LegalizeCommission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| Amount | Percentage | Qualitative information | ||
| 0010 | 0020 | 0030 | ||
| Relevant credit exposures - Credit Risk | Relevant credit exposures - Credit Risk | |||
| 0010 | Exposure value under the Standardised Approach | |||
| 0020 | Exposure value under the IRB Approach | |||
| Relevant credit exposures – Market risk | Relevant credit exposures – Market risk | |||
| 0030 | Sum of long and short positions of trading book exposures for standardised approaches | |||
| 0040 | Value of trading book exposures for internal models | |||
| Relevant credit exposures – Securitisation | Relevant credit exposures – Securitisation | |||
| 0055 | Exposure value of securitisation positions in the banking book | |||
| Own funds requirements and weights | Own funds requirements and weights | |||
| 0070 | Total own funds requirements for CCB | |||
| 0080 | Own funds requirements for relevant credit exposures – Credit risk | |||
| 0090 | Own funds requirements for relevant credit exposures – Market risk | |||
| 0100 | Own funds requirements for relevant credit exposures – Securitisation positions in the banking book | |||
| 0110 | Own funds requirements weights | |||
| Countercyclical capital buffer rates | Countercyclical capital buffer rates | |||
| 0120 | Countercyclical capital buffer rate set by the Designated Authority | |||
| 0130 | Countercyclical capital buffer rate applicable for the country of the institution | |||
| 0140 | Institution-specific countercyclical capital buffer rate | |||
| Use of 2 % threshold | Use of 2 % threshold | |||
| 0150 | Use of 2 % threshold for general credit exposure | |||
| 0160 | Use of 2 % threshold for trading book exposure |
C 10.01 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS (CR EQU IRB 1)
| INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: | |||
| INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | UNFUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPOSURE VALUE | OF WHICH: OFF BALANCE SHEET ITEMS | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | EXPECTED LOSS AMOUNT | ||
| PD ASSIGNED TO THE OBLIGOR GRADE (%) | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | EXPOSURE VALUE | OF WHICH: OFF BALANCE SHEET ITEMS | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | EXPECTED LOSS AMOUNT | ||
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0061 | 0070 | 0080 | 0090 | ||
| 0010 | TOTAL IRB EQUITY EXPOSURES | Cell linked to CA | |||||||||
| 0020 | PD/LGD APRROACH: TOTAL | ||||||||||
| 0050 | SIMPLE RISK WEIGHT APPROACH: TOTAL | ||||||||||
| 0060 | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: | BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APRROACH BY RISK WEIGHTS: |
| 0070 | RISK WEIGHT: 190 % | ||||||||||
| 0080 | 290 % | ||||||||||
| 0090 | 370 % | ||||||||||
| 0100 | INTERNAL MODELS APPROACH | ||||||||||
| 0110 | EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS | ||||||||||
| 0120 | CIU EXPOSURES SUBJECT TO THE FALL-BACK APPROACH |
C 10.02 - CREDIT RISK: EQUITY - IRB APPROACHES TO CAPITAL REQUIREMENTS. BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES (CR EQU IRB 2)
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | MEMORANDUM ITEM: |
|---|---|---|---|---|---|---|---|---|---|
| OBLIGOR GRADE (ROW IDENTIFIER) | INTERNAL RATING SCALE | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | UNFUNDED CREDIT PROTECTION | UNFUNDED CREDIT PROTECTION | SUBSTITUTION OF THE EXPOSURE DUE TO CRM | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | EXPECTED LOSS AMOUNT |
| OBLIGOR GRADE (ROW IDENTIFIER) | PD ASSIGNED TO THE OBLIGOR GRADE (%) | ORIGINAL EXPOSURE PRE CONVERSION FACTORS | (-) GUARANTEES | (-) CREDIT DERIVATIVES | (-) TOTAL OUTFLOWS | EXPOSURE VALUE | EXPOSURE WEIGHTED AVERAGE LGD (%) | RISK WEIGHTED EXPOSURE AMOUNT | EXPECTED LOSS AMOUNT |
| 0005 | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 |
C 11.00 - SETTLEMENT/DELIVERY RISK (CR SETT)
| UNSETTLED TRANSACTIONS AT SETTLEMENT PRICE | PRICE DIFFERENCE EXPOSURE DUE TO UNSETTLED TRANSACTIONS | OWN FUNDS REQUIREMENTS | TOTAL SETTLEMENT RISK EXPOSURE AMOUNT | ||
| 0010 | 0020 | 0030 | 0040 | ||
| 0010 | Total unsettled transactions in the Non-trading Book | Cell linked to CA | |||
| 0020 | Transactions unsettled up to 4 days (Factor 0%) | ||||
| 0030 | Transactions unsettled between 5 and 15 days (Factor 8%) | ||||
| 0040 | Transactions unsettled between 16 and 30 days (Factor 50%) | ||||
| 0050 | Transactions unsettled between 31 and 45 days (Factor 75%) | ||||
| 0060 | Transactions unsettled for 46 days or more (Factor 100%) | ||||
| 0070 | Total unsettled transactions in the Trading Book | Cell linked to CA | |||
| 0080 | Transactions unsettled up to 4 days (Factor 0%) | ||||
| 0090 | Transactions unsettled between 5 and 15 days (Factor 8%) | ||||
| 0100 | Transactions unsettled between 16 and 30 days (Factor 50%) | ||||
| 0110 | Transactions unsettled between 31 and 45 days (Factor 75%) | ||||
| 0120 | Transactions unsettled for 46 days or more (Factor 100%) |
C 13.01 - CREDIT RISK: SECURITISATIONS (CR SEC)
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