Capital Requirements Regulation (CRR)

Article 10a: Application of prudential requirements on a consolidated basis where investment firms are parent undertakings

Article 11: General treatment

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

Article 13: Application of disclosure requirements on a consolidated basis

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

Article 18: Methods of prudential consolidation

Article 19: Entities excluded from the scope of prudential consolidation

Article 20: Joint decisions on prudential requirements

Article 21: Joint decisions on the level of application of liquidity requirements

Article 22: Sub-consolidation in case of entities in third countries

Article 23: Undertakings in third countries

Article 24: Valuation of assets and off-balance sheet items

Article 26: Common Equity Tier 1 items

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

Article 28: Common Equity Tier 1 instruments

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

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

Article 31: Capital instruments subscribed by public authorities in emergency situations

Article 32: Securitised assets

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

Article 34: Additional value adjustments

Article 35: Unrealised gains and losses measured at fair value

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

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

Article 50: Common Equity Tier 1 capital

Article 51: Additional Tier 1 items

Article 52: Additional Tier 1 instruments

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

Article 54: Write down or conversion of Additional Tier 1 instruments

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

Article 56: Deductions from Additional Tier 1 items

Article 57: Deductions of holdings of own Additional Tier 1 instruments

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

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

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

Article 61: Additional Tier 1 capital

Article 62: Tier 2 items

Article 63: Tier 2 instruments

Article 64: Amortisation of Tier 2 instruments

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

Article 66: Deductions from Tier 2 items

Article 67: Deductions of holdings of own Tier 2 instruments

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

Article 69: Deduction of holdings of Tier 2 instruments of financial sector entities

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

Article 71: Tier 2 capital

Article 72a: Eligible liabilities items

Article 72b: Eligible liabilities instruments

Article 72c: Amortisation of eligible liabilities instruments

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

Article 72e: Deductions from eligible liabilities items

Article 72f: Deduction of holdings of own eligible liabilities instruments

Article 72g: Deduction base for eligible liabilities items

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

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

Article 72j: Trading book exception from deductions from eligible liabilities items

Article 72k: Eligible liabilities

Article 72l: Own funds and eligible liabilities

Article 92: Own funds requirements

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

Article 92b: Requirement for own funds and eligible liabilities for non-EU G-SIIs

Article 93: Initial capital requirement on going concern

Article 94: Derogation for small trading book business

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

Article 96: Own funds requirements for investment firms which hold initial capital as laid down in Article 28(2) of Directive 2013/36/EU

Article 97: Own Funds based on Fixed Overheads

Article 98: Own funds for investment firms on a consolidated basis

Article 111: Exposure value

Article 112: Exposure classes

Article 113: Calculation of risk-weighted exposure amounts

Article 114: Exposures to central governments or central banks

Article 115: Exposures to regional governments or local authorities

Article 116: Exposures to public sector entities

Article 117: Exposures to multilateral development banks

Article 118: Exposures to international organisations

Article 119: Exposures to institutions

Article 120: Exposures to rated institutions

Article 121: Exposures to unrated institutions

Article 122: Exposures to corporates

Article 123: Retail exposures

Article 124: Exposures secured by mortgages on immovable property

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

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

Article 127: Exposures in default

Article 128: Items associated with particular high risk

Article 129: Exposures in the form of covered bonds

Article 130: Items representing securitisation positions

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

Article 132: Own funds requirements for exposures in the form of units or shares in CIUs

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

Article 132b: Exclusions from the approaches for calculating risk-weighted exposure amounts of CIUs

Article 132c: Treatment of off-balance-sheet exposures to CIUs

Article 133: Equity exposures

Article 134: Other items

Sub-Section 1: Recognition of ECAIs

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

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

Article 138: General requirements

Article 139: Issuer and issue credit assessment

Article 140: Long-term and short-term credit assessments

Article 141: Domestic and foreign currency items

Article 142: Definitions

Article 143: Permission to use the IRB Approach

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

Article 145: Prior experience of using IRB approaches

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

Article 147: Methodology to assign exposures to exposure classes

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

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

Article 150: Conditions for permanent partial use

Sub-Section 1: Treatment by type of exposure class

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

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

Article 158: Treatment by exposure type

Article 159: Treatment of expected loss amounts

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

Sub-Section 2: Retail exposures

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

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

Article 167: Equity exposures

Article 168: Other non credit-obligation assets

Sub-Section 1: Rating systems

Sub-Section 2: Risk quantification

Sub-Section 3: Validation of internal estimates

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

Sub-Section 5: Internal governance and oversight

Article 192: Definitions

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

Article 194: Principles governing the eligibility of credit risk mitigation techniques

Sub-Section 1: Funded credit protection

Sub-Section 2: Unfunded credit protection

Sub-Section 3: Types of derivatives

Sub-Section 1: Funded credit protection

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

Sub-Section 1: Funded credit protection

Sub-Section 2: Unfunded credit protection

Article 237: Maturity mismatch

Article 238: Maturity of credit protection

Article 239: Valuation of protection

Article 240: First-to-default credit derivatives

Article 241: Nth-to-default credit derivatives

Article 242: Definitions

Article 243: Criteria for STS securitisations qualifying for differentiated capital treatment

Article 244: Traditional securitisation

Article 245: Synthetic securitisation

Article 246: Operational requirements for early amortisation provisions

Sub-Section 1: General Provisions

Sub-Section 2: Hierarchy of methods and common parameters

Sub-Section 3: Methods to calculate risk-weighted exposure amounts

Sub-Section 4: Caps for securitisation positions

Sub-Section 5: Miscellaneous provisions

Article 270b: Use of credit assessments by ECAIs

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

Article 270d: Use of credit assessments

Article 270e: Securitisation mapping

Article 271: Determination of the exposure value

Article 272: Definitions

Article 273: Methods for calculating the exposure value

Article 273a: Conditions for using simplified methods for calculating the exposure value

Article 273b: Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives

Article 274: Exposure value

Article 275: Replacement cost

Article 276: Recognition and treatment of collateral

Article 277: Mapping of transactions to risk categories

Article 277a: Hedging sets

Article 278: Potential future exposure

Article 279: Calculation of the risk position

Article 279a: Supervisory delta

Article 279b: Adjusted notional amount

Article 279c: Maturity Factor

Article 280: Hedging set supervisory factor coefficient

Article 280a: Interest rate risk category add-on

Article 280b: Foreign exchange risk category add-on

Article 280c: Credit risk category add-on

Article 280d: Equity risk category add-on

Article 280e: Commodity risk category add-on

Article 280f: Other risks category add-on

Article 281: Calculation of the exposure value

Article 282: Calculation of the exposure value

Article 283: Permission to use the Internal Model Method

Article 284: Exposure value

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

Article 286: Management of CCR — Policies, processes and systems

Article 287: Organisation structures for CCR management

Article 288: Review of CCR management system

Article 289: Use test

Article 290: Stress testing

Article 291: Wrong-Way Risk

Article 292: Integrity of the modelling process

Article 293: Requirements for the risk management system

Article 294: Validation requirements

Article 295: Recognition of contractual netting as risk-reducing

Article 296: Recognition of contractual netting agreements

Article 297: Obligations of institutions

Article 298: Effects of recognition of netting as risk-reducing

Article 299: Items in the trading book

Article 300: Definitions

Article 301: Material scope

Article 302: Monitoring of exposures to CCPs

Article 303: Treatment of clearing members' exposures to CCPs

Article 304: Treatment of clearing members' exposures to clients

Article 305: Treatment of clients' exposures

Article 306: Own funds requirements for trade exposures

Article 307: Own funds requirements for contributions to the default fund of a CCP

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

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

Article 310: Own funds requirements for unfunded contributions to the default fund of a QCCP

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

Article 325c: Scope and structure of the alternative standardised approach

Article 325d: Definitions

Article 325e: Components of the sensitivities-based method

Article 325f: Own funds requirements for delta and vega risks

Article 325g: Own funds requirements for curvature risk

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

Article 325i: Treatment of index instruments and other multi-underlying instruments

Article 325j: Treatment of collective investment undertakings

Article 325k: Underwriting positions

Sub-Section 1: Risk factor definitions

Sub-Section 2: Sensitivity definitions

Article 325u: Own funds requirements for residual risks

Article 325v: Definitions and general provisions

Sub-Section 1: Own funds requirements for the default risk for non-securitisations

Sub-Section 2: Own funds requirements for the default risk for securitisations not included in the ACTP

Sub-Section 3: Own funds requirements for the default risk for securitisations included in the ACTP

Sub-Section 1: Delta risk weights and correlations

Sub-Section 2: Vega and curvature risk weights and correlations

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

Article 325ba: Own funds requirements when using alternative internal models

Article 325bb: Expected shortfall risk measure

Article 325bc: Partial expected shortfall calculations

Article 325bd: Liquidity horizons

Article 325be: Assessment of the modellability of risk factors

Article 325bf: Regulatory back-testing requirements and multiplication factors

Article 325bg: Profit and loss attribution requirement

Article 325bh: Requirements on risk measurement

Article 325bi: Qualitative requirements

Article 325bj: Internal validation

Article 325bk: Calculation of stress scenario risk measure

Article 325bl: Scope of the internal default risk model

Article 325bm: Permission to use an internal default risk model

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

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

Article 325bp: Particular requirements for an internal default risk model

Article 326: Own funds requirements for position risk

Article 327: Netting

Article 328: Interest rate futures and forwards

Article 329: Options and warrants

Article 330: Swaps

Article 331: Interest rate risk on derivative instruments

Article 332: Credit Derivatives

Article 333: Securities sold under a repurchase agreement or lent

Article 334: Net positions in debt instruments

Sub-Section 1: Specific risk

Sub-Section 2: General risk

Article 341: Net positions in equity instruments

Article 342: Specific risk of equity instruments

Article 343: General risk of equity instruments

Article 344: Stock indices

Article 345: Reduction of net positions

Article 346: Allowance for hedges by credit derivatives

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

Article 348: Own funds requirements for CIUs

Article 349: General criteria for CIUs

Article 350: Specific methods for CIUs

Article 362: Specific and general risks

Article 363: Permission to use internal models

Article 364: Own funds requirements when using internal models

Article 365: VaR and stressed VaR Calculation

Article 366: Regulatory back testing and multiplication factors

Article 367: Requirements on risk measurement

Article 368: Qualitative requirements

Article 369: Internal Validation

Article 370: Requirements for modelling specific risk

Article 371: Exclusions from specific risk models

Article 372: Requirement to have an internal IRC model

Article 373: Scope of the internal IRC model

Article 374: Parameters of the internal IRC model

Article 375: Recognition of hedges in the internal IRC model

Article 376: Particular requirements for the internal IRC model

Article 377: Requirements for an internal model for correlation trading

Article 428i: Calculation of the amount of available stable funding

Article 428j: Residual maturity of a liability or of own funds

Article 428k: 0 % available stable funding factor

Article 428l: 50 % available stable funding factor

Article 428m: 90 % available stable funding factor

Article 428n: 95 % available stable funding factor

Article 428o: 100 % available stable funding factor

Article 428p: Calculation of the amount of required stable funding

Article 428q: Residual maturity of an asset

Article 428r: 0 % required stable funding factor

Article 428s: 5 % required stable funding factor

Article 428t: 7 % required stable funding factor

Article 428u: 7,5 % required stable funding factor

Article 428v: 10 % required stable funding factor

Article 428w: 12 % required stable funding factor

Article 428x: 15 % required stable funding factor

Article 428y: 20 % required stable funding factor

Article 428z: 25 % required stable funding factor

Article 428aa: 30 % required stable funding factor

Article 428ab: 35 % required stable funding factor

Article 428ac: 40 % required stable funding factor

Article 428ad: 50 % required stable funding factor

Article 428ae: 55 % required stable funding factor

Article 428af: 65 % required stable funding factor

Article 428ag: 85 % required stable funding factor

Article 428ah: 100 % required stable funding factor

Article 428aj: Simplified calculation of the amount of available stable funding

Article 428ak: Residual maturity of a liability or own funds

Article 428al: 0 % available stable funding factor

Article 428am: 50 % available stable funding factor

Article 428an: 90 % available stable funding factor

Article 428ao: 95 % available stable funding factor

Article 428ap: 100 % available stable funding factor

Article 428aq: Simplified calculation of the amount of required stable funding

Article 428ar: Residual maturity of an asset

Article 428as: 0 % required stable funding factor

Article 428at: 5 % required stable funding factor

Article 428au: 10 % required stable funding factor

Article 428av: 20 % required stable funding factor

Article 428aw: 50 % required stable funding factor

Article 428ax: 55 % required stable funding factor

Article 428ay: 85 % required stable funding factor

Article 428az: 100 % required stable funding factor

Article 465: Own funds requirements

Article 466: First time application of International Financial Reporting Standards

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

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

Sub-Section 2: Deductions from Additional Tier 1 items

Sub-Section 3: Deductions from Tier 2 items

Sub-Section 4: Applicable percentages for deduction

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

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

Article 481: Additional filters and deductions

Article 482: Scope of application for derivatives transactions with pension funds

Article 483: Grandfathering of State aid instruments

Sub-Section 1: Grandfathering eligibility and limits

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