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: http://www.bis.org/publ/bcbs128.pdf I framework: http://www.bis.org/publ/bcbs189.pdf 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. 719-727 4.2 4.3 6.1 6.2 while the treatment of risks is laid down in 77-87. 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 97-107 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. 49-50. 26 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 77-87 of the 76 97-107 and 110 25, 71, 72 and 92 26-29 and 31 Para. 732-760 Para. 728 Para. 748-756 Para. 49-50 I Para. 52-53 I
6.3 6.4 6.5 6.6 6.8 7.1 8.1 8.2 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 32-35 and in para. 71-72 (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 36-47 and in para.67-70, 73, 76-77 and 79-89 I framework. Provisions for AT1 capital are stated in 51-55 and 61 and in para. 54-56 I framework, while deductions are detailed in 56-60. Please note that AT1 instrument usually cannot be called or redeemed before 5 years; however, 77-78 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 62-65 and 71 and in para. 57-58 I framework, while deductions are detailed in 66-70. Minority interest is defined in 4 (120) and the relative provisions are laid down in 81-84 and in para. 62-65 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 107-110 and to para. 50-52 and 211 framework. The provisions for the Standardized Approach for credit risk are laid down in 111-141. References to specific areas are as follows. - Exposure classes: 112 ; and in para. 53-89 of the framework - Risk weights: 113-134 ; and in para. 53-89 of the framework - Exposure value: 111 ; and in para. 50; 210 of the framework - External ratings: 135-138 ; and in para. 90-91 framework. 32-35 of the 36-47 of the 51-61 and 77-78 62-71 of the 4 (120) and 81-84 92(3) 107-110 111-141 112 of the 113-134 111 of the Para. 71-72, 74-75 I Para.67-70, 73, 76-77 and 79-89 I Para. 54-56 of the I Para. 57-58 I and for deductions 78, 80, 81 and 84 Para. 62-65 I. Para. 44 of the Para. 50-52 and 211 Basel Para. 50-210 Para. 53-89 Para. 53-89 Para 50 and 210 Para. 90-91
135-138 8.3 9.1 10.1 11.1 11.2 11.3 The provisions for the Internal Ratings Based (IRB) Approach for credit risk are laid down in 142-191 and para. 211-537 framework. A more detailed references are as follows: - Exposure classes: 147, and para. 215-243 of the framework - Calculation of risk weighted exposure amounts: 151-157, and para.211-379 framework - Risk components [PD, LGD, EAD, M]: 160-168 - Requirements for the IRB models: 142-150, 169-191 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 194. 10) Securitisation Provisions for securitisation are laid down in 242-270 of the ; and in para. 538-643 framework. 11) Counterparty credit risk The basic definitions for CCR are laid down in 271-272, and in Annex 4 framework. The different methods are described in 274-285 and in Annex 4 (V)-(V) framework. Requirements for contractual netting agreements are specified in 295-296. Please refer to the following articles in the : 142-191 147 151-157 160-168 142-150 and 169-191 of the 178 of the 192 and 194 of the 242-270 271-272 274-285 295-296 Para. 211-537 Para. 215-243 Para. 211-379 Para. 285-286 Para. 387-537 Para. 459 Basel- Para. 109-120 Para. 538-643 Annex 4 Basel Annex 4 (V)- (V) Para. 98-99 I 11.4 (EAD) Calculation: 284 284 of Para. 20-24 of Annex 4 Basel
Wrong-way risk: 291 the CCP: 300-311 12.1-4 13.1 13.2 13.3 13.4 AVC: 142 (1) (4) 12) Own funds requirement for operational risk The provisions for operational risk are laid down in 312-324 and in para. 644-683 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 325-386. 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 326-333 and para. 683 (i) 708(iii) framework. Specific regulatory references can be found as follows: Debt positions: 334-340 ; and para. 709-717 of the framework Foreign exchange risk: 351-354 ; and para. 718 XXX -718 XL framework Equities: 341-344 ; and para. 718 XIX -718 XXIX framework 291 of the 300-311 142 (1) (4) of the 312-324 325-386 325 (1)- (3) of the 326-333 334-340 351-354 341-344 355-361 Para. 57-58 of Annex 4 Basel Para. 113 I Para. 272 Para. 644-683 Para. 683 I - 718 XCIX Basel Para. 683 v Para. 683(i) 708 (iii) Basel Para. 709-717 Para. 718 XXX- 718 XL Para. 718 XIX - 718 XXIX Basel Para. 718 XLI - 718 LV Commodities: 355-361 ; and para. 718 XLI -718 LV framework 13.5 362-377 and para. 718 LXX -718 XCIX Para. 718 LXX -
13.6 13.7 13.8 14.2 14.3 15.1 16.2 framework. 362-377 See 372-376. (Incremental Risk Charge) 372-376 Settlement risk is defined in 378-380, while CVA risk provisions are laid out in 381-386. 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 400. 15) Exposure to transferred credit risk Transfer risk provisions are laid down in 404-410 and in para. 786. 16) Liquidity The main provisions for liquidity reporting are laid down in 411-428. 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 1.1.2016. Detailed rules on a net stable funding requirement would require to be set by a Commission legislative proposal under 510(3). 378-386 383-384 392 and 394 of the 390 of the. 399, 401, 402 and 403. 395(5) and 397. 395 (1) and 400 of the. 404-410 411-428 and 510 (3) 718 XCIX Basel Para. 145 I Para. 97-105 of Annex 4 Para. 97-105 of Annex 4 Para. 770-777 Xiv Para. 770-777 Xiv Para. 786 Para. 34-46 I
17.1 18.1 19.1 20.1 20.2 21.1 21.2 17) Leverage Details Leverage ratio formulas and reporting are laid down in 429-430 if the. It is to be noted that 429 has been amended by means of Delegated Regulation 2015/62 on the leverage ratio http://eur-lex.europa.eu/legalcontent/en/txt/?uri=oj:l:2015:011:toc 18) Capital buffers Capital buffers are defined in 128-142. 19) Macro-prudential tools Provisions on macro-prudential tools are laid down in 458-459 of the. 20) Transitional provisions See 465-473 and 492-500. See 474-491. 21) Disclosure by institutions Provisions on disclosure are laid down in 431-455 and in para. 808-826 framework. See 431-455 and para. 808-826 framework. 429-430 128-142 458-459 465-473 and 492-500 of the 474-491 431-455 431-455 Para. 151-166 I Para. 122-150 I Para. 32-33 I Transitional arrangements are at the end of several sections of /I Para. 94-96 I Para. 808-826 Para. 808-826