What changed, Directive 2006/49/EC

+ For the party who transfers credit risk (the protection buyer), the positions are determined as the mirror principle of the protection seller, with the exception of a credit linked note (which entails no short position in the issuer). If at a given moment there is a call option in combination with a…
+ 
+ **First-to-default credit derivatives**
+ 
+ Where an institution obtains credit protection for a number of reference entities underlying a credit derivative under the terms that the first default among the assets shall trigger payment and that this credit event shall terminate the contract, the institution may offset specific risk for the ref…
+ 
+ **Nth-to-default credit derivatives**
− For the party who transfers credit risk (the ‘protection buyer’), the positions are determined as the mirror image of the protection seller, with the exception of a credit linked note (which entails no short position in the issuer). If at a given moment there is a call option in combination with a s…
+ Where the nth default among the exposures triggers payment under the credit protection, the protection buyer may only offset specific risk if protection has also been obtained for defaults 1 to n-1 or when n-1 defaults have already occurred. In such cases, the methodology set out above for first-to-…
+ 
+ *Table 1*
− Table 1
+ | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States′ regional government or local authorities which would qualify for credit quality step 1 or which would receive a 0 % risk weight under …
+ | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States′ regional governments or local authorities which would qualify for credit quality step 2 or 3 under the rules for the risk weighting of…
+ | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States′ regional governments or local authorities or institutions which would qualify for credit quality step 4 or 5 under the rules for the r…
+ | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States′ regional governments or local authorities or institutions which would qualify for credit quality step 6 under the rules for the risk w…
− | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States' regional government or local authorities which would qualify for credit quality step 1 or which would receive a 0 % risk weight under …
− | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States' regional governments or local authorities which would qualify for credit quality step 2 or 3 under the rules for the risk weighting of…
− | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States' regional governments or local authorities or institutions which would qualify for credit quality step 4 or 5 under the rules for the r…
− | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States' regional governments or local authorities or institutions which would qualify for credit quality step 6 under the rules for the risk w…
+ 11. Where a credit derivative included in the trading book forms part of an internal hedge and the credit protection is recognised under Directive 2006/48/EC, no counterparty risk shall be deemed to arise from the position in the credit derivative. Alternatively, an institution may consistently incl…
− 11. Where a credit derivative included in the trading book forms part of an internal hedge and the credit protection is recognised under Directive 2006/48/EC, there shall be deemed not to be counterparty risk arising from the position in the credit derivative.
+ 3. By way of derogation from points 1 and 2, when an institution hedges a non-trading book credit risk exposure using a credit derivative booked in its trading book (using an internal hedge), the non-trading book exposure shall not be deemed to be hedged for the purposes of calculating capital requi…
− 3. Notwithstanding points 1 and 2, when an institution hedges a non-trading book credit risk exposure using a credit derivative booked in its trading book (using an internal hedge), the non-trading book exposure is not deemed to be hedged for the purposes of calculating capital requirements unless t…