Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 Text with EEA relevance

By 31 December 2026, EBA shall report to the Commission on the consistency between the current measurement of credit risk and the individual credit risk parameters and on the treatment of any adjustments for the purpose of the computation of the IRB shortfall or IRB excess as referred to in Article 159, and on its consistency with the determination of the exposure value in accordance with Article 166 and with the estimation of LGD.

That report shall consider the maximum possible economic loss arising from a default event along with its achieved coverage in terms of Common Equity Tier 1 capital reductions, taking into account any accounting-based Common Equity Tier 1 capital reductions, including from expected credit losses or fair value adjustments, and any discounts on received exposures, and their implications for regulatory deductions.

Article 506d

Prudential treatment of securitisation

2. In particular, EBA shall monitor the use of the transitional arrangement referred to in Article 465(13) and assess the extent to which the application of the output floor to securitisation exposures would affect the capital reduction obtained by originator institutions in transactions for which a significant risk transfer has been recognised, would excessively reduce the risk sensitivity and would affect the economic viability of new securitisation transactions. In such cases of a reduction of risk sensitivities, EBA may consider proposing a downward recalibration of the non-neutrality factors for transactions for which a significant risk transfer has been recognised. EBA shall also assess the appropriateness of the non-neutrality factors under both the SEC-SA and the SEC-IRBA, taking into account the historic credit performance of securitisation transactions in the Union and the reduced model and agency risks of the securitisation framework.

Article 506e

Recognition of capped or floored unfunded credit protection

• (a) the conditions that guarantees featuring caps or floors determined at the level of a portfolio of exposures (‘portfolio guarantees’) need to meet to qualify as a securitisation;

• (b) the regulatory treatment applicable under Part Three, Title II, Chapter 4, to portfolio guarantees where those do not qualify as a securitisation;

• (c) the application of the requirements set out in Part Three, Title II, Chapter 5, of this Regulation and in Chapter 2 of Regulation (EU) 2017/2402 for portfolio guarantees where those guarantees qualify as a securitisation;

• (d) the application of Article 234 for single guarantees that lead to tranching.

• (a) in relation to paragraph 1, point (a), the conditions under which portfolio guarantees give rise to a tranched transfer of risk;

• (b) in relation to paragraph 1, point (b):
• (i) the relevant eligibility criteria of portfolio guarantees under Part Three, Title II, Chapter 4;
• (ii) the application of the requirements set out in Part Three, Title II, Chapter 4;

- (c) in relation to paragraph 1, point (d), the application of the requirements set out in Chapter 2 of Regulation (EU) 2017/2402 and in Part Three, Title II, Chapter 5, of this Regulation.

On the basis of that report, the Commission shall, where appropriate, submit to the European Parliament and to the Council a legislative proposal by 31 December 2027.

Article 506f

Prudential treatment of securities financing transactions

By 10 July 2026, EBA shall report to the Commission on the impact of the new framework for securities financing transactions in terms of own funds requirements attributed to the corresponding securities financing transactions which are by nature very short-term activities, with a particular focus on its possible impact on sovereign debt markets in terms of market making capacity and cost.

EBA shall assess whether a recalibration of the associated risk weights in the standardised approach is appropriate, given the associated risks with respect to short-term maturities, specifically for residual maturities below one year.

On the basis of that report, the Commission shall, where appropriate, submit to the European Parliament and to the Council a legislative proposal by 31 December 2027.

Article 507

Large exposures

• (a) the number of large exposures exempted in each Member State;

• (b) the number of institutions that make use of the exemption in each Member State;

- (c) the aggregate amount of exposures exempted in each Member State.

Article 508

Level of application

Article 509

Liquidity requirements

The report referred to in the first subparagraph shall take due account of markets and international regulatory developments as well as of the interactions of the liquidity coverage requirement with other prudential requirements under this Regulation such as the risk-based capital ratios as set out in Article 92 and the leverage ratio.

The European Parliament and the Council shall be given the opportunity to state their views on the report referred to in the first subparagraph.

• (a) the provision of mechanisms restricting the value of liquidity inflows, in particular with a view to determining an appropriate inflow cap and the conditions for its application, taking into account different business models including pass through financing, factoring, leasing, covered bonds, mortgages, issuance of covered bonds, and the extent to which that cap should be amended or removed to cater for the specificities of specialised financing;

• (b) the calibration of inflows and outflows referred to in Part Six, Title II, in particular under Article 422(7) and Article 425(2);

• (c) the provision of mechanisms restricting the coverage of liquidity requirements by certain categories of liquid assets, in particular assessing the appropriate minimum percentage for liquid assets referred to in points (a), (b) and (c) of Article 416(1) to the total of liquid assets, testing a threshold of 60 % and taking into account international regulatory developments. Assets owed and due or callable within 30 calendar days should not count towards the limit unless the assets have been obtained against collateral that also qualifies under points (a), (b) and (c) of Article 416(1);

• (d) the provision of specific lower outflow and/or higher inflow rates for intragroup flows, specifying under which conditions such specific in- or outflow rates would be justified from a prudential point of view and setting out the high level outline of a methodology using objective criteria and parameters in order to determine specific levels of inflows and outflows between the institution and the counterparty when they are not established in the same Member State;

• (e) the calibration of the draw-down rates applicable to the undrawn committed credit and liquidity facilities that fall under Article 424(3) and (5). In particular, EBA shall test a draw-down rate of 100 %;

• (f) the definition of retail deposit in point (2) of Article 411, in particular the appropriateness of introducing a threshold on deposits of natural persons;

• (g) the need to introduce a new retail deposit category with a lower outflow in the light of the specific characteristics of such deposits that could justify a lower outflow rate and taking into account international developments;

• (h) derogations from requirements on the composition of the liquid assets institutions will be required to hold, where in a given currency the institutions' collective justified needs for liquid assets are exceeding the availability of those liquid assets and conditions to which such derogations should be subject;

• (i) the definition of Shari'ah-compliant financial products as an alternative to assets that would qualify as liquid assets for the purposes of Article 416, for the use of Shari'ah-compliant banks;

• (j) the definition of circumstances of stress, including principles for the use of the stock of liquid assets and the necessary supervisory reactions under which institutions would be able to use their liquid assets to meet liquidity outflows and how to address non-compliance;

• (k) the definition of an established operational relationship for non-financial customer as referred to in Article 422(3)(c);

• (l) the calibration of the outflow rate applicable to correspondent banking and prime brokerage services as referred to in the first subparagraph of Article 422(4);

• (m) mechanisms for the grandfathering of government guaranteed bonds issued to credit institutions as part of government support measures with Union State aid approval, such as bonds issued by the National Asset Management Agency (NAMA) in Ireland and by the Spanish Asset Management Company in Spain, designed to remove problem assets from the balance sheets of credit institutions, as assets of extremely high liquidity and credit quality until at least December 2023.

The European Parliament and the Council shall be given the opportunity to state their views on that report.

The report referred to in the first subparagraph shall also consider:

• (a) other categories of assets, in particular residential mortgage-backed securities of high liquidity and credit quality;

• (b) other categories of central bank eligible securities or loans, such as local government bonds and commercial paper; and

• (c) other non-central bank eligible but tradable assets, such as equities listed on a recognised exchange, gold, major index linked equity instruments, guaranteed bonds, covered bonds, corporate bonds and funds based on those assets.

EBA shall in particular test the adequacy of the following criteria and the appropriate levels for such definitions:

• (a) minimum trade volume of the assets;

• (b) minimum outstanding volume of the assets;

• (c) transparent pricing and post-trade information;

• (d) credit quality steps referred to in Part Three, Title II, Chapter 2;

• (e) proven record of price stability;

• (f) average volume traded and average trade size;

• (g) maximum bid/ask spread;

• (h) remaining time to maturity;

• (i) minimum turnover ratio.

• (a) uniform definitions of high and extremely high liquidity and credit quality;

- (b) the possible unintended consequences of the definition of liquid assets on the conduct of monetary policy operation and the extent to which:

• (i) a list of liquid assets that is disconnected from the list of central bank eligible assets may incentivise institutions to submit eligible assets which are not included in the definition of liquid assets in refinancing operations;
• (ii) regulation of liquidity may disincentivise institutions from lending or borrowing on the unsecured money market and whether this may lead to question the targeting of EONIA in monetary policy implementation;
• (iii) the introduction of the liquidity coverage requirement may make it more difficult for central banks to ensure price stability by using the existing monetary policy framework and instruments;

• (c) the operational requirements for the holdings of liquid assets, as referred in points (b) to (f) of Article 417, in line with international regulatory developments.

Article 510

Net Stable Funding Requirements

• (a) the categories and weightings applied to sources of stable funding in Article 427(1);

• (b) the categories and weightings applied to determine the requirement for stable funding in Article 428(1);

• (c) methodologies shall provide incentives and disincentives as appropriate to encourage a more stable longer term funding of assets, business activities, investment and funding of institutions;

• (d) the need to develop different methodologies for different types of institutions.

• (a) the opportunity to distinguish between margined and unmargined derivative contracts;

• (b) the opportunity to remove, increase or replace the requirement set out in Articles 428s(2) and 428at(2);

• (c) the opportunity to change more broadly the treatment of derivative contracts in the calculation of the net stable funding ratio, as set out in Article 428d, Articles 428k(4) and 428s(2), points (a) and (b) of Article 428ag, Articles 428ah(2), 428al(4) and 428at(2), points (a) and (b) of Article 428ay and Article 428az(2), to better capture the funding risk linked to those contracts over the one-year horizon of the net stable funding ratio;

• (d) the impact of the proposed changes on the amount of stable funding required for institutions' derivative contracts.

• (a) the opportunity to apply higher or lower stable funding factors to securities financing transactions with financial customers and to unsecured transactions with a residual maturity of less than six months with financial customers to take better account of their funding risk over the one-year horizon of the net stable funding ratio and of the possible contagion effects between financial customers;

• (b) the opportunity to apply the treatment set out in point (g) of Article 428r(1) to securities financing transactions collateralised by other types of assets;

• (c) the opportunity to apply stable funding factors to off-balance-sheet items used in securities financing transactions as an alternative to the treatment set out in Article 428p(5);

• (d) the adequacy of the asymmetric treatment between liabilities with a residual maturity of less than six months provided by financial customers that are subject to a 0 % available stable funding factor in accordance with Article 428k(3), point (c), and assets resulting from transactions with a residual maturity of less than six months with financial customers that are subject to a 0 %, 5 % or 10 % required stable funding factor in accordance with Article 428r(1), point (g), Article 428s(1), point (b), and Article 428v, point (a);

• (e) the impact of the introduction of higher or lower required stable funding factors for securities financing transactions, in particular with a residual maturity of less than six months, with financial customers, on:
• (i) the price structure of those transactions; and
• (ii) the market liquidity of assets received as collateral in those transactions, in particular of sovereign and corporate bonds;

• (f) the impact of the proposed changes on the amount of stable funding required for those institutions' transactions, in particular for securities financing transactions with a residual maturity of less than six months with financial customers where sovereign bonds are received as collateral in those transactions.

• (a) the possible impact of the treatment on investors' ability to gain exposure to assets and the impact of the treatment on credit supply in the capital markets union;

• (b) the opportunity to apply adjusted stable funding requirements to securities that are held to hedge derivatives which are funded by initial margin, either wholly or in part;

• (c) the opportunity to apply adjusted stable funding requirements to securities that are held to hedge derivatives which are not funded by initial margin.

10. By 28 June 2023 or a year after an agreement on international standards that is developed by the BCBS, whichever is the earliest, the Commission shall, where appropriate and taking into account the report referred to in paragraph 9, any international standards developed by the BCBS, the diversity of the banking sector in the Union and the aims of the capital markets union, submit a legislative proposal to the European Parliament and to the Council on how to amend the provisions regarding the treatment of institutions' holdings of securities to hedge derivative contracts for the calculation of the net stable funding ratio as set out in Title IV of Part Six where it considers it appropriate regarding the impact of the existing treatment on institutions' net stable funding ratio and to take better account of the funding risk linked to those transactions.

Article 511

Leverage

• (a) it is appropriate to introduce a leverage ratio surcharge for O-SIIs; and

- (b) the definition and calculation of the total exposure measure referred to in Article 429(4), including the treatment of central bank reserves, is appropriate.

Article 512

Exposures to transferred credit risk

By 31 December 2014, the Commission shall report to the European Parliament and the Council on the application and effectiveness of the provisions of Part Five in the light of international market developments.

Article 513

Macroprudential rules

• (a) whether the current macroprudential tools in this Regulation and in Directive 2013/36/EU are effective, efficient and transparent;

• (b) whether the coverage and the possible degrees of overlap between different macroprudential tools for targeting similar risks in this Regulation and in Directive 2013/36/EU are adequate and, if appropriate, propose new macroprudential rules;

• (c) how internationally agreed standards for systemic institutions interact with the provisions in this Regulation and in Directive 2013/36/EU and, if appropriate, propose new rules taking into account those internationally agreed standards;

• (d) whether other types of instruments, such as borrower-based instruments, should be added to the macroprudential tools provided for in this Regulation and in Directive 2013/36/EU to complement capital-based instruments and to allow for the harmonised use of the instruments in the internal market; taking into account whether harmonised definitions of those instruments and the reporting of respective data at Union level are a prerequisite for the introduction of such instruments;

• (e) whether the leverage ratio buffer requirement as referred to in Article 92(1a) should be extended to systemically important institutions other than G-SIIs, whether its calibration should be different from the calibration for G-SIIs, and whether its calibration should depend on the level of systemic importance of the institution;

• (f) whether the current voluntary reciprocity of macroprudnetial measures should be turned into mandatory reciprocity and whether the current ESRB framework for voluntary reciprocity is an appropriate basis for that;

- (g) how relevant Union and national macroprudential authorities can be mandated with tools to address new emerging systemic risks arising from credit institutions exposures to the non-banking sector, in particular from derivatives and securities financing transactions markets, the asset management sector and the insurance sector.

Article 514

Method for the calculation of the exposure value of derivative transactions

1. EBA shall, by 28 June 2023, report to the Commission on the impact and the relative calibration of the approaches set out in Sections 3, 4 and 5 of Chapter 6 of Title II of Part Three to calculate the exposure values of derivative transactions.

Article 515

Monitoring and evaluation

2. EBA shall monitor and evaluate the operation of the provisions for own funds requirements for exposures to a central counterparty as set out in Section 9 of Chapter 6 of Title II of Part Three. By 1 January 2015 EBA shall report to the Commission on the impact and effectiveness of such provisions.

Article 516

Long-term financing

By 31 December 2015, the Commission shall report on the impact of this Regulation on the encouragement of long-term investments in growth promoting infrastructure.

Article 517

Definition of eligible capital

By 31 December 2014, the Commission shall review, and report on, the appropriateness of the definition of eligible capital being applied for the purposes of Title III of Part Two and Part Four and shall submit that report to the European Parliament and the Council, and, if appropriate, a legislative proposal.

Article 518

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

By 31 December 2015, the Commission shall review, and report on, whether this Regulation should contain a requirement that Additional Tier 1 or Tier 2 capital instruments are to be written down in the event of a determination that an institution is no longer viable. The Commission shall submit that report to the European Parliament and the Council, together with a legislative proposal, if appropriate.

Article 518a

Review of cross-default provisions

By 28 June 2022, the Commission shall review and assess whether it is appropriate to require that eligible liabilities may be bailed-in without triggering cross-default clauses in other contracts, with a view to reinforcing as much as possible the effectiveness of the bail-in tool and to assessing whether a no-cross-default provision referring to eligible liabilities should be included in the terms or contracts governing other liabilities. Where appropriate, that review and assessment shall be accompanied by a legislative proposal.

Article 518b

Report on overshootings and supervisory powers to limit distributions

By 31 December 2021, the Commission shall report to the European Parliament and to the Council on whether exceptional circumstances that trigger serious economic disturbance in the orderly functioning and integrity of financial markets justify:

• (a) during such periods, permitting competent authorities to exclude from institutions’ market risk internal models overshootings that do not result from deficiencies in those models;

- (b) during such periods, granting additional binding powers to competent authorities to impose restrictions on distributions by institutions.

The Commission shall consider further measures, if appropriate.

Article 518c

Review of the framework for prudential requirements

By 31 December 2028, the Commission shall assess the overall situation of the banking system in the single market, in close cooperation with EBA and the ECB, and report to the European Parliament and to the Council on the appropriateness of the Union regulatory and supervisory frameworks for banking.

That report shall take stock of the reforms to the banking sector which took place after the great financial crisis and assess whether these ensure an adequate level of depositor protection and safeguard financial stability at Member State, banking union and Union level.

That report shall also consider all banking union dimensions, as well as the implementation of the output floor as part of capital and liquidity requirements more generally. In that regard, the Commission shall duly consider the corresponding statements and conclusions on the banking union of both the European Parliament and the European Council.

Article 519

Deduction of defined benefit pension fund assets from Common Equity Tier 1 items

By 30 June 2014, EBA shall prepare a report on whether the revised IAS 19 in conjunction with the deduction of net pension assets as set out in Article 36(1)(e) and changes in the net pension liabilities lead to undue volatility of institutions' own funds.

Taking into account the EBA report, the Commission shall by, 31 December 2014 prepare a report for the European Parliament and the Council on the issue referred to in the first paragraph, together with a legislative proposal, if appropriate, to introduce a treatment which adjusts defined net benefit pension fund assets or liabilities for the calculation of own funds.

Article 519a

Reporting and review

By 1 January 2022, the Commission shall report to the European Parliament and the Council on the application of the provisions in Chapter 5 of Title II of Part Three in the light of developments in securitisation markets, including from a macroprudential and economic perspective. That report shall, if appropriate, be accompanied by a legislative proposal and shall, in particular, assess the following points:

• (a) the impact of the hierarchy of methods set out in Article 254 and of the calculation of the risk-weighted exposure amounts of securitisation positions set out in Articles 258 to 266 on issuance and investment activity by institutions in securitisation markets in the Union;

• (b) the effects on the financial stability of the Union and Member States, with a particular focus on potential immovable property market speculation and increased interconnection between financial institutions;

• (c) what measures would be warranted to reduce and counter any negative effects of securitisation on financial stability while preserving its positive effect on financing, including the possible introduction of a maximum limit on exposure to securitisations; and

• (d) the effects on the ability of financial institutions to provide a sustainable and stable funding channel to the real economy, with particular attention to SMEs; and

- (e) how environmental sustainability criteria could be integrated into the securitisation framework, including for exposures to NPE securitisations.

The report shall also take into account regulatory developments in international fora, in particular those relating to international standards on securitisation.

Article 519b

Own funds requirements for market risk

1. By 30 September 2019, EBA shall report on the impact, on institutions in the Union, of international standards to calculate the own funds requirements for market risk.

2. By 30 June 2020, the Commission shall, taking into account the results of the report referred to in paragraph 1 and the international standards and the approaches set out in Chapters 1a and 1b of Title IV of Part Three, submit a report together with a legislative proposal, where appropriate, to the European Parliament and to the Council on how to implement international standards on adequate own funds requirements for market risk.

TITLE IIA **IMPLEMENTATION OF RULES**

Article 519c

Compliance tool

- (a) rapidly identify the relevant provisions to comply with in relation to the institution's size and business model;

• (b) follow the changes made in legislative acts and in the related implementing provisions, guidelines and templates.

Article 519d

Minimum haircut floor framework for securities financing transactions

• (a) the degree of leverage outside the banking system in the Union and the extent to which the minimum haircut floor framework could reduce that leverage if it became excessive;

• (b) the materiality of the securities financing transactions held by institutions in the Union that are subject to the minimum haircut floor framework, including the breakdown of those securities financing transactions which do not comply with the minimum haircut floors;

• (c) the estimated impact of the minimum haircut floor framework for institutions in the Union under the two implementation approaches recommended by the Financial Stability Board, namely a market regulation or more punitive own funds requirement under this Regulation, under a scenario in which institutions in the Union would not adjust haircuts to their securities financing transactions to comply with minimum haircut floors, and the estimated impact of the minimum haircut floor framework under an alternative scenario in which institutions in the Union would adjust those haircuts to comply with minimum haircut floors;

• (d) the main drivers behind those estimated impacts, as well as the potential unintended consequences of introducing a minimum haircut floor framework on the functioning of the securities financing transaction markets in the Union;

- (e) the implementation approach that would be most effective in meeting the regulatory objectives of the minimum haircut floor framework in light of the considerations referred to in points (a) to (d) and taking into account the level playing field across the financial sector in the Union.

Article 519 e

Operational risk

By 10 January 2028, EBA shall report to the Commission on the following:

• (a) the use of insurance in the context of the calculation of the own funds requirement for operational risk;

• (b) whether the recognition of insurance recoveries might lead to regulatory arbitrage by reducing the annual operational risk loss without a commensurate reduction in the actual operational loss exposure;

• (c) whether the recognition of insurance recoveries has a different impact on the appropriate coverage of recurring losses and of potential tail losses;

- (d) the availability and quality of data used by institutions when calculating their own funds requirement for operational risk.

On the basis of that report, the Commission shall, where appropriate, submit to the European Parliament and to the Council a legislative proposal by 10 January 2029.

Article 519f

Proportionality

EBA shall prepare a report assessing the overall prudential framework for small and non-complex institutions, in particular:

• (a) assessing those requirements also in relation to banking groups and specific business models;

• (b) taking into account the relevance of small and non-complex institutions at institution level and by region for maintaining financial stability and credit provision in local communities.

In considering options for changes in the prudential framework, EBA shall base itself on the overarching principle that any simplified requirements are to be more conservative.

EBA shall submit that report to the Commission by 31 December 2027.

TITLE III AMENDMENTS

Article 520

Amendment of Regulation (EU) No 648/2012

Regulation (EU) No 648/2012 is amended as follows:

• (1) the following Chapter is added in Title IV: ‘CHAPTER 4 Calculations and reporting for the purposes of Regulation (EU) No 575/2013

Article 50a

Calculation of KCCP

Image omitted; see official source where: EBRMi = exposure value before risk mitigation that is equal to the exposure value of the CCP to clearing member i arising from all the contracts and transactions with that clearing member, calculated without taking into account the collateral posted by that clearing member; IMi = the initial margin posted to the CCP by clearing member i; DFi = the pre-funded contribution of clearing member i; RW = a risk weight of 20 %; capital ratio = 8 %. All values in the formula in the first subparagraph shall relate to the valuation at the end of the day before the margin called on the final margin call of that day is exchanged.

(a) the frequency and dates of the calculation laid down in paragraph 2; (b) the situations in which the competent authority of an institution acting as a clearing member may require higher frequencies of calculation and reporting than those referred to in point (a). EBA shall submit those draft implementing technical standards to the Commission by 1 January 2014. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010.

Article 50b

General rules for the calculation of KCCP For the purposes of the calculation laid down in Article 50a(2), the following shall apply: - (a) a CCP shall calculate the value of the exposures it has to its clearing members as follows: - (i) for exposures arising from contracts and transactions listed in Article 301(1)(a) and (d) of Regulation (EU) No 575/2013 it shall calculate them in accordance with the mark-to-market method laid down in Article 274 thereof; - (ii) for exposures arising from contracts and transactions listed in Article 301(1)(b), (c) and (e) of Regulation (EU) No 575/2013 it shall calculate them in accordance with the Financial Collateral Comprehensive Method specified in Article 223 of that Regulation with supervisory volatility adjustments, specified in Articles 223 and 224 of that Regulation. The exception set out in point (a) of Article 285(3) of that Regulation, shall not apply; - (iii) for exposures arising from transactions not listed in Article 301(1) of Regulation (EU) No 575/2013 and which entails settlement risk only it shall calculate them in accordance with Part Three, Title V of that Regulation; - (b) for institutions that fall under the scope of Regulation (EU) No 575/2013 the netting sets are the same as those defined in Part Three, Title II of that Regulation; - (c) when calculating the values referred to in point (a), the CCP shall subtract from its exposures the collateral posted by its clearing members, appropriately reduced by the supervisory volatility adjustments in accordance with the Financial Collateral Comprehensive Method specified in Article 224 of Regulation (EU) No 575/2013; - (e) where a CCP has exposures to one or more CCPs it shall treat any such exposures as if they were exposures to clearing members and include any margin or pre-funded contributions received from those CCPs in the calculation of KCCP; - (f) where a CCP has in place a binding contractual arrangement with its clearing members that allows it to use all or part of the initial margin received from its clearing members as if they were pre-funded contributions, the CCP shall consider that initial margin as prefunded contributions for the purposes of the calculation in paragraph 1 and not as initial margin; - (h) when applying the Mark-to-Market Method as set out in Article 274 of Regulation (EU) No 575/2013, a CCP shall replace the formula in point (c)(ii) of Article 298(1) of that Regulation with the following: Image omitted; see official source where the numerator of NGR is calculated in accordance with Article 274(1) of that Regulation and just before the variation margin is actually exchanged at the end of the settlement period, and the denominator is gross replacement cost; - (i) where a CCP cannot calculate the value of NGR as set out in point (c)(ii) of Article 298(1) of Regulation (EU) No 575/2013, it shall: - (i) notify those of its clearing members which are institutions and their competent authorities about its inability to calculate NGR and the reasons why it is unable to carry out the calculation; - (ii) for a period of three months, it may use a value of NGR of 0,3 to perform the calculation of PCEred specified in point (h) of this Article; - (j) where, at the end of the period specified in point (ii) of point (i), the CCP would still be unable to calculate the value of NGR, it shall do the following: - (i) stop calculating KCCP; - (ii) notify those of its clearing members which are institutions and their competent authorities that it has stopped calculating KCCP; - (k) Image omitted; see official source - (l) where a CCP has more than one default fund, it shall carry out the calculation laid down in Article 50a(2) for each default fund separately.

Article 50c

Reporting of information

(a) the hypothetical capital (KCCP); (b) the sum of pre-funded contributions (DFCM); (c) the amount of its pre-funded financial resources that it is required to use — by law or due to a contractual agreement with its clearing members — to cover its losses following the default of one or more of its clearing members before using the default fund contributions of the remaining clearing members (DFCCP); (d) the total number of its clearing members (N); (e) the concentration factor (β), as set out in Article 50d. Where the CCP has more than one default fund, it shall report the information in the first subparagraph for each default fund separately.

(a) the uniform template for the purpose of the reporting specified in paragraph 1; (b) the frequency and dates of the reporting specified in paragraph 2; (c) the situations in which the competent authority of an institution acting as a clearing member may require higher frequencies of reporting than those referred to in point (b). EBA shall submit those draft implementing technical standards to the Commission by 1 January 2014. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1093/2010.

Article 50d

Calculation of specific items to be reported by the CCP For the purposes of Article 50c, the following shall apply: - (a) where the rules of a CCP provide that it use part or all of its financial resources in parallel to the pre-funded contributions of its clearing members in a manner that makes those resources equivalent to pre-funded contributions of a clearing member in terms of how they absorb the losses incurred by the CCP in the case of the default or insolvency of one or more of its clearing members, the CCP shall add the corresponding amount of those resources to DFCM; - (b) Image omitted; see official source Image omitted; see official source - (c) a CCP shall calculate the concentration factor (β) in accordance with the following formula: Image omitted; see official source where: PCEred,i = the reduced figure for potential future credit exposure for all contracts and transaction of a CCP with clearing member i; PCEred,1 = the reduced figure for potential future credit exposure for all contracts and transaction of a CCP with the clearing member that has the largest PCEred value; PCEred,2 = the reduced figure for potential future credit exposure for all contracts and transaction of a CCP with the clearing member that has the second largest PCEred value.

- (2) in Article 11(15), point (b) is deleted;

• (3) in Article 89, the following paragraph is inserted: ‘5a. Until 15 months after the date of entry into force of the latest of the regulatory technical standards referred to in Articles 16, 25, 26, 29, 34, 41, 42, 44, 45, 47 and 49, or until a decision is made under Article 14 on the authorisation of the CCP, whichever is earlier, that CCP shall apply the treatment specified in the third subparagraph of this paragraph. Until 15 months after the date of entry into force of the latest of the regulatory technical standards referred to in Articles 16, 26, 29, 34, 41, 42, 44, 45, 47 and 49, or until a decision is made under Article 25 on the recognition of the CCP, whichever is earlier, that CCP shall apply the treatment specified in the third subparagraph of this paragraph. Until the deadlines defined in the first two subparagraphs of this paragraph, and subject to the fourth subparagraph of this paragraph, where a CCP neither has a default fund nor has in place a binding arrangement with its clearing members that allows it to use all or part of the initial margin received from its clearing members as if they were pre-funded contributions, the information it is to report in accordance with Article 50c(1) shall include the total amount of initial margin it has received from its clearing members. The deadlines referred to in the first and second subparagraphs of this paragraph may be extended by six months in accordance with a Commission implementing act adopted pursuant to Article 497(3) of Regulation (EU) No 575/2013.’

Article 520a

Application of own funds requirements for market risk

Until 1 January 2027, institutions shall continue to apply Part Three, Title IV, and the market risk requirements of Articles 430, 430b, 445 and 455 of this Regulation in the version in force on 8 July 2024.

PART ELEVEN

FINAL PROVISIONS

Article 521

Entry into force and date of application

• (a) Article 8(3), Article 21 and Article 451(1), which shall apply from 1 January 2015;

• (b) Article 413(1), which shall apply from 1 January 2016;

- (c) the provisions of this Regulation that require the ESAs to submit to the Commission draft technical standards and the provisions of this Regulation that empower the Commission to adopt delegated acts or implementing acts, which shall apply from 28 June 2013.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

ANNEX I

Classification of off-balance-sheet items

Bucket	Items
1	(a) Credit derivatives and general guarantees of indebtedness, including standby letters of credit serving as financial guarantees for loans and securities, and acceptances, including endorsements with the character of acceptances, as well as any other direct credit substitutes; (b) Sale and repurchase agreements and asset sales with recourse where the credit risk remains with the institution; (c) Securities lent by the institution or securities posted by the institution as collateral, including instances where those arise out of repo-style transactions; (d) Forward asset purchases, forward deposits and partly paid shares and securities, which represent commitments with certain drawdown; (e) Off-balance-sheet items constituting a credit substitute where not explicitly included in any other category; (f) Other off-balance-sheet items carrying similar risk and as communicated to EBA.
2	(a) Note issuance facilities (NIFs) and revolving underwriting facilities (RUFs) regardless of the maturity of the underlying facility; (b) Performance bonds, bid bonds, warranties and standby letters of credit related to particular transactions and similar transaction-related contingent items, excluding trade finance off-balance-sheet items referred to in bucket 4; (c) Other off-balance-sheet items carrying similar risk, as communicated to EBA.
3	(a) The undrawn amount of commitments, regardless of the maturity of the underlying facility, unless they fall under another category; (b) Other off-balance-sheet items carrying similar risk, as communicated to EBA.
4	(a) Trade finance off-balance-sheet items: (i) warranties, including tender and performance bonds and associated advance payment and retention guarantees, and guarantees not having the character of credit substitutes; (ii) irrevocable standby letters of credit not having the character of credit substitutes; (iii) short-term, self-liquidating trade letters of credit arising from the movement of goods, in particular documentary credits collateralised by the underlying shipment, in case of an issuing institution or a confirming institution; (b) Other off-balance-sheet items carrying similar risk, as communicated to EBA.
5	(a) The undrawn amount of unconditionally cancellable commitments; (b) The undrawn amount of retail credit lines for which the terms permit the institution to cancel them to the full extent allowable under consumer protection and related legal acts; (c) Undrawn credit facilities for tender and performance guarantees which may be cancelled unconditionally at any time without prior notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness; (d) Other off-balance-sheet items carrying similar risk, as communicated to EBA.

ANNEX II

Types of derivatives

• 1.Interest-rate contracts:

• (a) single-currency interest rate swaps;

• (b) basis-swaps;

• (c) forward rate agreements;

• (d) interest-rate futures;

• (e) interest-rate options;

• (f) other contracts of similar nature.

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

• (a) cross-currency interest-rate swaps;

• (b) forward foreign-exchange contracts;

• (c) currency futures;

• (d) currency options;

• (e) other contracts of a similar nature;

- (f) contracts of a nature similar to (a) to (e) concerning gold.

• 3.Contracts of a nature similar to those in points 1(a) to (e) and 2(a) to (d) of this Annex concerning other reference items or indices. This includes as a minimum all instruments specified in points (4) to (7), (9), (10) and (11) of Section C of Annex I to Directive 2014/65/EU not otherwise included in point 1 or 2 of this Annex.

ANNEX III

Items subject to supplementary reporting of liquid assets

• 1.Cash.

• 2.Central bank exposures, to the extent that these exposures can be drawn down in times of stress.

• 3.Transferable securities representing claims on or claims guaranteed by sovereigns, central banks, non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities, the Bank for International Settlements, the International Monetary Fund, the European Union, the European Financial Stability Facility, the European Stability Mechanism or multilateral development banks and satisfying all of the following conditions:

• (a) they are assigned a 0 % risk-weight under Chapter 2, Title II of Part Three;

• (b) they are not an obligation of an institution or investment firm or any of its affiliated entities.

• 4.Transferable securities other than those referred to in point 3 representing claims on or claims guaranteed by sovereigns or central banks issued in domestic currencies by the sovereign or central bank in the currency and country in which the liquidity risk is being taken or issued in foreign currencies, to the extent that holding of such debt matches the liquidity needs of the bank's operations in that third country.

• 5.Transferable securities representing claims on or claims guaranteed by sovereigns, central banks, non-central government public sector entities, regions with fiscal autonomy to raise and collect taxes and local authorities, or multilateral development banks and satisfying all of the following conditions:

• (a) they are assigned a 20 % risk-weight under Chapter 2, Title II of Part Three;

• (b) they are not an obligation of an institution or investment firm or any of its affiliated entities.

• 6.Transferable securities other than those referred to in points 3, 4 and 5 that qualify for a 20 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and fulfil any of the following conditions:

• (a) they do not represent a claim on an SSPE, an institution or investment firm or any of its affiliated entities;

• (b) they are bonds eligible for the treatment set out in Article 129(4) or (5);

• (c) they are covered bonds as defined in point (1) of Article 3 of Directive (EU) 2019/2162 other than those referred to in point (b) of this point.

• 7.Transferable securities other than those referred to in points 3 to 6 that qualify for a 50 % or better risk weight under Chapter 2 of Title II of Part Three or are internally rated as having an equivalent credit quality, and do not represent a claim on an SSPE, an institution or investment firm or any of its affiliated entities.

• 8.Transferable securities other than those referred to in points 3 to 7 that are collateralised by assets that qualify for a 35 % or better risk weight under Chapter 2, Title II of Part Three or are internally rated as having an equivalent credit quality, and are fully and completely secured by mortgages on residential property in accordance with Article 125.

• 9.Standby credit facilities granted by central banks within the scope of monetary policy to the extent that these facilities are not collateralised by liquid assets and excluding emergency liquidity assistance.

• 10.Legal or statutory minimum deposits with the central credit institution and other statutory or contractually available liquid funding from the central credit institution or institutions that are members of the network referred to in Article 113(7), or eligible for the waiver provided in Article 10, to the extent that this funding is not collateralised by liquid assets, if the credit institution belongs to a network in accordance with legal or statutory provisions.

• 11.Exchange traded, centrally cleared common equity shares that are a constituent of a major stock index, denominated in the domestic currency of the Member State and not issued by an institution or investment firm or any of its affiliates.

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

• All items with the exception of those referred to in points 1, 2 and 9 must satisfy all of the following conditions:

• (a) they are traded in simple repurchase agreements or cash markets characterised by a low level of concentration;

- (b) they have a proven record as a reliable source of liquidity by either repurchase agreement or sale even during stressed market conditions;

• (c) they are unencumbered.

ANNEX IV

Correlation table