 
CRD II (Capital
Requirements Directive II)
From the
Basel ii Compliance Professionals Association
(BCPA)
the largest
association of Basel ii Professionals in the world
Capital
Requirements Directive II - Part 1
Capital Requirements Directive II - Part 2
28. Article 117 is amended as follows:
(a)
paragraph 1 is replaced by the following:
‘1.
Where an
exposure to a client is guaranteed by a third party, or secured
by collateral issued by a third party, a credit institution may:
(a) treat the portion of the exposure which is guaranteed as
having been incurred to the guarantor rather than to the client
provided that the unsecured exposure to the guarantor would be
assigned an equal or lower risk weight than a risk weight of the
unsecured exposure to the client under Articles 78 to 83;
(b)
treat the portion of the exposure collateralised by the market
value of recognised collateral as having been incurred to the
third party rather than to the client, if the exposure is secured
by collateral and provided that the collateralised portion of the
exposure would be assigned an equal or lower risk weight than a
risk weight of the unsecured exposure to the client under
Articles 78 to 83.
The approach referred to in point (b) of
the first subparagraph
shall not be used by a credit institution
where there is a mismatch between the maturity of the exposure
and the maturity of the protection.
For the purpose of this
Section, a credit institution may use both the Financial
Collateral Comprehensive Method and the treatment provided for in
point (b) of the first subparagraph only where it is permitted to
use both the Financial Collateral Comprehensive Method and
the Financial Collateral Simple Method for the purposes of
Article
75(a).’;
(b) in paragraph 2, the introductory part is
replaced by the following:
‘2. Where a credit institution
applies paragraph 1(a):’;
29. Article 119 is deleted;
30. the following Section is added in Chapter 2:
‘Section
7
Exposures to transferred credit risk
Article 122a
1.
A credit institution, other than when acting as an originator, a
sponsor or original lender, shall be exposed to the credit risk
of a securitisation position in its trading book or non-trading
book only if the originator, sponsor or original lender has
explicitly disclosed to the credit institution that it will
retain, on an ongoing basis, a material net economic interest
which, in any event, shall not be less than 5 %.
For the
purpose of this Article,
“retention of net economic interest”
means:
(a) retention of no less than 5 % of the nominal
value of each of the tranches sold or transferred to the
investors;
(b)
in the case of securitisations of revolving
exposures, retention of the originator’s interest of no less than
5 % of the nominal value of the securitised exposures;
(c)
retention of randomly selected exposures, equivalent tono less
than 5 % of the nominal amount of the securitised exposures,
where such exposures would otherwise have been securitised in the
securitisation, provided that the number of potentially
securitised exposures is no less than 100 at origination; or
(d) retention of the first loss tranche and, if necessary,
other tranches having the same or a more severe risk profile
than
those transferred or sold to investors and not maturing any
earlier than those transferred or sold to investors, so that the
retention equals in total no less than 5 % of the nominal value
of the securitised exposures.
Net economic interest is
measured at the origination and shall be maintained on an ongoing
basis. It shall not be subject to any credit risk mitigation or
any short positions or another hedge. The net economic interest
shall be determined by the notional value for off-balance sheet
items.
For the purpose of this Article, “ongoing basis” means
that retained positions, interest or exposures are not hedged
or sold.
There shall be no multiple applications of the
retention requirements for any given securitisation.
2.
Where an EU parent credit institution or an EU financial holding
company, or one of its subsidiaries, as an originator or a
sponsor, securitises exposures from several credit institutions,
investment firms or other financial institutions which are
included in the scope of supervision on a consolidated basis,
the requirement referred to in paragraph 1 maybe satisfied on
the basis of the consolidated situation of the related EU parent
credit institution or EU financial holding company.
This
paragraph shall apply only where credit institutions, investment
firms or financial institutions which created the securitised
exposures have committed themselves to adhere to the requirements
set out in paragraph 6 and deliver, in a timely manner, to the
originator or sponsor and to the EU parent credit institution or
an EU financial holding company the information needed to
satisfy the requirements referred to in paragraph 7.
3.
Paragraph 1 shall not apply where the securitised exposures are
claims or contingent claims on or fully, unconditionally and
irrevocably guaranteed by:
(a) central governments or
central banks;
(b) regional governments, local authorities
and public sector entities of Member States;
(c)
institutions to which a 50 % risk weight or less is assigned
under Articles 78 to 83; or
(d) multilateral development
banks.
Paragraph 1 shall not apply to:
(a) transactions
based on a clear, transparent and accessible index, where the
underlying reference entities are identical to those that make
up an index of entities that is widely traded, or are other
tradable securities other than securitisation positions; or
(b) syndicated loans, purchased receivables or credit
default swaps where these instruments are not used to
package and/or hedge a securitisation that is covered by paragraph
1.
4. Before investing, and as appropriate thereafter,
credit institutions, shall be able to demonstrate
to the
competent authorities for each of their individual securitisation
positions, that they have a comprehensive and thorough
understanding of and have implemented formal policies
and procedures appropriate to their trading book and
non-trading book and commensurate with the risk profile of their
investments in securitised positions for analysing and
recording:
(a) information disclosed under paragraph 1, by
originators or sponsors to specify the net economic interest
that they maintain, on an ongoing basis, in the securitisation;
(b)the risk characteristics of the individual
securitisation position;
(c) the risk characteristics of
the exposures underlying the securitisation position;
(d)
the reputation and loss experience in earlier securitisations of
the originators or sponsors in the relevant exposure classes
underlying the securitisation position;
(e) the statements
and disclosures made by the originators or sponsors, or their
agents or advisors, about their due diligence on the securitised
exposures and, where applicable, on the quality of the
collateral supporting the securitised exposures;
(f)
where applicable, the methodologies and concepts on which the
valuation of collateral supporting the securitised exposures is
based and the policies adopted by the originator or sponsor to
ensure the independence of the Valier; and
(g)
all the
structural features of the securitisation that can materially
impact the performance of the credit institution’s
securitisation position.
Credit institutions shall regularly
perform their own stress tests appropriate to their
securitisation positions.
To this end, credit institutions may
rely on financial models developed byan ECAI provided that
credit institutions can demonstrate, when requested, that they
took due care prior to investing to validate the relevant
assumptions in and structuring of the models and to understand
methodology, assumptions and results.
5.
Credit
institutions, other than when acting as originators or sponsors
or original lenders, shall establish formal procedures
appropriate to their trading book and non-trading book and
commensurate with the risk profile of their investments in
securitised positions to monitor on an ongoing basis and in a
timely manner performance information on the exposures underlying
their securitisation positions.
Where relevant, this shall
include the exposure type, the percentage of loans more than 30,
60 and 90 days past due, default rates, prepayment rates, loans
in foreclosure, collateral type and occupancy, and frequency
distribution of credit scores or other measures of credit
worthiness across underlying exposures, industry and
geographical diversification, frequency distribution of loan to
value ratios with bandwidths that facilitate adequate
sensitivity analysis.
Where the underlying exposures are
themselves securitisation positions, credit institutions shall
have the information set out in this subparagraph not only on the
underlying securitisation tranches, such as the issuer name and
credit quality, but also on the characteristics and performance
of the pools underlying those securitisation tranches.
Credit
institutions shall have a thorough understanding of
all structural features of a securitisation transaction that
would materially impact the performance of their exposures to
the transaction such as the contractual waterfall and
waterfall related triggers, credit enhancements, liquidity
enhancements, market value triggers, and deal-specific
definition of default.
Where the requirements in paragraphs 4,
7 and in this paragraph are not met in any material respect by
reason of the negligence or omission of the credit institution,
Member States shall ensure that the competent authorities impose
a proportionate additional risk weight of no less than 250 %
of the risk weight (capped at 1 250 %) which would, but for
this paragraph, apply to the relevant securitisation
positions under Annex IX, Part 4, and shall progressively
increase the risk weight with each subsequent infringement of the
due diligence provisions.
The competent authorities shall
take into account the exemptions for certain securitisations
provided in paragraph 3 by reducing the risk weight it
would otherwise impose under this Article in respect of a
securitisation to which paragraph 3 applies.
6.
Sponsor and originator credit institutions shall apply the same
sound and well-defined criteria for credit-granting in accordance
with the requirements of Annex V, point 3 to exposures to be
securitised as they apply to exposures to beheld on their book.
To this end the same processes for
approving and, where relevant,
amending, renewing andre-financing credits shall be applied by
the originator and sponsor credit institutions.
Credit
institutions shall also apply the same standards of analysis to
participations or underwritings in securitisation issues
purchased from third parties whether such participations or
underwritings are to be held on their trading or non-trading
book.
Where the requirements referred to in the first
subparagraph of this paragraph are not met, Article 95(1) shall
not be applied by an originator credit institution and that
originator credit institution shall not be allowed to exclude the
securitised exposures from the calculation of its capital
requirements under this Directive.
7. Sponsor and
originator credit institutions shall disclose to investors the
level of their commitment under paragraph 1to maintain a net
economic interest in the securitisation.
Sponsor and originator
credit institutions shall ensure that prospective investors have
readily available access to all materially relevant data on the
credit quality and performance of the individual underlying
exposures, cash flows and collateral supporting a securitisation
exposure as well as such information that is necessary to conduct
comprehensive andwell informed stress tests on the cash flows
and collateral values supporting the underlying exposures.
For
that purpose, materially relevant data shall be determined as at
the date of the securitisation and where appropriate due to the
nature of the securitisation thereafter.
8. Paragraphs 1 to
7 shall apply to new securitisations issued on or after 1 January
2011. Paragraphs 1 to 7 shall, after 31 December 2014, apply to
existing securitisations where new underlying exposures are added
or substituted after that date. Competent authorities may decide
to suspend temporarily the requirements referred to in paragraphs
1and 2 during periods of general market liquidity stress.
9.
Competent authorities shall disclose the following information:
(a) by 31 December 2010, the general criteria and
methodologies adopted to review the compliance with paragraphs 1
to 7;
(b) without prejudice to the provisions laid down in
Chapter 1, Section 2, a summary description of the outcome of the
supervisory review and description of the measures imposed in
cases of non-compliance with paragraphs 1 to 7 identified on an
annual basis from31 December 2011.
The requirement set out in
this paragraph is subject to the second subparagraph of Article
144.
10. The Committee of European Banking
Supervisors shall report annually to the Commission about the
compliance by competent authorities with this Article.
The
Committee of European Banking Supervisors shall
elaborate guidelines for the convergence of supervisory practices
with regard to this Article, including the measures taken in case
of breach of the due diligence and risk management obligations.’;
31. Article 129 is amended as follows:
(a) in paragraph
1 point (b) is replaced by the following:
‘(b) planning
and coordination of supervisory activities in going-concern
situations, including in relation to the activities referred to
in Articles 123, 124, 136,in Chapter 5 and in Annex V, in
cooperation with the competent authorities involved;
(c)
planning and coordination of supervisory activities in
cooperation with the competent authorities involved, and if
necessary with central banks, in preparation for and during
emergency situations, including adverse developments in credit
institutions or in financial markets using, where
possible, existing defined channels of communication
for facilitating crisis management.
The planning and
coordination of supervisory activities referred to in point (c)
includes exceptional measures referred to in Article 132(3)(b),
the preparation of joint assessments, the implementation of
contingency plans and communication to the public.’;
(b)
the
following paragraph is added:
‘3. The consolidating
supervisor and the competent authorities responsible for the
supervision of subsidiaries of an EU parent credit institution
or an EU parent financial holding company in a Member State shall
do everything within their power to reach a joint decision on the
application of Articles 123 and 124 to determine the adequacy of
the consolidated level of own funds held by the group with
respect to its financial situation and risk profile and the
required level of own funds for the application of Article 136(2)
to each entity within the banking group and on a consolidated
basis.
The joint decision shall be reached within four
months after submission by the consolidating supervisor of
areport containing the risk assessment of the group in
accordance
with Articles 123 and 124 to the other relevant competent
authorities. The joint decision shall also duly consider the risk
assessment of subsidiaries performed by relevant competent
authorities in accordance with Articles 123 and 124.
The
joint decision shall be set out in a document containing the
fully reasoned decision which shall be provided to the EU parent
credit institution by the consolidating supervisor.
In the event
of disagreement, the consolidating supervisor shall at the
request of any of the other competent authorities concerned
consult the Committee of European Banking Supervisors.
The consolidating supervisor may consult the Committee
of European
Banking Supervisors on its own initiative.
In the absence of
such a joint decision between the competent authorities within
four months, a decision on the application of Articles 123 and
124 and Article 136(2)shall be taken on a consolidated basis by
the consolidating supervisor after duly considering the risk
assessment of subsidiaries performed by relevant
competent authorities.
The decision on the application of
Articles 123 and 124and Article 136(2) shall be
taken by the
respective competent authorities responsible for supervision of
subsidiaries of an EU parent credit institution or an EU
parent financial holding company on an individual or
sub-consolidated basis after duly considering the views
and reservations expressed by the consolidating supervisor.
The decisions shall be set out in a document containing the fully
reasoned decisions and shall take into account the risk
assessment, views and reservations of the other competent
authorities expressed during the four-month period.
The document
shall be provided by the consolidating supervisor to all
competent authorities concerned and to the EU parent credit
institution.
Where the Committee of European Banking
Supervisors has been consulted, all competent authorities shall
consider such advice, and explain any significant
deviation there from.
The joint decision referred to in the
first subparagraph and the decisions taken by the competent
authorities in the absence of a joint decision shall be
recognised as determinative and shall be applied by the
competent authorities in the Member State concerned.
The joint
decision referred to in the first subparagraph and any decision
taken in the absence of a joint decision in accordance with the
fourth and fifth subparagraphs, shall be updated on an annual
basis or, in exceptional circumstances, where a competent
authority responsible for the supervision of subsidiaries of an
EU parent credit institution or, an EU parent financial holding
company makes a written and fully reasoned request to the
consolidating supervisor to update the decision on the
application of Article 136(2).
In the latter case, the update may be
addressed on a bilateral basis between the consolidating
supervisor and the competent authority making the request.
The Committee of European Banking Supervisors shall elaborate
guidelines for the convergence of supervisory practices with
regard to the joint decision process referred to in this
paragraph and with regard to the application of Articles 123, 124
and 136(2) with a view to facilitating joint decisions.’;
32.
in Article 130, paragraph 1 is replaced by the following:
‘1.
Where an emergency situation, including adverse developments in
financial markets, arises, which potentially jeopardizes the
market liquidity and the stability of the financial system in
any of the Member States where entities of a group have been
authorized or where significant branches as referred to in
Article 42a are established, the consolidating supervisor shall,
subject to Chapter 1, Section 2, alert as soon as is practicable,
the authorities referred to in the fourth subparagraph of
Article 49 and in Article 50, and shall communicate all
information that is essential for the pursuance of their tasks.
Those obligations shall apply to all competent authorities under
Articles 125 and 126 and to the competent authority identified
under Article 129(1).
If the authority referred to in the
fourth paragraph of Article 49 becomes aware of a situation
described in the first subparagraph of this paragraph, it shall
alert as soon as impracticable the competent authorities
referred to in Articles 125 and 126.
Where possible, the
competent authority and the authority referred to in the fourth
paragraph of Article 49 shall use existing defined channels of
communication.’;
33. the following Article is inserted:
‘Article 131a
1. The consolidating supervisor shall
establish colleges of supervisors to facilitate the exercise of
the tasks referred to in Article 129 and Article 130(1) and
subject to the confidentiality requirements of paragraph 2 of
this Article and compatibility with Community law, ensure
appropriate coordination and cooperation with relevant
third-country competent authorities where appropriate.
Colleges of supervisors shall provide a framework for
the consolidating supervisor and the other competent authorities
concerned to carry out the following tasks:
(a) exchanging
information;
(b) agreeing on voluntary entrustment of
tasks and voluntary delegation of responsibilities where
appropriate;
(c) determining supervisory examination
programmers based on a risk assessment of the group in
accordance with Article 124;
(d) increasing the efficiency
of supervision by removing unnecessary duplication of supervisory
requirements, including in relation to the information requests
referred to in Article 130(2) and Article 132(2);
(e)
consistently applying the prudential requirements under this
Directive across all entities within a banking group without
prejudice to the options and discretions available in Community
legislation;
(f) applying Article 129(1)(c) taking into
account the work of other forums that may be established in this
area.
The competent authorities participating in the colleges
of supervisors shall cooperate closely. The
confidentiality requirements under Chapter 1, Section 2 shall not
prevent competent authorities from exchanging confidential
information within colleges of supervisors. The establishment
and functioning of colleges of supervisors shall not affect
the rights and responsibilities of the competent authorities
under this Directive.
2. The establishment and functioning
of the colleges shall be based on written arrangements referred
to in Article 131,determined after consultation with competent
authorities concerned by the consolidating supervisor.
The
Committee of European Banking Supervisors shall elaborate
guidelines for the operational functioning of colleges,
including
in relation to Article 42a(3).
The
competent authorities
responsible for the supervision of subsidiaries of an EU parent
credit institution or an EU parent financial holding company and
the competent authorities of a host country where significant
branches as referred to in Article 42a are established, central
banks as appropriate, and third countries’ competent authorities
where appropriate and subject to confidentiality requirements
that are equivalent, in the opinion of all competent authorities,
to the requirements under Chapter 1 Section 2, may participate
in colleges of supervisors.
The consolidating supervisor shall
chair the meetings of the college and shall decide which
competent authorities participate in a meeting or in an activity
of the college. The consolidating supervisor shall keep all
members of the college fully informed, in advance, of the
organization of such meetings, the main issues to be discussed
and the activities to be considered. The consolidating supervisor
shall also keep all the members of the college fully informed, in
a timely manner, of the actions taken in those meetings or the
measures carried out.
The decision of the consolidating
supervisor shall take account of the relevance of the supervisory
activity to be planned or coordinated for those authorities, in
particular the potential impact on the stability of the financial
system in the Member States concerned referred to in Article
40(3) and the obligations referred to in Article 42a(2).
The consolidating supervisor, subject to the
confidentiality requirements under Chapter 1, Section 2, shall
inform the Committee of European Banking Supervisors of the
activities of the college of supervisors, including in emergency
situations, and communicate to that Committee all
information that is of particular relevance for the purposes of
supervisory convergence.’;
34. Article 132 is amended as
follows:
(a) in paragraph 1(d), the reference to Article
136 is replaced by the reference to Article 136(1);
(b) in
paragraph 3(b), the reference to Article 136 is replaced by the
reference to Article 136(1);
35. Article 150 is amended as
follows:
(a) in paragraph 1, points (k) and (l) are
replaced by the following:
‘(k) the list and classification
of off-balance sheet items in Annexes II and IV;
(l)
adjustment of the provisions in Annexes III and V toXII in order
to take account of developments on financial markets (in
particular new financial products) or in accounting standards or
requirements which take account of Community legislation, or
with
regard to convergence of supervisory practice.’;
(b) in
paragraph 2, point (c) is replaced by the following:
‘(c)
clarification of exemptions provided for in Article 113;’;
36.
in Article 153, the third paragraph is replaced by the
following:
‘In the calculation of risk weighted exposure amounts for
the purposes of Annex VI, Part 1, point 4, until 31 December2015
the same risk weight shall be assigned in relation to exposures
to Member States’ central governments or central banks
denominated and funded in the domestic currency of any Member
State as would be applied to such exposures denominated and
funded in their domestic currency.’;
37. in Article 154,
the following paragraphs are added:
‘8. Credit
institutions which do not comply by 31 December 2010 with the
limits set out in Article 66(1a) shall develop strategies and
processes on the necessary measures to resolve this situation
before the dates set out in paragraph 9 of this Article.
Those measures shall be reviewed under Article 124.
9.
Instruments that by 31 December 2010, according to national law
were deemed equivalent to the items referred toin points (a),
(b) and (c) of Article 57 but do not fall within Article 57(a) or
do not comply with the criteria set out in Article 63a, shall be
deemed to fall within Article 57(ca) until31 December 2040,
subject to the following limitations:
(a) up to 20 % of
the sum of Article 57(a) to (ca), less the sum of points (i), (j)
and (k) of Article 57 between 10and 20 years after 31 December
2010;
(b) up to 10 % of the sum of Article 57(a) to (ca),
less the sum of points (i), (j) and (k) of Article 57 between
20and 30 years after 31 December 2010.
The Committee of
European Banking Supervisors shall monitor, until 31 December
2010, the issuance of those instruments.
10. For the
purpose of Section 5, assets items constituting claims on and
other exposures to institutions incurred prior to 31 December
2009 shall continue to be subject to the same treatment as
applied in accordance with Article 115(2) and Article 116 as they
stood prior to 7 December 2009, however not longer than until 31
December 2012.
11. Until 31 December 2012, the time period
referred to in Article 129(3) shall be six months.’;
38.
Article 156 is replaced by the following:
‘Article 156
The
Commission, in cooperation with Member States, and taking into
account the contribution of the European Central Bank, shall
periodically monitor whether this Directive taken as a whole,
together with Directive 2006/49/EC, has significant effects on
the economic cycle and, in the light of that examination, shall
consider whether any remedial measures are justified.
Based
on that analysis and taking into account the contribution of the
European Central Bank, the Commission shall draw up a biennial
report and submit it to the European Parliament and to the
Council, together with any appropriate proposals. Contributions
from credit taking and credit lending parties shall be
adequately acknowledged when the reports drawn up.
By 31
December 2009, the Commission shall review this Directive as a
whole to address the need for better analysis offend response to
macro-prudential problems, including the examination of:
(a)
measures that mitigate the ups and downs of the business cycle,
including the need for credit institutions to build
counter-cyclical buffers in good times that can beused during a
downturn;
(b) the rationale underlying the calculation of
capital requirements in this Directive; and
(c)
supplementary measures to risk-based requirements for credit
institutions, to help constrain the build-up of leverage in the
banking system.
The Commission shall submit a report on the
above issues to the European Parliament and to the Council with
any appropriate proposals.
The Commission shall, as soon as
possible and in any event by 31 December 2009 present to the
European Parliament and the Council a report on the need for
further reform of the supervisory system, including relevant
Articles of this Directive, and, in accordance with the
applicable procedure under the Treaty, any appropriate
legislative proposal.
By 1 January 2011, the Commission shall
review the progress made by the Committee of European Banking
Supervisors towards uniform formats, frequencies and dates of
reporting referred to in Article 74(2). In light of that review,
the Commission shall report to the European Parliament and
the Council.
By 31 December 2011, the Commission shall review
and report on the application of this Directive with
particular attention to all aspects of Articles 68 to 73, 80(7),
80(8) and its application to microcredit finance and shall submit
this report to the European Parliament and the Council
together with any appropriate proposals.
By 31 December 2011
the Commission shall review and report on the application of
Article 113(4) including whether exemptions should be a matter of
national discretion and shall submit this report to the European
Parliament and the Council together with any appropriate
proposals.
With respect to the potential elimination of the
national discretion under Article 113(4)(c) and its potential
application at the Eleven, the review shall in particular take
into account the efficiency of group’s risk management while
ensuring that sufficient safeguards are in place to ensure
financial stability in all Member States in which an entity of a
group is incorporated.
By 31 December 2009 the Commission
shall review and report on measures to enhance transparency of
OTC markets, including the credit default swap markets, such as
by clearing through central counterparties, and shall submit
this report to the European Parliament and the Council
together with any appropriate proposals.
By 31 December 2009
the Commission shall report on the expected impact of Article
122a, and shall submit that report to the European Parliament and
the Council, together with any appropriate proposal. The
Commission shall draw up its report after consulting the
Committee of European Banking Supervisors. The report shall
consider, in particular, whether
the minimum retention
requirement under Article 122a(1)delivers the objective of
better alignment between the interests of originators or
sponsors and investors and strengthens financial stability, and
whether an increase of the minimum level of retention would be
appropriate taking into account international developments.
By
1 January 2012, the Commission shall report to the European
Parliament and the Council on the application and effectiveness
of Article 122a in the light of international market
developments.’;
39. Annex III is amended as follows:
(a) in Part 1, point 5, the following sentence is added:
‘Under the method set out in Part 6 of this Annex (IMM),all
netting sets with a single counterparty may be treated as single
netting set if negative simulated market values of the individual
netting sets are set to 0 in the estimation of expected exposure
(EE).’;
(b) in Part 2, point 3 is replaced by the
following:
‘3. When a credit institution purchases credit
derivative protection against a non-trading book exposure,
or against a CCR exposure, it may compute its capital
requirement
for the hedged asset in accordance with Annex VIII, Part 3,
points 83 to 92, or subject to the approval of the competent
authorities, in accordance with Annex VII, Part 1, point 4 or
Annex Viewport 4, points 96 to 104.
In those cases, and where
the option in the second sentence of point 11 in Annex II of
Directive2006/49/EC is not applied, the exposure value forCCR
for those credit derivatives is set to zero.
However, an
institution may choose consistently to include for the purposes
of calculating capital requirements for counterparty credit risk
all credit derivatives not included in the trading book
and purchased as protection against a non-trading book exposure or
against a CCR exposure where the credit protection is recognised
under this Directive.’;
(c) in Part 5, point 15 is
replaced by the following:
‘15.
There is one hedging set
for each issuer of a reference debt instrument that underlies a
credit default swap. “Nth to default” basket credit default
swaps shall be treated as follows:
(a) the size of a risk
position in a reference debt instrument in a basket underlying an
“nth to default” credit default swap is the
effective notional
value of the reference debt instrument, multiplied by the
modified duration of the of the “nth to default” derivative with
respect to achange in the credit spread of the reference debt
instrument;
(b) there is one hedging set for each
reference debt instrument in a basket underlying a given “nthto
default” credit default swap; risk positions from different “nth
to default” credit default swaps shall not be included in the
same hedging set;
(c) the CCR multiplier applicable to
each hedging set created for one of the reference debt
instruments of an “nth to default” derivative is 0,3 %for
reference debt instruments that have accredit assessment from a
recognised ECAIequivalent to credit quality step 1 to 3and 0,6 %
for other debt instruments.’;
40. Annex V is amended as
follows:
(a) point 8 is replaced by the following:
‘8.
The risks arising from securitisation transactions in relation to
which the credit institutions are investor, originator or
sponsor, including reputational risks(such as arise in relation
to complex structures or products) shall be evaluated and
addressed through appropriate policies and procedures, toensure
in particular that the economic substance of the transaction is
fully reflected in the risk assessment and management
decisions.’;
(b) point 14 is replaced by the following:
‘14.
Robust strategies, policies, processes and systemsshall
exist for the identification, measurement, management and
monitoring of liquidity risk over anappropriate set of time
horizons, including intra-day, so as to ensure that credit
institutions maintainadequate levels of liquidity buffers.
Those strategies, policies, processes and systems shall be tailored
to business lines, currencies and entities and shall include
adequate allocation mechanisms of liquidity costs, benefits and
risks.’;
(c) the following point is inserted:
‘14a.
The strategies, policies, processes and systems referred to in
point 14 shall be proportionate to the complexity, risk profile,
scope of operation of the credit institution and risk tolerance
set by the management body and reflect the credit institution’s
importance in each Member State, in which it carries on business.
Credit institutions shall communicate risk tolerance to all
relevant business lines.’;
(d) point 15 is replaced by
the following:
‘15.
Credit institutions shall develop
methodologies forth identification, measurement, management
and monitoring of funding positions. Those methodologies shall
include the current and projected material cash-flows in and
arising from assets, liabilities, off-balance-sheet items,
including contingent liabilities and the possible impact of
reputational risk.
16.
Credit institutions shall
distinguish between pledged and unencumbered assets that are
available at all times, in particular during emergency
situations.
They shall also take into account the legal entity in
which assets reside, the country where assets are legally
recorded either in a register or inan account as well as their
eligibility and shall monitor how assets can be mobilised in a
timely manner.
17.
Credit institutions shall also have
regard to existing legal, regulatory and operational limitations
to potential transfers of liquidity and unencumbered assets
amongst entities, both within and outside theEEA.
18. A
credit institution shall consider different liquidity risk
mitigation tools, including a system of limits and liquidity
buffers in order to be able to withstand a range of different
stress events and anadequately diversified funding structure and
access to funding sources. Those arrangements shall be reviewed
regularly.
19. Alternative scenarios on liquidity
positions and on risk mitigants shall be considered and the
assumptions underlying decisions concerning the funding position
shall be reviewed regularly. For these purposes, alternative
scenarios shall address, in particular, off-balance sheet items
and other contingent liabilities, including those of SSPEs or
other special purpose entities, in relation to which the
credit institution acts as sponsor or provides material
liquidity
support.
20.
Credit institutions shall consider the
potential impact of institution-specific, market-wide and
combined
alternative scenarios. Different time horizons and varying
degrees of stressed conditions shall be considered.
21.
Credit institutions shall adjust their strategies, internal
policies and limits on liquidity risk and develop effective
contingency plans, taking into account the outcome of the
alternative scenarios referred to in point 19.
22. In order
to deal with liquidity crises, credit institutions shall have in
place contingency plans setting out adequate strategies and
proper implementation measures in order to address possible
liquidity shortfalls liquidity shortfalls. Those plans shall be
regularly tested, updated on the basis of the outcome of the
alternative scenarios set out in point 19, be reported toand
approved by senior management, so that internal policies and
processes can be adjusted accordingly.’;
41. in Annex IX,
Part 3, Section 2, the following point is added:
‘7a.
Competent authorities shall, furthermore, take the necessary
measures to ensure that, with regard to credit assessments
relating to structured finance instruments, the ECAI is committed
to make available publicly the explanation how the performance of
pool assets affects its credit assessments.’;
42. Annex XI
is amended as follows:
(a) in point 1, point (e) is
replaced by the following:
‘(e) the exposure to,
measurement and management of liquidity risk by the credit
institutions, including the development of alternative scenario
analyses, the management of risk mitigants (in particular
the level, composition and quality of liquidity buffers)and
effective contingency plans;’;
(b) the following point is
inserted:
‘1a. For the purposes of point 1(e), the
competent authorities shall regularly carry out a comprehensive
assessment of the overall liquidity risk management by credit
institutions and promote the development of sound internal
methodologies. While conducting those reviews, the
competent authorities shall have regard to the role played
by credit institutions in the financial markets. The competent
authorities in one Member State shall duly consider the potential
impact of their decisions on the stability of the financial
system in all other Member States concerned.’;
43. in point
3 of Part 2 of Annex XII, points (a) and (b) are replaced by the
following:
‘(a) summary information on the terms and
conditions of the main features of all own-funds items and
components thereof, including instruments referred to in Article
57(ca), instruments the provisions of which provide an incentive
for the credit institution to redeem them, and instruments
subject to Article 154(8) and (9);
(b) the amount of the
original own funds, with separate disclosure of all positive
items and deductions; the overall amount of instruments referred
to in Article 57(ca) and instruments the provisions of which
provide an incentive for the credit institution to redeem them,
shall also be disclosed separately; those disclosures shall
each specify instruments subject to Article 154(8) and (9);’.
Article 2
Amendments to Directive 2006/49/EC
Directive
2006/49/EC is hereby amended as follows:
1. in Article 12,
the first paragraph is replaced by the following:
‘“Original
own funds” means the sum of points (a) to (ca), less the sum of
points (i), (j) and (k) of Article 57 of Directive2006/48/EC.’;
2. Article 28 is amended as follows:
(a) paragraph 1 is
replaced by the following:
‘1. Institutions, except
investment firms that fulfil the criteria set out in paragraph 2
or 3 of Article 20 of this Directive, shall monitor and control
their large exposures in accordance with Articles 106 to 118 of
Directive 2006/48/EC.’;
(b) paragraph 3 is deleted;
3.
in Article 30, paragraph 4 is replaced by the following:
‘4.
By derogation from paragraph 3 competent authorities may allow
assets constituting claims and other exposure son recognised
third country investment firms and recognisedclearing houses and
exchanges to be subject to the same treatment as laid down in
Article 111(1) of Directive2006/48/EC and in Article 106(2)(c)
of that Directive respectively.’;
4. Article 31 is amended
as follows:
(a) in the first paragraph, points (a) and (b)
is replaced by the following:
‘(a) the exposure on the
non-trading book to the client or group of clients in question
does not exceed the limit laid down in Article 111(1) of
Directive2006/48/EC, this limit being calculated with reference
to own funds as specified in that Directive, so that the excess
arises entirely on the trading book;
(b) the institution
meets an additional capital requirement on the excess in respect
of the limit laid downin Article 111(1) of Directive 2006/48/EC,
that additional capital requirement being calculated in
accordance
with Annex VI to this Directive;’;
(b) in the first
paragraph, point (e) is replaced by the following:
‘(e)
institutions shall report to the competent authorities every
three months all cases where the limit laid down in Article
111(1) of Directive 2006/48/EChas been exceeded during the
preceding three months.’;
(c) the second paragraph is
replaced by the following:
‘In relation to point (e), in each
case in which the limit has been exceeded, the amount of the
excess and the name of the client concerned shall be reported.’;
5. in Article 32(1), the first subparagraph is replaced by
the following:
‘1. The competent authorities shall
establish procedures to prevent institutions from deliberately
avoiding the additional capital requirements that they would
otherwise incur, on exposures exceeding the limit laid down in
Article 111(1) of Directive 2006/48/EC once those exposures have
been maintained for more than 10 days, by means of temporarily
transferring the exposures in question to another
company, whether within the same group or not, and/or by
undertaking artificial transactions to close out the exposure
during the10-day period and create a new exposure.’;
6. in
Article 35, the following paragraph is added:
‘6.
Investment firms shall be covered by the uniform formats,
frequencies and dates of reporting referred to in Article 74(2)
of Directive 2006/48/EC.’;
7. in Article 38, the following
paragraph is added:
‘3. Article 42a of Directive
2006/48/EC, with the exception of point (a) of its paragraph 1,
shall apply mutatismutandis to the supervision of investment
firms unless the investment firms fulfil the criteria set out in
Article 20(2),20(3) or 46(1) of this Directive.’;
8. in
Article 45(1), the date ‘31 December 2010’ is replaced by‘31
December 2014’;
9. in Article 47, the date ‘31 December
2009’ is replaced by‘31 December 2010’ and the reference to
points 4 and 8 of Annex V of the Directive 93/6/EEC is replaced
by reference to points 4 and 8 of Annex VIII;
10. in
Article 48(1), the date ‘31 December 2010’ is replaced by‘31
December 2014’.
Article 3
Amendment to Directive
2007/64/EC
Article 1(1)(a) of Directive 2007/64/EC is
replaced by the following:
‘(a) credit institutions within
the meaning of Article 4(1)(a) of Directive 2006/48/EC, including
branches within the meaning of Article 4(3) of that Directive
located in the Community of credit institutions having their
head offices inside or, in accordance with Article 38 of that
Directive, outside the Community;’.
Article 4
Transposition
1. Member States shall bring into force the
laws, regulations and administrative provisions necessary to
comply with this Directive by
31 October 2010.
They shall
apply those measures
from 31 December 2010.
When Member
States adopt those measures, they shall contain areference to
this Directive or be accompanied by such a reference on the
occasion of their official publication. Member States
shall determine how such reference is to be made.
2. Member
States shall communicate to the Commission the text of the main
provisions of national law which they adopt in the field covered
by this Directive.
Article 5
Entry into force
This
Directive shall enter into force on the 20th day following
its publication in the Official Journal of the European Union.
Article 6
Addressees
This Directive is addressed to the
Member States.
Done at Strasbourg, 16 September 2009.
Capital
Requirements Directive II - Part 1
Capital Requirements Directive II - Part 2
Capital Requirements Directive II - Part 3
|
.gif){kind=small}
.gif){kind=small}
.gif){kind=small}