What changes on 30/09/2021

The text in force from 29/06/2021 compared with the text from 30/09/2021, which includes the changes made by Commission Delegated Regulation (EU) 2021/424.

Read the act as of 30/09/2021 · other versions: 28/06/2023 · 09/01/2024 · 09/07/2024 · 01/01/2025 · 29/06/2025 · 01/01/2026 · 26/06/2026 · 01/01/2027

Part I › Title II › Chapter 1

• amended Article 6 - General principles

Part I › Title II › Chapter 2 › Section 1

• amended Article 11 - General treatment
• amended Article 12a - Consolidated calculation for G-SIIs with multiple resolution entities
• amended Article 13 - Application of disclosure requirements on a consolidated basis

Part I › Title II › Chapter 2 › Section 3

• amended Article 22 - Sub-consolidation in case of entities in third countries

Part II › Title I › Chapter 5A › Section 2

• amended Article 72e - Deductions from eligible liabilities items

Part II › Title I › Chapter 6

• amended Article 76 - Index holdings of capital instruments and of liabilities
• amended Article 78 - Supervisory permission to reduce own funds

Part II › Title II

• amended Article 82 - Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds

Part III › Title I › Chapter 1 › Section 1

• amended Article 92a - Requirements for own funds and eligible liabilities for G-SIIs

Part III › Title II › Chapter 6 › Section 3

• amended Article 278 - Potential future exposure
• amended Article 279a - Supervisory delta
• amended Article 279b - Adjusted notional amount
• amended Article 280 - Hedging set supervisory factor coefficient
• amended Article 280a - Interest rate risk category add-on
• amended Article 280c - Credit risk category add-on
• amended Article 280d - Equity risk category add-on
• amended Article 280e - Commodity risk category add-on

Part III › Title II › Chapter 6 › Section 4

• amended Article 281 - Calculation of the exposure value

Part III › Title IV › Chapter 1

• amended Article 325a - Exemptions from specific reporting requirements for market risk

Part III › Title IV › Chapter 1A › Section 2

• amended Article 325e - Components of the sensitivities-based method
• amended Article 325f - Own funds requirements for delta and vega risks
• amended Article 325g - Own funds requirements for curvature risk
• amended Article 325h - Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
• amended Article 325i - Treatment of index instruments and other multi-underlying instruments
• amended Article 325j - Treatment of collective investment undertakings

Part III › Title IV › Chapter 1A › Section 3 › Subsection 1

• amended Article 325q - Foreign exchange risk factors

Part III › Title IV › Chapter 1A › Section 3 › Subsection 2

• amended Article 325r - Delta risk sensitivities
• amended Article 325s - Vega risk sensitivities

Part III › Title IV › Chapter 1A › Section 5 › Subsection 1

• amended Article 325w - Gross jump-to-default amounts

Part III › Title IV › Chapter 1A › Section 5 › Subsection 3

• amended Article 325ad - Calculation of the own funds requirements for the default risk for the ACTP

Part III › Title IV › Chapter 1A › Section 6 › Subsection 1

• amended Article 325ae - Risk weights for general interest rate risk
• amended Article 325ah - Risk weights for credit spread risk for non-securitisations
• amended Article 325aj - Correlations across buckets for credit spread risk for non-securitisations
• amended Article 325ak - Risk weights for credit spread risk for securitisations included in the ACTP
• amended Article 325am - Risk weights for credit spread risk for securitisations not included in the ACTP
• amended Article 325an - Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP
• amended Article 325ap - Risk weights for equity risk
• amended Article 325aq - Intra-bucket correlations for equity risk
• amended Article 325ar - Correlations across buckets for equity risk
• amended Article 325as - Risk weights for commodity risk
• amended Article 325av - Risk weights for foreign exchange risk

Part III › Title IV › Chapter 1A › Section 6 › Subsection 2

• amended Article 325ax - Vega and curvature risk weights
• amended Article 325ay - Vega and curvature risk correlations

Part III › Title IV › Chapter 1B › Section 2

• amended Article 325bb - Expected shortfall risk measure
• amended Article 325bc - Partial expected shortfall calculations
• amended Article 325bd - Liquidity horizons

Part III › Title VI

• amended Article 384 - Standardised method

Part IV

• amended Article 395 - Limits to large exposures

Part VI › Title I

• amended Article 411 - Definitions

Part VI › Title IV › Chapter 3 › Section 2

• amended Article 428k - 0 % available stable funding factor
• amended Article 428l - 50 % available stable funding factor

Part VI › Title IV › Chapter 6 › Section 2

• amended Article 428al - 0 % available stable funding factor
• amended Article 428am - 50 % available stable funding factor

Part VII

• amended Article 429 - Calculation of the leverage ratio
• amended Article 429a - Exposures excluded from the total exposure measure

Part IX

• amended Article 461a - Alternative standardised approach for market risk
• amended Article 462 - Exercise of the delegation

Part X › Title I › Chapter 4

• amended Article 494 - Transitional provisions concerning the requirement for own funds and eligible liabilities
• amended Article 494a - Grandfathering of issuances through special purpose entities
• amended Article 494b - Grandfathering of own funds instruments and eligible liabilities instruments
• amended Article 500 - Adjustment for massive disposals
• amended Article 501 - Adjustment of risk-weighted non-defaulted SME exposures

Part X › Title II

• amended Article 510 - Net Stable Funding Requirements

Outside any heading

• amended Preamble