Part II Prudential regulatory requirements

Transcription

1 List of references to the Basel frameworks The questionnaire is aimed at assessing equivalence with respect to the provisions Capital Requirements Regulations () and the Capital Requirements Directive (). Besides the relevant articles or which are stated in the questionnaire for ease of reference (and since the / are de facto the implementation I framework in the EU that incorporate previous provisions) we would like to provide you with this Annex which also quotes for the majority of legal references the corresponding paragraph relevant and/or I framework. However, it must be clear that the EBA s mandate by the European Commission is to assess equivalence only against the EU and. framework: I framework: Part I Prudential Supervision 4) Supervisory Review Process 4.1 The provisions on ICAAP are set out in 73. Governance arrangements and remuneration policies are covered in 74, 75, 92, 94 and 95 and in 88, 91 and 96 of the, 73 Para while the treatment of risks is laid down in Particular attention should be paid to 76, where it is stated that Member States should ensure that the management body of institutions devote sufficient time to the consideration of risk issues and should be actively involved in the management of all material risks. In addition, this article requires institutions to have an independent risk management function with sufficient authority, statute, resources and access to the management body. The SREP provisions are defined in and 110. Part Prudential regulatory requirements 6) Own funds The general provisions in terms of eligible capital are defined in 25, 71 and 72, while quantitative requirements are defined in 92. The I framework sets out capital requirements in para defines the items that can be computed in CET1, while 28 defines the respective qualifying conditions. The respective provisions for mutual and cooperative societies are laid of the and , 71, 72 and and 31 Para Para. 728 Para Para I Para I

2 down in 27 and 29. Instruments subscribed by public authorities in emergency situations that may qualify as CET1 are defined in 31. Provisions for prudential filters are the ones in and in para (Cash Flow Hedge reserve), para. 74 (gain on sale of securitised assets), and para. 75 (changes in own credit risk or fair value liabilities) I framework. Provisions for deductions from CET1 Capital can be found in and in para.67-70, 73, and I framework. Provisions for AT1 capital are stated in and 61 and in para I framework, while deductions are detailed in Please note that AT1 instrument usually cannot be called or redeemed before 5 years; however, of the details when supervisory permission may allow an instruction to call or redeem such instruments before that term. Provisions for Tier 2 capital are stated in and 71 and in para I framework, while deductions are detailed in Minority interest is defined in 4 (120) and the relative provisions are laid down in and in para I. 7) Capital Requirements - General Requirements, Valuation and Reporting The types of risk covered by the EU framework are specified in 92(3) and para. 44 framework. 8) Capital Requirements for credit risk For General Principles for credit risk refer to and to para and 211 framework. The provisions for the Standardized Approach for credit risk are laid down in References to specific areas are as follows. - Exposure classes: 112 ; and in para of the framework - Risk weights: ; and in para of the framework - Exposure value: 111 ; and in para. 50; 210 of the framework - External ratings: ; and in para framework of the of the and of the 4 (120) and (3) of the of the Para , I Para.67-70, 73, and I Para of the I Para I and for deductions 78, 80, 81 and 84 Para I. Para. 44 of the Para and 211 Basel Para Para Para Para 50 and 210 Para

3 The provisions for the Internal Ratings Based (IRB) Approach for credit risk are laid down in and para framework. A more detailed references are as follows: - Exposure classes: 147, and para of the framework - Calculation of risk weighted exposure amounts: , and para framework - Risk components [PD, LGD, EAD, M]: Requirements for the IRB models: , of the - Definition of default: 178 ; and para. 459 of the framework 9) Credit risk mitigation (CRM) The general provisions for CRM are specified in 192 and ) Securitisation Provisions for securitisation are laid down in of the ; and in para framework. 11) Counterparty credit risk The basic definitions for CCR are laid down in , and in Annex 4 framework. The different methods are described in and in Annex 4 (V)-(V) framework. Requirements for contractual netting agreements are specified in Please refer to the following articles in the : and of the 178 of the 192 and 194 of the Para Para Para Para Para Para. 459 Basel- Para Para Annex 4 Basel Annex 4 (V)- (V) Para I 11.4 (EAD) Calculation: of Para of Annex 4 Basel

4 Wrong-way risk: 291 the CCP: AVC: 142 (1) (4) 12) Own funds requirement for operational risk The provisions for operational risk are laid down in and in para framework. 13) Own funds requirement for market risk, settlement risk and Credit Valuation Adjustment (CVA) risk Provisions for own funds requirements stemming from market risk are laid down in See 325 (1) for the overall approach to offsetting within a group and 325 (2-3) for the conditions under which such offsetting is allowed. See and para. 683 (i) 708(iii) framework. Specific regulatory references can be found as follows: Debt positions: ; and para of the framework Foreign exchange risk: ; and para. 718 XXX -718 XL framework Equities: ; and para. 718 XIX -718 XXIX framework 291 of the (1) (4) of the (1)- (3) of the Para of Annex 4 Basel Para. 113 I Para. 272 Para Para. 683 I XCIX Basel Para. 683 v Para. 683(i) 708 (iii) Basel Para Para. 718 XXX- 718 XL Para. 718 XIX XXIX Basel Para. 718 XLI LV Commodities: ; and para. 718 XLI -718 LV framework and para. 718 LXX -718 XCIX Para. 718 LXX -

5 framework See (Incremental Risk Charge) Settlement risk is defined in , while CVA risk provisions are laid out in See 383 (Advanced method) and 384 (Standardised method). 14) Large exposure The reporting requirements are specified in 392 and 394 of the. The calculation exposure value is specified in 390. The use of credit risk mitigation techniques for large exposure purposes is specified in 399, 401, 402 and 403. The treatment of exposures on the trading book for large exposure purposes is specified in 395(5) and 397. The exemptions to the application large exposure limits according to 395 (1) are specified in ) Exposure to transferred credit risk Transfer risk provisions are laid down in and in para ) Liquidity The main provisions for liquidity reporting are laid down in A general short-term LCR requirement is established by 412. The detailed LCR rules are determined by the Commission Delegated Act 2015/61. The general longer term stable funding requirement is fixed by 413 which applies from Detailed rules on a net stable funding requirement would require to be set by a Commission legislative proposal under 510(3) and 394 of the 390 of the. 399, 401, 402 and (5) and (1) and 400 of the and 510 (3) 718 XCIX Basel Para. 145 I Para of Annex 4 Para of Annex 4 Para Xiv Para Xiv Para. 786 Para I

6 ) Leverage Details Leverage ratio formulas and reporting are laid down in if the. It is to be noted that 429 has been amended by means of Delegated Regulation 2015/62 on the leverage ratio 18) Capital buffers Capital buffers are defined in ) Macro-prudential tools Provisions on macro-prudential tools are laid down in of the. 20) Transitional provisions See and See ) Disclosure by institutions Provisions on disclosure are laid down in and in para framework. See and para framework and of the Para I Para I Para I Transitional arrangements are at the end of several sections of /I Para I Para Para