional Tier 1 instrumentsArticle 53 Restrictions on the cancellation of distributions on Additional Tier 1 instruments and features that could hinder the recapitalisation of the institutionArticle 54 Write down or conversion of Additional Tier 1 instrumentsArticle 55 Consequences of the conditions for Additional Tier 1 instruments ceasing to be metSection 2 Deductions from additional tier 1 items (arts. 56-60)Article 56 Deductions from Additional Tier 1 itemsArticle 57 Deductions of holdings of own Additional Tier 1 instrumentsArticle 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 fundsArticle 59 Deduction of holdings of Additional Tier 1 instruments of financial sector entitiesArticle 60 Deduction of holdings of Additional Tier 1 instruments where an institution does not have a significant investment in a financial sector entitySection 3 Additional Tier 1 capital (art. 61)Article 61 Additional Tier 1 capitalChapter 4 Tier 2 capital (arts. 62-71)Section 1 Tier 2 items and instruments (arts. 62-65)Article 62 Tier 2 itemsArticle 63 Tier 2 instrumentsArticle 64 Amortisation of Tier 2 instrumentsArticle 65 Consequences of the conditions for Tier 2 instruments ceasing to be metSection 2 Deductions from Tier 2 items (arts. 66-70)Article 66 Deductions from Tier 2 itemsArticle 67 Deductions of holdings of own Tier 2 instrumentsArticle 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 fundsArticle 69 Deduction of holdings of Tier 2 instruments of financial sector entitiesArticle 70 Deduction of Tier 2 instruments where an institution does not have a significant investment in a relevant entitySection 3 Tier 2 capital (art. 71)Article 71 Tier 2 capitalChapter 5 Own funds (art. 72)Article 72 Own fundsChapter 5a Eligible liabilities (arts. 72a-72l)Section 1 Eligible liabilities items and instruments (arts. 72a-72d)Article 72a Eligible liabilities itemsArticle 72b Eligible liabilities instrumentsArticle 72c Amortisation of eligible liabilities instrumentsArticle 72d Consequences of the eligibility conditions ceasing to be metSection 2 Deductions from eligible liabilities items (arts. 72e-72j)Article 72e Deductions from eligible liabilities itemsArticle 72f Deduction of holdings of own eligible liabilities instrumentsArticle 72g Deduction base for eligible liabilities itemsArticle 72h Deduction of holdings of eligible liabilities of other G-SII entitiesArticle 72i Deduction of eligible liabilities where the institution does not have a significant investment in G-SII entitiesArticle 72j Trading book exception from deductions from eligible liabilities itemsSection 3 Own funds and eligible liabilities (atrs. 72k-72l)Article 72k Eligible liabilitiesArticle 72l Own funds and eligible liabilitiesChapter 6 General requirements for own funds and eligible liabilities (arts. 73-80)Article 73 Distributions on instrumentsArticle 74 Holdings of capital instruments issued by regulated financial sector entities that do not qualify as regulatory capitalArticle 75 Deduction and maturity requirements for short positionsArticle 76 Index holdings of capital instruments and of liabilitiesArticle 77 Conditions for reducing own funds and eligible liabilitiesArticle 78 Supervisory permission to reduce own fundsArticle 78a Permission to reduce eligible liabilities instrumentsArticle 79 Temporary waiver from deduction from own funds and eligible liabilitiesArticle 79a Assessment of compliance with the conditions for own funds and eligible liabilities instrumentsArticle 80 Continuing review of the quality of own funds and eligible liabilities instrumentsTitle II Minority Interest and Additional Tier 1 and Tier 2 Instruments Issued by Subsidiaries (arts. 81-88b)Article 81 Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capitalArticle 82 Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own fundsArticle 83 Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entityArticle 84 Minority interests included in consolidated Common Equity Tier 1 capitalArticle 85 Qualifying Tier 1 instruments included in consolidated Tier 1 capitalArticle 86 Qualifying Tier 1 capital included in consolidated Additional Tier 1 capitalArticle 87 Qualifying own funds included in consolidated own fundsArticle 88 Qualifying own funds instruments included in consolidated Tier 2 capitalArticle 88a Qualifying eligible liabilities instrumentsArticle 88b Undertakings in third countriesTitle III Qualifying Holdings Outside the Financial Sector (arts. 89-91)Article 89 Risk weighting and prohibition of qualifying holdings outside the financial sectorArticle 90 Alternative to 1 250 % risk weightArticle 91 ExceptionsPart Three - Capital Requirements (arts. 92-386)Title I General Requirements, Valuation and Reporting (arts. 92-106)Chapter 1 Required level of own funds (arts. 92-98)Section 1 Own funds requirements for institutions (arts. 92-94)Article 92 Own funds requirementsArticle 92a Requirements for own funds and eligible liabilities for G-SIIsArticle 92b Requirement for own funds and eligible liabilities for non-EU G-SIIsArticle 93 Initial capital requirement on going concernArticle 94 Derogation for small trading book businessSection 2 Own funds requirements for investment firms with limited authorisation to provide investment services (arts. 95-98)Article 95 Own funds requirements for investment firms with limited authorisation to provide investment servicesArticle 96 Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2) of Directive 2013/36/EUArticle 97 Own Funds based on Fixed OverheadsArticle 98 Own funds for investment firms on a consolidated basisChapter 2 Calculation and reporting requirements (arts. 99-101)Article 99 Reporting on own funds requirements and financial informationArticle 100 Additional reporting requirementsArticle 101 Specific reporting obligationsChapter 3 Trading book (arts. 102-106)Article 102 Requirements for the trading bookArticle 103 Management of the trading bookArticle 104 Inclusion in the trading bookArticle 104a Reclassification of a positionArticle 104b Requirements for trading deskArticle 104c Treatment of foreign exchange risk hedges of capital ratiosArticle 105 Requirements for prudent valuationArticle 106 Internal HedgesTitle II Capital Requirements for Credit Risk (arts. 107-311)Chapter 1 General principles (arts. 107-110a)Article 107 Approaches to credit riskArticle 108 Use of credit risk mitigation techniques under the Standardised Approach and the IRB Approach for credit risk and dilution riskArticle 109 Treatment of securitisation positionsArticle 110 Treatment of credit risk adjustmentArticle 110a Monitoring of contractual arrangements that are not commitmentsChapter 2 Standardised Approach (arts. 111-141)Section 1 General principles (arts. 111-113)Article 111 Exposure valueArticle 112 Exposure classesArticle 113 Calculation of risk-weighted exposure amountsSection 2 Risk weights (arts. 114-134)Article 114 Exposures to central governments or central banksArticle 115 Exposures to regional governments or local authoritiesArticle 116 Exposures to public sector entitiesArticle 117 Exposures to multilateral development banksArticle 118 Exposures to international organisationsArticle 119 Exposures to institutionsArticle 120 Exposures to rated institutionsArticle 121 Exposures to unrated institutionsArticle 122 Exposures to corporatesArticle 122a Specialised lending exposuresArticle 123 Retail exposuresArticle 123a Exposures with a currency mismatchArticle 124 Exposures secured by mortgages on immovable propertyArticle 125 Exposures secured by mortgages on residential propertyArticle 126 Exposures fully and completely secured by mortgages on commercial immovable propertyArticle 126a Land acquisition, development and construction exposuresArticle 127 Exposures in defaultArticle 128 Items associated with particular high riskArticle 129 Exposures in the form of covered bondsArticle 130 Items representing securitisation positionsArticle 131 Exposures to institutions and corporates with a short-term credit assessmentArticle 132 Own funds requirements for exposures in the form of units or shares in CIUsArticle 132a Approaches for calculating risk-weighted exposure amounts of CIUsArticle 132b Exclusions from the approaches for calculating risk-weighted exposure amounts of CIUsArticle 132c Treatment of off-balance-sheet exposures to CIUsArticle 133 Equity exposuresArticle 134 Other itemsSection 3 Recognition and mapping of credit risk assessment (arts. 135-137)Sub-section 1 Recognition of ECAIs (art. 135)Article 135 Use of credit assessments by ECAIsSub-section 2 Mapping of ECAI's credit assessments (art. 136)Article 136 Mapping of ECAI's credit assessmentsSub-section 3 Use of credit assessments by Export Credit Agencies (art. 137)Article 137 Use of credit assessments by export credit agenciesSection 4 Use of the ecai credit assessments for the determination of risk weights (arts. 138-141)Article 138 General requirementsArticle 139 Issuer and issue credit assessmentArticle 140 Long-term and short-term credit assessmentsArticle 141 Domestic and foreign currency itemsChapter 3 Internal Ratings Based Approach (arts. 142-191)Section 1 Permission by competent authorities to use the IRB Approach (arts. 142-150)Article 142 DefinitionsArticle 143 Permission to use the IRB ApproachArticle 144 Competent authorities' assessment of an application to use an IRB ApproachArticle 145 Prior experience of using IRB approachesArticle 146 Measures to be taken where the requirements of this Chapter cease to be metArticle 147 Methodology to assign exposure to exposures classesArticle 148 Conditions for implementing the IRB Approach across different classes of exposure and business unitsArticle 149 Conditions to revert to the use of less sophisticated approachesArticle 150 Conditions for permanent partial useSection 2 Calculation of risk weighted exposure amounts (arts. 151-157)Sub-section 1 Treatment by type of exposure class (arts. 151-152)Article 151 Treatment by exposure classArticle 152 Treatment of exposures in the form of units or shares in CIUsSub-section 2 Calculation of risk weighted exposure amounts for credit risk (arts. 153-156)Article 153 Risk-weighted exposure amounts for exposures to central governments and central banks, exposures to regional governments, local authorities and public sector entities, exposures to institutions and exposures to corporatesArticle 154 Risk-weighted exposure amounts for retail exposuresArticle 155 Risk-weighted exposure amounts for equity exposuresArticle 156 Risk-weighted exposure amounts for other non credit-obligation assetsSub-section 3 Calculation of risk-weighted exposure amounts for dilution risk of purchased receivables (art. 157)Article 157 Risk-weighted exposure amounts for dilution risk of purchased receivablesSection 3 Expected loss amounts (arts. 158-159)Article 158 Treatment by exposure typeArticle 159 Treatment of expected loss amounts, IRB shortfall and IRB excessSection 4 PD, LGD and maturity (arts. 160-165)Sub-section -1 Exposures to corporates, institutions, central governments and central banks, regional governments, local authorities and public sector entities (art. 159a)Article 159a Non-application of PD, LGD and CCF input floorsSub-section 1 Exposures to corporates, institutions, central governments and central banks, regional governments, local authorities and public sector entities (arts. 160-162)Article 160 Probability of default (PD)Article 161 Loss Given Default (LGD)Article 162 MaturitySub-section 2 Retail exposures (arts. 163-164)Article 163 Probability of default (PD)Article 164 Loss Given Default (LGD)Sub-section 3 Equity exposures subject to PD/LGD method (art. 165)Article 165 Equity exposures subject to the PD/LGD methodSection 5 Exposure value (arts. 166-168)Article 166 Exposures to corporates, institutions, central governments and central banks, regional governments, local authorities and public sector entities and retail exposuresArticle 167 Equity exposuresArticle 168 Other non credit-obligation assetsSection 6 Requirements for the IRB approach (arts. 169-191)Sub-section 1 Rating systems (arts. 169-177)Article 169 General principlesArticle 170 Structure of rating systemsArticle 171 Assignment to grades or poolsArticle 172 Assignment of exposuresArticle 173 Integrity of assignment processArticle 174 Use of modelsArticle 175 Documentation of rating systemsArticle 176 Data maintenanceArticle 177 Stress tests used in assessment of capital adequacySub-section 2 Risk quantification (arts. 178-184)Article 178 Default of an obligor or credit facilityArticle 179 Overall requirements for estimationArticle 180 Requirements specific to PD estimationArticle 181 Requirements specific to own-LGD estimatesArticle 182 Requirements specific to own-conversion factor estimatesArticle 183 Requirements for assessing the effect of unfunded credit protection for exposures to central governments and central banks, exposures to regional governments, local authorities and public sector entities, and exposures to corporates, where own estimates of LGD are used and for retail exposuresArticle 184 Requirements for purchased receivablesSub-section 3 Validation of internal estimates (art. 185)Article 185 Validation of internal estimatesSub-section 4 Requirements for equity exposures under the internal models approach (arts. 186-188)Article 186 Own funds requirement and risk quantificationArticle 187 Risk management process and controlsArticle 188 Validation and documentationSub-section 5 Internal governance and oversight (arts. 189-191)Article 189 Corporate GovernanceArticle 190 Credit risk controlArticle 191 Internal AuditChapter 4 Credit risk mitigation (arts. 192-241)Section 1 Definitions and general requirements (arts. 192-194)Article 192 DefinitionsArticle 193 Principles for recognising the effect of credit risk mitigation techniquesArticle 194 Principles governing the eligibility of credit risk mitigation techniquesSection 2 Eligible forms of credit risk mitigation (arts. 195-204a)Sub-section 1 Funded credit protection (arts. 195-200)Article 195 On-balance sheet nettingArticle 196 Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactionsArticle 197 Eligibility of collateral under all approaches and methodsArticle 198 Additional eligibility of collateral under the Financial Collateral Comprehensive MethodArticle 199 Additional eligibility for collateral under the IRB ApproachArticle 200 Other funded credit protectionSub-section 2 Unfunded credit protection (arts. 201-203)Article 201 Eligibility of protection providers under all approachesArticle 202 Eligibility of protection providers under the IRB Approach which qualify for the treatment set out in Article 153(3)Article 203 Eligibility of guarantees as unfunded credit protectionSub-section 3 Types of derivatives (arts. 204-204a)Article 204 Eligible types of credit derivativesArticle 204a Eligible types of equity derivativesSection 3 Requirements (arts. 205-217)Sub-section 1 Funded credit protection (arts. 205-212)Article 205 Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206Article 206 Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactionsArticle 207 Requirements for financial collateralArticle 208 Requirements for immovable property collateralArticle 209 Requirements for receivablesArticle 210 Requirements for other physical collateralArticle 211 Requirements for treating lease exposures as collateralisedArticle 212 Requirements for other funded credit protectionSub-section 2 Unfunded credit protection and credit linked notes (arts. 213-217)Article 213 Requirements common to guarantees and credit derivativesArticle 214 Sovereign and other public sector counter-guaranteesArticle 215 Additional requirements for guaranteesArticle 216 Additional requirements for credit derivativesArticle 217 Requirements to qualify for the treatment set out in Article 153(3)Section 4 Calculating the effects of credit risk mitigation (arts. 218-236)Sub-section 1 Funded credit protection (arts. 218-232)Article 218 Credit linked notesArticle 219 On-balance-sheet nettingArticle 220 Using the Supervisory Volatility Adjustments Approach for master netting agreementsArticle 221 Using the internal models approach for master netting agreementsArticle 222 Financial Collateral Simple MethodArticle 223 Financial Collateral Comprehensive MethodArticle 224 Supervisory volatility adjustment under the Financial Collateral Comprehensive MethodArticle 225 Own estimates of volatility adjustments under the Financial Collateral Comprehensive MethodArticle 226 Scaling up of volatility adjustment under the Financial Collateral Comprehensive MethodArticle 227 Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive MethodArticle 228 Calculating risk-weighted exposure amounts under the Financial Collateral Comprehensive method for exposures treated under the Standardised ApproachArticle 229 Valuation principles for eligible collateral other than financial collateralArticle 230 Calculating risk-weighted exposure amounts and expected loss amounts for an exposure with an eligible funded credit protection under the IRB ApproachArticle 231 Calculating risk-weighted exposure amounts and expected loss amounts in the case of pools of eligible funded credit protection for an exposure treated under the IRB ApproachArticle 232 Other funded credit protectionSub-section 2 Unfunded credit protection (arts. 233-236a)Article 233 ValuationArticle 234 Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranchingArticle 235 Calculating risk-weighted exposure amounts under the substitution approach where the guaranteed exposure is treated under the Standardised ApproachArticle 235a Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach and a comparable direct exposure to the protection provider is treated under the Standardised ApproachArticle 236 Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach without the use of own estimates of LGD and a comparable direct exposure to the protection provider is treated under the IRB ApproachArticle 236a Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach using own estimates of LGD and a comparable direct exposure to the protection provider is treated under the IRB ApproachSection 5 Maturity mismatches (arts. 237-239)Article 237 Maturity mismatchArticle 238 Maturity of credit protectionArticle 239 Valuation of protectionSection 6 Basket CRM techniques (arts. 240-241)Article 240 First-to-default credit derivativesArticle 241 Nth-to-default credit derivativesChapter 5 Securitisation (arts. 242-270e)Section 1 Definitions and criteria for simple, transparent and standardised securitisations (arts. 242-243)Article 242 DefinitionsArticle 243 Criteria for STS securitisations qualifying for differentiated capital treatmentSection 2 Recognition of significant risk transfer (arts. 244-246)Article 244 Traditional securitisationArticle 245 Synthetic securitisationArticle 246 Operational requirements for early amortisation provisionsSection 3 Calculation of risk-weighted exposure amounts (arts. 247-270a)Sub-section 1 General Provisions (arts. 247-253)Article 247 Calculation of risk-weighted exposure amountsArticle 248 Exposure valueArticle 249 Recognition of credit risk mitigation for securitisation positionsArticle 250 Implicit supportArticle 251 Originator institutions' calculation of risk-weighted exposure amounts securitised in a synthetic securitisationArticle 252 Treatment of maturity mismatches in synthetic securitisationsArticle 253 Reduction in risk-weighted exposure amountsSub-section 2 Hierarchy of methods and common parameters (arts. 254-257)Article 254 Hierarchy of methodsArticle 255 Determination of KIRB and KSAArticle 256 Determination of attachment point (A) and detachment point (D)Article 257 Determination of tranche maturity (MT)Sub-section 3 Methods to calculate risk-weighted exposure amounts (arts. 258-266)Article 258 Conditions for the use of the Internal Ratings Based Approach (SEC-IRBA)Article 259 Calculation of risk-weighted exposure amounts under the SEC-IRBAArticle 260 Treatment of STS securitisations under the SEC-IRBAArticle 261 Calculation of risk-weighted exposure amounts under the Standardised Approach (SEC-SA)Article 262 Treatment of STS securitisations under the SEC-SAArticle 263 Calculation of risk-weighted exposure amounts under the External Ratings Based Approach (SEC-ERBA)Article 264 Treatment of STS securitisations under the SEC-ERBAArticle 265 Scope and operational requirements for the Internal Assessment ApproachArticle 266 Calculation of risk-weighted exposure amounts under the Internal Assessment ApproachSub-section 4 Caps for securitisation positions (arts. 267-268)Article 267 Maximum risk weight for senior securitisation positions: look-through approachArticle 268 Maximum capital requirementsSub-section 5 Miscellaneous provisions (arts. 269-270a)Article 269 Re-securitisationsArticle 269a Treatment of non-performing exposures (NPE) securitisationsArticle 270 Senior positions in STS on-balance sheet securitisationsArticle 270a Additional risk weight.Section 4 External credit assessments (arts. 270b-270e)Article 270b Use of credit assessments by ECAIs.Article 270c Requirements to be met by the credit assessments of ECAIsArticle 270d Use of credit assessments.Article 270e Securitisation mapping.Chapter 6 Counterparty credit risk (arts. 271-311)Section 1 Definitions (arts. 271-272)Article 271 Determination of the exposure valueArticle 272 DefinitionsSection 2 Methods for calculating the exposure value (art. 273-273b)Article 273 Methods for calculating the exposure valueArticle 273a Conditions for using simplified methods for calculating the exposure valueArticle 273b Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives and the simplified approach for calculating the own funds requirements for CVA riskSection 3 Standardised approach for counter party credit risk (arts. 274-208f)Article 274 Exposure valueArticle 275 Replacement costArticle 276 Recognition and treatment of collateralArticle 277 Mapping of transactions to risk categoriesArticle 277a Hedging setsArticle 278 Potential future exposureArticle 279 Calculation of the risk positionArticle 279a Supervisory deltaArticle 279b Adjusted notional amountArticle 279c Maturity FactorArticle 280 Hedging set supervisory factor coefficientArticle 280a Interest rate risk category add-onArticle 280b Foreign exchange risk category add-onArticle 280c Credit risk category add-onArticle 280d Equity risk category add-onArticle 280e Commodity risk category add-onArticle 280f Other risks category add-onSection 4 Simplified standardised approach for counter party credit risk (art. 281)Article 281 Calculation of the exposure valueSection 5 Original exposure method (art. 282)Article 282 Calculation of the exposure valueSection 6 Internal Model Method (arts. 283-294)Article 283 Permission to use the Internal Model MethodArticle 284 Exposure valueArticle 285 Exposure value for netting sets subject to a margin agreementArticle 286 Management of CCR - Policies, processes and systemsArticle 287 Organisation structures for CCR managementArticle 288 Review of CCR management systemArticle 289 Use testArticle 290 Stress testingArticle 291 Wrong-Way RiskArticle 292 Integrity of the modelling processArticle 293 Requirements for the risk management systemArticle 294 Validation requirementsSection 7 Contractual netting (arts. 295-298)Article 295 Recognition of contractual netting as risk-reducingArticle 296 Recognition of contractual netting agreementsArticle 297 Obligations of institutionsArticle 298 Effects of recognition of netting as risk-reducingSection 8 Items in the trading book (art. 299)Article 299 Items in the trading bookSection 9 Own funds requirements for exposures to a central counterparty (arts. 300-311)Article 300 DefinitionsArticle 301 Material scopeArticle 302 Monitoring of exposures to CCPsArticle 303 Treatment of clearing members' exposures to CCPsArticle 304 Treatment of clearing members' exposures to clientsArticle 305 Treatment of clients' exposuresArticle 306 Own funds requirements for trade exposuresArticle 307 Own funds requirements for contributions to the default fund of a CCPArticle 308 Own funds requirements for pre-funded contributions to the default fund of a QCCPArticle 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 CCPArticle 310 Own funds requirements for unfunded contributions to the default fund of a QCCPArticle 311 Own funds requirements for exposures to CCPs that cease to meet certain conditionsTitle III Own funds requirement for operational risk (arts. 311a-324)Chapter 1 Calculation of the own funds requirement for operational risk (arts. 311a-315)Article 311a DefinitionsArticle 312 Own funds requirement for operational riskArticle 313 Business indicator componentArticle 314 Business indicatorArticle 315 Adjustments to the business indicatorChapter 2 Data Collection and Governance (arts. 316-324)Article 316 Calculation of the annual operational risk lossArticle 317 Loss data setArticle 318 Calculation of net loss and gross lossArticle 319 Loss data thresholdsArticle 320 Exclusion of lossesArticle 321 Inclusion of losses from merged or acquired entities or activitiesArticle 322 Comprehensiveness, accuracy and quality of the loss dataArticle 323 Operational risk management frameworkArticle 324 Loss event type classificationTitle IV Own funds requirements for market risk (arts. 325-377)Chapter 1 General Provisions (arts. 325-325b)Article 325 Approaches for calculating the own funds requirements for market riskArticle 325a Conditions for using the simplified standardised approachArticle 325b Permission for consolidated requirementsChapter 1a Alternative standardised approach (arts. 325c-325ay)Section 1 General provisions (art. 325c)Article 325c Scope, structure and qualitative requirements of the alternative standardised approachSection 2 Sensitivities-based method for calculating the own funds requirement (art. 325d-325k)Article 325d DefinitionsArticle 325e Components of the sensitivities-based methodArticle 325f Own funds requirements for delta and vega risksArticle 325g Own funds requirements for curvature riskArticle 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risksArticle 325i Treatment of index instruments and other multi-underlying instrumentsArticle 325j Treatment of collective investment undertakingsArticle 325k Underwriting positionsSection 3 Risk factor and sensitivity definitions (arts. 325l-325t)Subsection 1 Risk factor definitions (arts. 325l-325q)Article 325l General interest rate risk factorsArticle 325m Credit spread risk factors for non-securitisationArticle 325n Credit spread risk factors for securitisationArticle 325o Equity risk factorsArticle 325p Commodity risk factorsArticle 325q Foreign exchange risk factorsSubsection 2 Sensitivity definitions (arts. 325r-325t)Article 325r Delta risk sensitivitiesArticle 325s Vega risk sensitivitiesArticle 325t Requirements on sensitivity computationsSection 4 The residual risk add-on (art. 325u)Article 325u Own funds requirements for residual risksSection 5 Own funds requirements for the default risk (arts. 325v-325ad)Article 325v Definitions and general provisionsSubsection 1 Own funds requirements for the default risk for non-securitisations (arts. 325w-325y)Article 325w Gross jump-to-default amountsArticle 325x Net jump-to-default amountsArticle 325y Calculation of the own funds requirements for the default riskSubsection 2 Own funds requirements for the default risk for securitisations not included in the ACTP (arts. 325z-325aa)Article 325z Jump-to-default amountsArticle 325aa Calculation of the own funds requirement for the default risk for securitisationsSubsection 3 Own funds requirements for the default risk for securitisations included in the ACTP (arts. 325ab-325ad)Article 325ab ScopeArticle 325ac Jump-to-default amounts for the ACTPArticle 325ad Calculation of the own funds requirements for the default risk for the ACTPSection 6 Risk weights and correlations (arts. 325ae-325ay)Subsection 1 Delta risk weights and correlations (arts. 325ae-325aw)Article 325ae Risk weights for general interest rate riskArticle 325af Intra bucket correlations for general interest rate riskArticle 325ag Correlations across buckets for general interest rate riskArticle 325ah Risk weights for credit spread risk for non-securitisationsArticle 325ai Intra-bucket correlations for credit spread risk for non-securitisationsArticle 325aj Correlations across buckets for credit spread risk for non-securitisationsArticle 325ak Risk weights for credit spread risk for securitisations included in the ACTPArticle 325al Correlations for credit spread risk for securitisations included in the ACTPArticle 325am Risk weights for credit spread risk for securitisations not included in the ACTPArticle 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTPArticle 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTPArticle 325ap Risk weights for equity riskArticle 325aq Intra-bucket correlations for equity riskArticle 325ar Correlations across buckets for equity riskArticle 325as Risk weights for commodity riskArticle 325at Intra-bucket correlations for commodity riskArticle 325au Correlations across buckets for commodity riskArticle 325av Risk weights for foreign exchange riskArticle 325aw Correlations for foreign exchange riskSubsection 2 Vega and curvature risk weights and correlations (arts. 325ax-325ay)Article 325ax Vega and curvature risk weightsArticle 325ay Vega and curvature risk correlationsChapter 1b Alternative internal model approach (arts. 325az-325bp)Section 1 Permission and own funds requirements (arts. 325az-325ba)Article 325az Alternative internal model approach and permission to use alternative internal modelsArticle 325ba Own funds requirements when using alternative internal modelsSection 2 General requirements (arts. 325bb-325bk)Article 325bb Expected shortfall risk measureArticle 325bc Partial expected shortfall calculationsArticle 325bd Liquidity horizonsArticle 325be Assessment of the modellability of risk factorsArticle 325bf Regulatory back-testing requirements and multiplication factorsArticle 325bg Profit and loss attribution requirementArticle 325bh Requirements on risk measurementArticle 325bi Qualitative requirementsArticle 325bj Internal validationArticle 325bk Calculation of stress scenario risk measureSection 3 Internal default risk model (arts. 325bl-325bp)Article 325bl Scope of the internal default risk modelArticle 325bm Permission to use an internal default risk modelArticle 325bn Own funds requirements for default risk using an internal default risk modelArticle 325bo Recognition of hedges in an internal default risk modelArticle 325bp Particular requirements for an internal default risk modelChapter 2 Own funds requirements for position risk (arts. 326-350)Section 1 General provisions and specific instruments (arts. 326-333)Article 326 Own funds requirements for position riskArticle 327 NettingArticle 328 Interest rate futures and forwardsArticle 329 Options and warrantsArticle 330 SwapsArticle 331 Interest rate risk on derivative instrumentsArticle 332 Credit DerivativesArticle 333 Securities sold under a repurchase agreement or lentSection 2 Debt instruments (arts. 334-340)Article 334 Net positions in debt instrumentsSub-section 1 Specific risk (arts. 335-338)Article 335 Cap on the own funds requirement for a net positionArticle 336 Own funds requirement for non-securitisation debt instrumentsArticle 337 Own funds requirement for securitisation instrumentsArticle 338 Own funds requirement for the correlation trading portfolioSub-section 2 General risk (arts. 339-340)Article 339 Maturity-based calculation of general riskArticle 340 Duration-based calculation of general riskSection 3 Equities (arts. 341-344)Article 341 Net positions in equity instrumentsArticle 342 Specific risk of equity instrumentsArticle 343 General risk of equity instrumentsArticle 344 Stock indicesSection 4 Underwriting (art. 345)Article 345 Reduction of net positionsSection 5 Specific risk own funds requirements for positions hedged by credit derivatives (arts. 346-347)Article 346 Allowance for hedges by credit derivativesArticle 347 Allowance for hedges by first and nth-to default credit derivativesSection 6 Own funds requirements for CIUs (arts. 348-350)Article 348 Own funds requirements for CIUsArticle 349 General criteria for CIUsArticle 350 Specific methods for CIUsChapter 3 Own funds requirements for foreign-exchange risk (arts. 351-354)Article 351 De minimis and weighting for foreign exchange riskArticle 352 Calculation of the overall net foreign exchange positionArticle 353 Foreign exchange risk of CIUsArticle 354 Closely correlated currenciesChapter 4 Own funds requirements for commodities risk (arts. 355-361)Article 355 Choice of method for commodities riskArticle 356 Ancillary commodities businessArticle 357 Positions in commoditiesArticle 358 Particular instrumentsArticle 359 Maturity ladder approachArticle 360 Simplified approachArticle 361 Extended maturity ladder approachChapter 5 Use of internal models to calculate own funds requirements (arts. 362-377)Section 1 Permission and own funds requirements (arts. 362-364)Article 362 Specific and general risksArticle 363 Permission to use internal modelsArticle 364 Own funds requirements when using internal modelsSection 2 General requirements (arts. 365-369)Article 365 VaR and stressed VaR CalculationArticle 366 Regulatory back testing and multiplication factorsArticle 367 Requirements on risk measurementArticle 368 Qualitative requirementsArticle 369 Internal ValidationSection 3 Requirements particular to specific risk modelling (arts. 370-371)Article 370 Requirements for modelling specific riskArticle 371 Exclusions from specific risk modelsSection 4 Internal model for incremental default and migration risk (arts. 372-376)Article 372 Requirement to have an internal IRC modelArticle 373 Scope of the internal IRC modelArticle 374 Parameters of the internal IRC modelArticle 375 Recognition of hedges in the internal IRC modelArticle 376 Particular requirements for the internal IRC modelSection 5 Internal model for correlation trading (art. 377)Article 377 Requirements for an internal model for correlation tradingTitle V Own Funds Requirements for Settlement Risk (arts. 378-380)Article 378 Settlement/delivery riskArticle 379 Free deliveriesArticle 380 WaiverTitle VI Own Funds Requirements for Credit Valuation Adjustment Risk (arts. 381-386)Article 381 Meaning of credit valuation adjustmentArticle 382 ScopeArticle 382a Approaches for calculating the own funds requirements for CVA riskArticle 383 Standardised approachArticle 383a Regulatory CVA modelArticle 383b Own funds requirements for delta and vega risksArticle 383c Interest rate risk factorsArticle 383d Foreign exchange risk factorsArticle 383e Counterparty credit spread risk factorsArticle 383f Reference credit spread risk factorsArticle 383g Equity risk factorsArticle 383h Commodity risk factorsArticle 383i Delta risk sensitivitiesArticle 383j Vega risk sensitivitiesArticle 383k Risk weights for interest rate riskArticle 383l Intra-bucket correlations for interest rate riskArticle 383m Correlation across buckets for interest rate riskArticle 383n Risk weights for foreign exchange riskArticle 383o Correlations for foreign exchange riskArticle 383p Risk weights for counterparty credit spread riskArticle 383q Intra-bucket correlations for counterparty credit spread riskArticle 383r Correlations across buckets for counterparty credit spread riskArticle 383s Risk weights for reference credit spread riskArticle 383t Intra-bucket correlations for reference credit spread riskArticle 383u Correlations across buckets for reference credit spread riskArticle 383v Risk weight buckets for equity riskArticle 383w Correlations across buckets for equity riskArticle 383x Risk weight buckets for commodity riskArticle 383z Correlations across buckets for commodity riskArticle 384 Basic approachArticle 385 Simplified approachArticle 386 Eligible hedgesPart Four - Large exposures (arts. 387-403)Article 387 Subject matterArticle 388 Negative ScopeArticle 389 DefinitionArticle 390 Calculation of the exposure valueArticle 391 Definition of an institution for large exposures purposesArticle 392 Definition of a large exposureArticle 393 Capacity to identify and manage large exposuresArticle 394 Reporting requirementsArticle 395 Limits to large exposuresArticle 396 Compliance with large exposures requirementsArticle 397 Calculating additional own funds requirements for large exposures in the trading bookArticle 398 Procedures to prevent institutions from avoiding the additional own funds requirementArticle 399 Eligible credit mitigation techniquesArticle 400 ExemptionsArticle 401 Calculating the effect of the use of credit risk mitigation techniquesArticle 402 Exposures arising from mortgage lendingArticle 403 Substitution approachPart Five - Exposures to Transferred Credit Risk (arts. 404-410)Title I General Provisions for this Part (art. 404)Article 404 Scope of applicationTitle II Requirements for Investor Institutions (arts. 405-407)Article 405 Retained interest of the issuerArticle 406 Due diligenceArticle 407 Additional risk weightTitle III Requirements for Sponsor and Originator Institutions (arts. 408-410)Article 408 Criteria for credit grantingArticle 409 Disclosure to investorsArticle 410 Uniform condition of applicationPart Six - Liquidity (arts. 411-428az)Title I Definitions and Liquidity Requirements (arts. 411-414)Article 411 DefinitionsArticle 412 Liquidity coverage requirementArticle 413 Stable funding requirementArticle 414 Compliance with liquidity requirementsTitle II Liquidity Reporting (arts. 415-426)Article 415 Reporting obligation and reporting formatArticle 416 Reporting on liquid assetsArticle 417 Operational requirements for holdings of liquid assetsArticle 418 Valuation of liquid assetsArticle 419 Currencies with constraints on the availability of liquid assetsArticle 420 Liquidity outflowsArticle 421 Outflows on retail depositsArticle 422 Outflows on other liabilitiesArticle 423 Additional outflowsArticle 424 Outflows from credit and liquidity facilitiesArticle 425 InflowsArticle 426 Updating Future liquidity requirementsTitle III Reporting on Stable Funding (arts. 427-428)Article 427 Items providing stable fundingArticle 428 Items requiring stable fundingTitle IV The net stable funding ratio (arts. 428a-428az)Chapter 1 The net stable funding ratio (arts. 428a-428b)Article 428a Application on a consolidated basisArticle 428b The net stable funding ratioChapter 2 General rules for the calculation of the net stable funding ratio (arts. 428c-428h)Article 428c Calculation of the net stable funding ratioArticle 428d Derivative contractsArticle 428e Netting of secured lending transactions and capital market-driven transactionsArticle 428f Interdependent assets and liabilitiesArticle 428g Deposits in institutional protection schemes and cooperative networksArticle 428h Preferential treatment within a group or within an institutional protection schemeChapter 3 Available stable funding (arts. 428i-428o)Section 1 General provisions (arts. 428i-428j)Article 428i Calculation of the amount of available stable fundingArticle 428j Residual maturity of a liability or of own fundsSection 2 Available stable funding factors (arts. 428k-428o)Article 428k 0 % available stable funding factorArticle 428l 50 % available stable funding factorArticle 428m 90 % available stable funding factorArticle 428n 95 % available stable funding factorArticle 428o 100 % available stable funding factorChapter 4 Required stable funding (arts. 428p-428ah)Section 1 General provisions (arts. 428p-428q)Article 428p Calculation of the amount of required stable fundingArticle 428q Residual maturity of an assetSection 2 Required stable funding factors (arts. 428r-428ah)Article 428r 0 % required stable funding factorArticle 428s 5 % required stable funding factorArticle 428t 7 % required stable funding factorArticle 428u 7,5 % required stable funding factorArticle 428v 10 % required stable funding factorArticle 428w 12 % required stable funding factorArticle 428x 15 % required stable funding factorArticle 428y 20 % required stable funding factorArticle 428z 25 % required stable funding factorArticle 428aa 30 % required stable funding factorArticle 428ab 35 % required stable funding factorArticle 428ac 40 % required stable funding factorArticle 428ad 50 % required stable funding factorArticle 428ae 55 % required stable funding factorArticle 428af 65 % required stable funding factorArticle 428ag 85 % required stable funding factorArticle 428ah 100 % required stable funding factorChapter 5 Derogation for small and non-complex institutions (art. 428ai)Article 428ai Derogation for small and non-complex institutionsChapter 6 Available stable funding for the simplified calculation of the net stable funding ratio (arts. 428aj-428ap)Section 1 General provisions (arts. 428aj-428ak)Article 428aj Simplified calculation of the amount of available stable fundingArticle 428ak Residual maturity of a liability or own fundsSection 2 Available stable funding factors (arts. 428al-428ap)Article 428al 0 % available stable funding factorArticle 428am 50 % available stable funding factorArticle 428an 90 % available stable funding factorArticle 428ao 95 % available stable funding factorArticle 428ap 100 % available stable funding factorChapter 7 Required stable funding for the simplified calculation of the net stable funding ratio (arts. 428aq-428az)Section 1 General provisions (arts. 428aq-428ar)Article 428aq Simplified calculation of the amount of required stable fundingArticle 428ar Residual maturity of an assetSection 2 Required stable funding factors (428as-428az)Article 428as 0 % required stable funding factorArticle 428at 5 % required stable funding factorArticle 428au 10 % required stable funding factorArticle 428av 20 % required stable funding factorArticle 428aw 50 % required stable funding factorArticle 428ax 55 % required stable funding factorArticle 428ay 85 % required stable funding factorArticle 428az 100 % required stable funding factorPart Seven - Leverage (arts. 429-429g)Article 429 Calculation of the leverage ratioArticle 429a Exposures excluded from the total exposure measureArticle 429b Calculation of the exposure value of assetsArticle 429c Calculation of the exposure value of derivativesArticle 429d Additional provisions on the calculation of the exposure value of written credit derivativesArticle 429e Counterparty credit risk add-on for securities financing transactionsArticle 429f Calculation of the exposure value of off-balance-sheet itemsArticle 429g Calculation of the exposure value of regular-way purchases and sales awaiting settlementPart Seven A - Reporting requirements (arts. 430-430c)Article 430 Reporting on prudential requirements and financial informationArticle 430a Specific reporting obligationsArticle 430b Specific reporting requirements for market riskArticle 430c Feasibility report on the integrated reporting systemPart Eight - Disclosure by Institutions (arts. 431-455)Title I General Principles (arts. 431-434c)Article 431 Disclosure requirements and policiesArticle 432 Non-material, proprietary or confidential informationArticle 433 Frequency and scope of disclosuresArticle 433a Disclosures by large institutionsArticle 433b Disclosures by small and non-complex institutionsArticle 433c Disclosures by other institutionsArticle 434 Means of disclosuresArticle 434a Uniform disclosure formatsArticle 434b Accessibility of information on the European single access pointArticle 434c Report on the feasibility of the use of information reported by institutions other than small and non-complex institutions to publish an extended set of disclosures on the EBA websiteTitle II Technical Criteria on Transparency and Disclosure (arts. 435-451b)Article 435 Disclosure of risk management objectives and policiesArticle 436 Disclosure of the scope of applicationArticle 437 Disclosure of own fundsArticle 437a Disclosure of own funds and eligible liabilitiesArticle 438 Disclosure of own funds requirements and risk-weighted exposure amountsArticle 439 Disclosure of exposures to counterparty credit riskArticle 440 Disclosure of countercyclical capital buffersArticle 441 Disclosure of indicators of global systemic importanceArticle 442 Disclosure of exposures to credit risk and dilution riskArticle 443 Disclosure of encumbered and unencumbered assetsArticle 444 Disclosure of the use of the Standardised ApproachArticle 445 Disclosure of exposures to market risk under the standardised approachArticle 445a Disclosure of CVA riskArticle 446 Disclosure of operational riskArticle 447 Disclosure of key metricsArticle 448 Disclosure of exposures to interest rate risk on positions not held in the trading bookArticle 449 Disclosure of exposures to securitisation positionsArticle 449a Disclosure of environmental, social and governance risks (ESG risks)Article 449b Disclosure of aggregate exposure to shadow banking entitiesArticle 450 Disclosure of remuneration policyArticle 451 Disclosure of the leverage ratioArticle 451a Disclosure of liquidity requirementsArticle 451b Disclosure of crypto-asset exposures and related activitiesTitle III Qualifying Requirements for the Use of Particular Instruments or Methodologies (arts. 452-455)Article 452 Use of the IRB Approach to credit riskArticle 453 Disclosure of the use of credit risk mitigation techniquesArticle 454 Disclosure of the use of the Advanced Measurement Approaches to operational riskArticle 455 Use of internal models for market riskPart Nine - Delegated and Implementing Acts (arts. 456-464)Article 456 Delegated actsArticle 457 Technical adjustments and correctionsArticle 458 Macroprudential or systemic risk identified at the level of a Member StateArticle 459 Prudential requirementsArticle 460 LiquidityArticle 461 Review of the phasing-in of the liquidity coverage requirementArticle 461a Own funds requirements for market riskArticle 462 Exercise of the delegationArticle 463 Objections to regulatory technical standardsArticle 464 European Banking CommitteePart Ten - Transitional Provisions, Reports, Reviews and Amendments (arts. 465-520a)Title I Transitional Provisions (arts. 465-501)Chapter 1 Own funds requirements, unrealised gains and losses measured at fair value and deductions (arts. 465-482)Section 1 Own funds requirements (arts. 465-466)Article 465 Transitional arrangements for the output floorArticle 466 First time application of International Financial Reporting StandardsSection 2 Unrealised gains and losses measured at fair value (arts. 467-468)Article 467 Unrealised losses measured at fair valueArticle 468 Temporary treatment of unrealised gains and losses measured at fair value through other comprehensive incomeSection 3 Deductions (arts. 469-478)Sub-section 1 Deductions from Common Equity Tier 1 items (arts. 469-473a)Article 469 Deductions from Common Equity Tier 1 itemsArticle 469a Derogation from deductions from Common Equity Tier 1 items for non-performing exposuresArticle 470 Exemption from deduction from Common Equity Tier 1 itemsArticle 471 Exemption from Deduction of Equity Holdings in Insurance Companies from Common Equity Tier 1 ItemsArticle 472 Items not deducted from Common Equity Tier 1Article 473 Introduction of amendments to IAS 19Article 473a Introduction of IFRS 9Sub-section 2 Deductions from Additional Tier 1 items (arts. 474-475)Article 474 Deductions from Additional Tier 1 itemsArticle 475 Items not deducted from Additional Tier 1 itemsSub-section 3 Deductions from Tier 2 items (arts. 476-477)Article 476 Deductions from Tier 2 itemsArticle 477 Deductions from Tier 2 itemsSub-Section 3a Deductions from eligible liabilities items (art. 447a)Article 477a Deductions from eligible liabilities itemsSub-section 4 Applicable percentages for deduction (art. 478)Article 478 Applicable percentages for deduction from Common Equity Tier 1, Additional Tier 1 and Tier 2 itemsSection 4 Minority interest and Additional Tier 1 and Tier 2 instruments issued by subsidiaries (arts. 479-480)Article 479 Recognition in consolidated Common Equity Tier 1 capital of instruments and items that do not qualify as minority interestsArticle 480 Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capitalSection 5 Additional filters and deductions (arts. 481-482)Article 481 Additional filters and deductionsArticle 482 Scope of application for derivatives transactions with pension fundsChapter 2 Grandfathering of capital instruments (arts. 483-491)Section 1 Instruments constituting State aid (art. 483)Article 483 Grandfathering of State aid instrumentsSection 2 Instruments not constituting state aid (arts. 484-491)Sub-section 1 Grandfathering eligibility and limits (arts. 484-488)Article 484 Eligibility for grandfathering of items that qualified as own funds under national transposition measures for Directive 2006/48/ECArticle 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/ECArticle 486 Limits for grandfathering of items within Common Equity Tier 1, Additional Tier 1 and Tier 2 itemsArticle 487 Items excluded from grandfathering in Common Equity Tier 1 or Additional Tier 1 items in other elements of own fundsArticle 488 Amortisation of items grandfathered as Tier 2 itemsSub-section 2 Inclusion of instruments with a call and incentive to redeem in Additional Tier 1 and Tier 2 items (arts. 489-491)Article 489 Hybrid instruments with a call and incentive to redeemArticle 490 Tier 2 items with an incentive to redeemArticle 491 Effective maturityChapter 3 Transitional provisions for disclosure of own funds (art. 492)Article 492 Disclosure of own fundsChapter 4 Large exposures, own funds requirements, leverage and the Basel I floor (arts. 493-501b)Article 493 Transitional provisions for large exposuresArticle 494 Transitional provisions concerning the requirement for own funds and eligible liabilitiesArticle 494a Grandfathering of issuances through special purpose entitiesArticle 494b Grandfathering of own funds instruments and eligible liabilities instrumentsArticle 494c Grandfathering of senior securitisation positionsArticle 494d Reversion to less sophisticated approachesArticle 495 Treatment of equity exposures under the IRB ApproachArticle 495a Transitional arrangements for equity exposuresArticle 495b Transitional arrangements for specialised lending exposuresArticle 495c Transitional arrangements for leasing exposures as a credit risk mitigation techniqueArticle 495d Transitional arrangements for unconditional cancellable commitmentsArticle 495e Transitional arrangements for ECAI credit assessments of institutionsArticle 495f Transitional arrangements for property revaluation requirementsArticle 495g Transitional arrangements for certain public guarantees schemesArticle 495h Transitional arrangements for the use of the alternative internal model approach for market riskArticle 496 Own funds requirements for covered bondsArticle 497 Own funds requirements for exposures to CCPsArticle 498 Exemption for Commodities dealersArticle 499 LeverageArticle 500 Adjustment for massive disposalsArticle 500a Temporary treatment of public debt issued in the currency of another Member StateArticle 500b Temporary exclusion of certain exposures to central banks from the total exposure measure in view of the COVID-19 pandemicArticle 500c Exclusion of overshootings from the calculation of the back-testing addend in view of the COVID-19 pandemicArticle 500d Temporary calculation of the exposure value of regular-way purchases and sales awaiting settlement in view of the COVID-19 pandemicArticle 501 Adjustment of risk-weighted non-defaulted SME exposuresArticle 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 servicesArticle 501b Derogation from reporting requirementsTitle II Reports and Reviews (arts. 501c-519b)Article 501c Prudential treatment of exposures to environmental or social factorsArticle 501d Transitional provisions on the prudential treatment of crypto-assetsArticle 502 Cyclicality of capital requirementsArticle 503 Own funds requirements for exposures in the form of covered bondsArticle 504 Capital instruments subscribed by public authorities in emergency situationsArticle 504a Holdings of eligible liabilities instrumentsArticle 505 Review of agricultural financingArticle 506 Credit risk - credit insuranceArticle 506a CIUs with an underlying portfolio of euro area sovereign bondsArticle 506b NPE securitisationsArticle 506c Credit risk - interaction between Common Equity Tier 1 capital reductions and credit risk parametersArticle 506d Prudential treatment of securitisationArticle 506e Recognition of capped or floored unfunded credit protectionArticle 506f Prudential treatment of securities financing transactionsArticle 507 Large exposuresArticle 508 Level of applicationArticle 509 Liquidity requirementsArticle 510 Net Stable Funding RequirementsArticle 511 LeverageArticle 512 Exposures to transferred credit riskArticle 513 Macroprudential rulesArticle 514 Method for the calculation of the exposure value of derivative transactionsArticle 515 Monitoring and evaluationArticle 516 Long-term financingArticle 517 Definition of eligible capitalArticle 518 Review of capital instruments which may be written down or converted at the point of non-viabilityArticle 518a Review of cross-default provisionsArticle 518b Report on overshootings and supervisory powers to limit distributionsArticle 518c Review of the framework for prudential requirementsArticle 519 Deduction of defined benefit pension fund assets from Common Equity Tier 1 itemsArticle 519a Reporting and reviewArticle 519b Own funds requirements for market riskTitle IIA Implementation of rules (arts. 519c-519f)Article 519c Compliance toolArticle 519d Minimum haircut floor framework for securities financing transactionsArticle 519e Operational riskArticle 519f ProportionalityTitle III Amendments (art. 520)Article 520 Amendment of Regulation (EU) No 648/2012Article 520a Application of own funds requirements for market riskPart Eleven - Final Provisions (art. 521)Article 521 Entry into force and date of applicationAnnex I Classification of off-balance-sheet itemsAnnex II Types of derivativesAnnex III Items subject to supplementary reporting of liquid assetsAnnex IV Correlation tableDone at
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AI Summary of Article 325bf Regulatory back-testing requirements and multiplication factors

This Article defines 'overshooting' as a one-day portfolio value change exceeding the calculated value-at-risk (VaR) using an alternative internal model. Institutions must perform back-testing for daily overshootings to ensure compliance with specific thresholds, which depend on the percentile confidence intervals applied.

Competent authorities may allow deviations from standard counting procedures under certain circumstances, particularly where overshootings stem from non-modellable risk factors. Monitoring by authorities will assess the appropriateness of the multiplication factor related to the institution's VaR calculations and compliance with back-testing requirements.

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Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2025 - onwards
Version 3 of 3

Article 325bf Regulatory back-testing requirements and multiplication factors

1. For the purposes of this Article, an 'overshooting' means a one-day change in the value of a portfolio composed of all the positions assigned to the trading desk that exceeds the related value-at-risk number calculated on the basis of the institution's alternative internal model in accordance with the following requirements:

(a) the calculation of the value at risk shall be subject to a one-day holding period;

(b) scenarios of future shocks shall apply to the risk factors of the trading desk's positions referred to in Article 325bg(3) and which are considered modellable in accordance with Article 325be;

(c) data inputs used to determine the scenarios of future shocks applied to the modellable risk factors shall be calibrated to historical data referred to in point (c) of Article 325bc(4);

(d) unless stated otherwise in this Article, the institution's alternative internal model shall be based on the same modelling assumptions as those used for the calculation of the expected shortfall risk measure referred to in point (a) of Article 325ba(1).

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