What changed, Directive 2006/48/EC

− The Member States shall provide that the activities listed in Annex I may be carried on within their territories, in accordance with Articles 25, 26(1) to (3), 28(1) and (2) and 29 to 37, either by the establishment of a branch or by way of the provision of services, by any financial institution fro…
− 8. The risks arising from securitisation transactions in relation to which the credit institutions are originator or sponsor shall be evaluated and addressed through appropriate policies and procedures, to ensure in particular that the economic substance of the transaction is fully reflected in the …
− 29. Exposures to institutions with an original effective maturity of more than three months for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 4 in accordance with the assignment by the competent authorities of the credit assessments of …
− 31. Exposures to an institution with an original effective maturity of three months or less for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 5 in accordance with the assignment by the competent authorities of the credit assessments of …
− 14. **SHORT-TERM EXPOSURES TO INSTITUTIONS AND CORPORATES**
− 73. Short-term exposures to an institution or corporate for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 7 as follows, in accordance with the mapping by the competent authorities of the credit assessments of eligible ECAIs to six steps…
− 25. The risk weighted exposure amount shall be the potential loss on the credit institution's equity exposures as derived using internal value-at-risk models subject to the 99th percentile, one-tailed confidence interval of the difference between quarterly returns and an appropriate risk-free rate c…
− 27. The risk weighted exposure amounts shall be calculated according to the formula:
− except for when the exposure is a residual value in which case it should be provisioned for each year and will be calculated as follows:
− where t is the number of years of the lease contract term.
− (c) For exposures arising from fully or nearly-fully collateralised derivative instruments (listed in Annex IV) transactions and fully or nearly-fully collateralised margin lending transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the…
− 96. The requirements in points 97 to 104 shall not apply for guarantees provided by institutions and central governments and central banks if the credit institution has received approval to apply the rules of Articles 78 to 83 for exposures to such entities. In this case the requirements of Articles…
− (a) the company providing the life insurance may be recognised as an eligible unfunded credit protection provider under Part 1, point 26;
− (b) the life insurance policy is openly pledged or assigned to the lending credit institution;
− (c) the company providing the life insurance is notified of the pledge or assignment and as a result may not pay amounts payable under the contract without the consent of the lending credit institution;
− (d) the declared surrender value of the policy is non-reducible;
− (e) the lending credit institution must have the right to cancel the policy and receive the surrender value in a timely way in the event of the default of the borrower;
− (f) the lending credit institution is informed of any non-payments under the policy by the policy-holder;
− (g) the credit protection must be provided for the maturity of the loan. Where this is not possible because the insurance relationship ends before the loan relationship expires, the credit institution must ensure that the amount deriving from the insurance contract serves the credit institution as s…
− (h) the pledge or assignment must be legally effective and enforceable in all jurisdictions which are relevant at the time of the conclusion of the credit agreement.
− 12. As an alternative to using the Supervisory volatility adjustments approach or the Own Estimates volatility adjustments approach in calculating the fully adjusted exposure value (E*) resulting from the application of an eligible master netting agreement covering repurchase transactions, securitie…
− Σ(E) is the sum of all Es under the agreement.
− Σ(C) is the sum of all Cs under the agreement.
− 24. The Financial Collateral Simple Method shall be available only where risk-weighted exposure amounts are calculated under Articles 78 to 83. A credit institution shall not use both the Financial Collateral Simple Method and the Financial Collateral Comprehensive Method.
− 26. The risk weight that would be assigned under Articles 78 to 83 if the lender had a direct exposure to the collateral instrument shall be assigned to those portions of claims collateralised by the market value of recognised collateral. The risk weight of the collateralised portion shall be a mini…
− E is the exposure value as would be determined under Articles 78 to 83 or Articles 84 to 89 as appropriate if the exposure was not collateralised. For this purpose, for credit institutions calculating risk-weighted exposure amounts under Articles 78 to 83, the exposure value of off-balance sheet ite…
− 69. Where the ratio of the value of the collateral (C) to the exposure value (E) is below a threshold level of C* (the required minimum collateralisation level for the exposure) as laid down in Table 5, LGD* shall be the LGD laid down in Annex VII for uncollateralised exposures to the counterparty.
− 75. The competent authorities, which do not authorise the treatment in point 73, may authorise credit institutions to assign the risk weights permitted under this treatment in respect of exposures collateralised by residential real estate property of commercial real estate property respectively loca…
− 80. Where the conditions set out in Part 2, point 13 are satisfied, credit protection falling within the terms of Part 1, point 24 may be treated as a guarantee by the company providing the life insurance. The value of the credit protection recognised shall be the surrender value of the life insuran…
− 87. For the purposes of Article 80, g shall be the risk weight to be assigned to an exposure which is fully protected by unfunded protection (GA), where:
+ 1. The Member States shall provide that the activities listed in Annex I may be carried on within their territories, in accordance with Articles 25, 26(1) to (3), 28(1) and (2) and 29 to 37, either by the establishment of a branch or by way of the provision of services, by any financial institution …
+ 8. The risks arising from securitisation transactions in relation to which the credit institutions are investor, originator or sponsor shall be evaluated and addressed through appropriate policies and procedures. These policies and procedures shall in particular ensure that the economic substance of…
+ 29. Exposures to institutions with a residual maturity of more than three months for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 4 in accordance with the assignment by the competent authorities of the credit assessments of eligible EC…
+ 31. Exposures to an institution of up to three months residual maturity for which a credit assessment by a nominated ECAI is available shall be assigned a risk-weight according to Table 5 in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to si…
+ 14. **EXPOSURES TO INSTITUTIONS AND CORPORATES WITH A SHORT-TERM CREDIT ASSESSMENT**
+ 73. Exposures to institutions where points 29 to 32 apply, and exposures to corporates for which a short-term credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 7, in accordance with the mapping by the competent authorities of the credit assessments…
+ 90. The exposure value for leases shall be the discounted minimum lease payments. Minimum lease payments are the payments over the lease term that the lessee is or can be required to make and any bargain option (i.e. option the exercise of which is reasonably certain). Any guaranteed residual value …
+ Exposures shall qualify as qualifying revolving retail exposures if they meet the following conditions:
+ 14. To be eligible for the retail treatment, purchased receivables shall comply with the minimum requirements set out in Part 4, points 105 to 109 and the following conditions:
+ 25. The risk weighted exposure amount shall be the potential loss on the credit institution’s equity exposures as derived using internal value-at-risk models subject to the 99th percentile, one-tailed confidence interval of the difference between quarterly returns and an appropriate risk-free rate c…
+ 27. The risk weighted exposure amounts shall be calculated according to the following formula:
+ except for when the exposure is a residual value of leased properties in which case it shall be calculated as follows:
+ where t is the greater of 1 and the nearest number of whole years of the lease remaining.
+ 30. The expected loss amounts for exposures to corporates, institutions, central governments and central banks and retail exposures shall be calculated according to the following formulae:
+ 33. The expected loss amounts for equity exposures where the risk weighted exposure amounts are calculated according to the methods set out in points 22 to 24 shall be calculated according to the following formulae:
+ 35. The expected loss amounts for dilution risk of purchased receivables shall be calculated according to the following formula:
+ 8. Credit institutions shall use the following LGD values:
+ Until 31 December 2010, covered bonds as defined in Annex VI, Part 1, points 68 to 70 may be assigned an LGD value of 11,25 % if:
+ 13. Credit institutions permitted to use own LGDs and/or own conversion factors for exposures to corporates, institutions or central governments and central banks shall calculate M for each of these exposures as set out in (a) to (e) and subject to points 14 to 16. In all cases, M shall be no greate…
+ (c) For exposures arising from fully or nearly-fully collateralised derivative instruments (listed in Annex IV) transactions and fully or nearly-fully collateralised margin lending transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the…
+ 14. Notwithstanding point 13(a), (b), (c), (d) and (e), M shall be at least one-day for:
+ The following minimum PDs shall apply:
+ Credit institutions shall use the following conversion factors:
+ 11. For all off-balance sheet items other than those mentioned in points 1 to 9, the exposure value shall be the following percentage of its value:
+ 12. The exposure value shall be the value presented in the financial statements. Admissible equity exposure measures are the following:
+ 16. Credit institutions shall consider the following risk drivers when assigning exposures to grades or pools.
+ 17. A credit institution shall have specific definitions, processes and criteria for assigning exposures to grades or pools within a rating system.
+ 23. Separate exposures to the same obligor shall be assigned to the same obligor grade, irrespective of any differences in the nature of each specific transaction. Exceptions, where separate exposures are allowed to result in multiple grades for the same obligor are:
+ 30. If a credit institution uses statistical models and other mechanical methods to assign exposures to obligors or facilities grades or pools, then:
+ 34. If the credit institution employs statistical models in the rating process, the credit institution shall document their methodologies. This material shall: