[ParlTrack]

Linea SØGAARD-LIDELL, Pernille WEISS, Nicola BEER, Engin EROGLU, Niels FUGLSANG, Kira Marie PETER-HANSEN

Proposal for a regulation
Article 1 – paragraph 1 – point 11 a (new)

Regulation (EU) No 575/2013
Article 46 – paragraph 2 a (new)

(11 a) the following paragraph is inserted: "2a. Institutions shall exclude holdings of Common Equity Tier 1 instruments in ancillary services undertakings where the following conditions apply: (a) the undertaking is owned in a partnership between other institutions or entities in the financial sector; (b) the undertaking provides and develops data services primarily to the shareholders; (c) the partnership between shareholders put together the main part of the board of directors of the undertaking with representatives from the shareholders; (d) the shareholders of the undertaking possess the equity investment with the intention of establishing a long term business relationship; (e) acquisition of equity in the undertaking must be approved by the management of the shareholder. These holdings shall be subject to a risk weight of 100 percent. For the purposes of this Article, a long- term equity investment follows the definition in Article 133(4)."

2022/08/11
Committee: ECON

Linea SØGAARD-LIDELL, Pernille WEISS, Nicola BEER, Engin EROGLU, Niels FUGLSANG, Kira Marie PETER-HANSEN

Proposal for a regulation
Article 1 – paragraph 1 – point 12 a (new)

Regulation (EU) No 575/2013
Article 48 – paragraph 1 a (new)

(12 a) in Article 48, the following paragraph is inserted: "1a. Institutions shall exclude holdings of Common Equity Tier 1 instruments in ancillary services undertakings where the following conditions apply: (a) the undertaking is owned in a partnership between other institutions or entities in the financial sector; (b) the undertaking provides and develops data services primarily to the shareholders; (c) the partnership between shareholders put together the main part of the board of directors of the undertaking with representatives from the shareholders; (d) the shareholders of the undertaking possess the equity investment with the intention of establishing a long term business relationship; (e) acquisition of equity in the undertaking must be approved by the management of the shareholder. For the purposes of this Article, a long- term equity investment follows the definition in Article 133(4). These holdings shall be subject to a risk weight of 100 percent."

2022/08/11
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 27 – point a a (new)

Regulation (EU) No 575/2013
Article 104a – paragraph 2 – subparagraph 1 a (new)

(a a) in paragraph 2, the following subparagraph is inserted: Internal transfers of positions between a well identified central treasury management desk and market making desk shall not be considered as reclassification of position if: (a) the transfer of positions is done at arm's length; (b) the scope of the positions transferred is limited to assets eligible to liquidity buffer and financial instruments where such assets are the underlying instruments; (c) positions transferred to treasury shall not have been held by the market making desk for a duration that exceeds the usual holding period of the market making desk set in line with Article 103.

2022/08/11
Committee: ECON

Linea SØGAARD-LIDELL, Pernille WEISS, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 50 a (new)

Regulation (EU) No 575/2013
Article 129 – paragraph 1 – point c

(50 a) in Article 129( 1), point (c) is replaced by the following: ‘(c) exposures to credit institutions that qualify for credit quality step 1 or credit quality step 2 or credit risk assessment grade A, or exposures to credit institutions that qualify for credit quality step 3 or credit risk assessment grade B where those exposures are in the form of: (i) short-term deposits with an original maturity not exceeding 100 days, where used to meet the cover pool liquidity buffer requirement of Article 16 of Directive (EU) 2019/2162; or (ii) derivative contracts that meet the requirements of Article 11(1) of that Directive, where permitted by the competent authorities;’ (iii) guarantees, where permitted by the competent authority " Or. en (https://eur-lex.europa.eu/eli/reg/2019/2160/oj)

2022/08/11
Committee: ECON

Linea SØGAARD-LIDELL, Pernille WEISS, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 50 b (new)

Regulation (EU) No 575/2013
Article 129 – paragraph 1a

(50 b) Article 129(1a) is replaced by the following: " 1a. For the purposes of point (c) of the first subparagraph of paragraph 1, the following shall apply: (a) for exposures to credit institutions that qualify for credit quality step 1, the exposure shall not exceed 15 % of the nominal amount of outstanding covered bonds of the issuing credit institution; (b) for exposures to credit institutions that qualify for credit quality step 2 or credit risk assessment grade A, the exposure shall not exceed 10 % of the nominal amount of outstanding covered bonds of the issuing credit institution; (c) for exposures to credit institutions that qualify for credit quality step 3 or credit risk assessment grade B that take the form of short-term deposits, as referred to in point (c)(i) of the first subparagraph of paragraph 1 of this Article, or the form of derivative contracts, as referred to in point (c)(ii) of the first subparagraph of paragraph 1 of this Article, or the form of guarantees, as referred to in point (c)(iii) of the first subparagraph of paragraph 1 of this Article, the total exposure shall not exceed 8 % of the nominal amount of outstanding covered bonds of the issuing credit institution; the competent authorities designated pursuant to Article 18(2) of Directive (EU) 2019/2162 may, after consulting EBA, allow exposures to credit institutions that qualify for credit quality step 3 or credit risk assessment grade B in the form of derivative contracts or guarantees, provided that significant potential concentration problems in the Member States concerned due to the application of credit quality step 1 and 2 requirements or credit risk assessment grade A referred to in this paragraph can be documented; (d) the total exposure to credit institutions that qualify for credit quality step 1, 2 or 3 shor credit risk assessment grade A or B all not exceed 15 % of the nominal amount of outstanding covered bonds of the issuing credit institution and the total exposure to credit institutions that qualify for credit quality step 2 or 3 or credit risk assessment grade A and B shall not exceed 10 % of the nominal amount of outstanding covered bonds of the issuing credit institution. : " Or. en (https://eur-lex.europa.eu/legal- content/EN/TXT/HTML/?uri=CELEX:32019R2160&from=EN)

2022/08/11
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 50 c (new)

Regulation (EU) No 575/2013
Article 129 – paragraph 4 –subparagraph 1a (new)

(50 c) in Article 129(4), the following subparagraph is added Exposures in the form of derivatives for hedging purposes as referred to in Articles 11 and 4 of Directive (EU) 2019/2162 shall be assigned the same risk weight that the derivative counterparty would assign to the covered bonds. " Or. en (32013R0575)

2022/08/11
Committee: ECON

Linea SØGAARD-LIDELL, Engin EROGLU, Nicola BEER

Proposal for a regulation
Article 1 – point 50 a (new)

Regulation (EU) No 575/2013
Article 129 – paragraph 4 – table 6a

Table 6a Credit 1 2 3 4 5 6 quality step Risk 10% 15% 20% 50% 50% 100% weight (%)

2022/08/11
Committee: ECON

Linea SØGAARD-LIDELL, Pernille WEISS, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 50 d (new)

Regulation (EU) No 575/2013
Article 129 – paragraph 5 – subparagraph 1 a (new)

(50 d) in Article 129(5) the following subparagraph is added: Exposures in the form of derivatives for hedging purposes as referred to in Articles 11 and 4 of Directive (EU) 2019/2162 shall be assigned the same risk weight that the derivative counterparty would assign to the covered bonds. " Or. en (https://eur-lex.europa.eu/eli/reg/2019/2160/oj)

2022/08/11
Committee: ECON

Nicola BEER

Proposal for a regulation
Article 1 – paragraph 1 – point 61 – point c

(EU) No 575/2013
Article 147 – paragraph 3 a

3a. Exposures to regional governments, local authorities or public sector entities shall all be assigned to the exposure class referred to in paragraph 2, point (a1), irrespective of the treatment such exposures would receive under ~~Articles 115 or 116.;~~unless they are treated as exposures to the central government according to Articles 115 or 116. Exposures treated as exposures to central governments according to Articles 115 or 116 shall be assigned to the exposure class referred to in paragraph 2, point (a).

2022/08/11
Committee: ECON

Nicola BEER

Proposal for a regulation
Article 1 – paragraph 1 – point 63 – point a

Regulation (EU) No 575/2013
Article 150 – paragraph 1 – subparagraph 3

~~An institution that is permitted to us~~In addition to the exposures referred to in the second subparagraph an institution may, subject to the competent authority’s prior permission, apply the Standardised Approach for the following exposures where the IRB Approach is applied for othe calculation of risk- weighted exposure amounts for only some types of exposures within an exposure class, shall apply the Standardised Approach for the remaining types of exposures within that exposure class.; r types of exposures within the respective exposure class: (a) exposures to central governments and central banks of the Member States and their regional governments, local authorities, administrative bodies and public sector entities provided that: (i) there is no difference in risk between the exposures to that central government and central bank and those other exposures because of specific public arrangements; and (ii) exposures to the central government and central bank are assigned a 0 % risk weight under Article 114(2) or (4); (b) exposures of an institution to a counterparty which is its parent undertaking, its subsidiary or a subsidiary of its parent undertaking provided that the counterparty is an institution or a financial holding company, mixed financial holding company, financial institution, asset management company or ancillary services undertaking subject to appropriate prudential requirements or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC; (c) exposures between institutions which meet the requirements set out in Article113(7).

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Pernille WEISS, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 74 – point a – point iii a (new)

Regulation (EU) No 575/2013
Article 161 – paragraph 1 –point d

"d) covered bonds and derivatives eligible for the treatment set out in Article 129(4) or (5) may be assigned an LGD value of 11,25%; " Or. en (32013R0575)

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 143 a (new)

Regulation (EU) No 575/2013
Article 325ae – paragraph 3 – subparagraph 1 a (new)

(143a) in Article 325ae(3), the following subparagraph is added: "The domestic currency of the institution referred to in the first subparagraph may also include currencies that the institution has acquired permission by the national competent authority to classify as a domestic currency in accordance with the provision in Article 325bd(new5a).”

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 153 a (new)

Regulation (EU) No 575/2013
Article 325bd – paragraph 5 a (new)

(153 a) in Article 325bd, the following paragraph is inserted: "5a. For the purpose of determining the most liquid currencies and domestic currencies for general interest rate broad risk subcategory in table 2, a competent authority may permit an institution to classify a currency that is not the institution’s reporting currency as a domestic currency. In doing so, the competent authority shall evaluate that the institution has: (a) a sufficiently large presence in the given domestic interest rate market; (b) access to liquidity with the local central bank. " Or. en (32019R0876)

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 159 – point a – point i

Regulation (EU) No 575/2013
Article 325bp – paragraph 5 – point a

"(a) the default probabilities shall be floored at 0,0~~3 %;~~ 1% for covered bond issuers and 0,03 % for all other issuers; exposures which would receive a 0 % risk- weight under the Standardised Approach for credit risk in accordance with Chapter 2 of Title II shall not be floored; " Or. en (32013R0575)

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 166 – point b

Regulation (EU) No 575/2013
Article 382 – paragraph 4 a

4a. By way of derogation from paragraph 4, an institution may choose to calculate an own funds requirements for CVA risk, using any of the applicable approaches referred to in Article 382a, for those transactions that are excluded in accordance with paragraph 4, where the institution uses eligible hedges determined in accordance with Article 386 to mitigate the CVA risk of those transactions. For this purpose, an institution may separate the own funds requirements for CVA risk of those transactions between variability of the counterparty credit spread and variability of the exposure component of CVA risk. Institutions shall establish policies to specify where they choose to satisfy their own funds requirements for CVA risk for such transactions.

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 169

Regulation (EU) No 575/2013
Article 383b – paragraph 8 – introductory part

8. The bucket-specific sensitivity shall be calculated in accordance with paragraphs 5, 6 and 7 for each bucket within a risk class. Once the bucket- specific sensitivity has been calculated for all buckets, weighted sensitivities to all risk factors across buckets shall be aggregated in accordance with the following formula, using the corresponding correlations for weighted sensitivities in different buckets set out in Articles 383l, 383n, 383q, 383u and 383qw, giving rise to the risk-class specific own funds requirements for delta or vega risk:

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 169

Regulation (EU) No 575/2013
Article 383d – paragraph 1

1. The foreign exchange delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to foreign exchange spot rates shall be the spot foreign exchange rates between the currency in which an instrument is denominated and the institution's reporting currency or the institution's base currency where the institution is using a base currency in accordance with Article 325q (7). There shall be one bucket per currency pair, containing a single risk factor and a single net sensitivity.

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Nicola BEER, Engin EROGLU

Proposal for a regulation
Article 1 – paragraph 1 – point 169

Regulation (EU) No 575/2013
Article 383l – paragraph 3 a (new) and 3 b (new)

3a. The correlation parameter γbc = 50 % shall be used to aggregate general interest risk factors belonging to different buckets. 3b. The correlation parameter γbc = 80 % shall be used to aggregate general interest rate risk factors based on a currency as referred to in Article 325av (3) and a general interest rate risk factor based on the euro.

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Engin EROGLU, Nicola BEER

Proposal for a regulation
Article 1 – paragraph 1 – point 169

Regulation (EU) No 575/2013
Article 383o – paragraph 1 – table 3 – row 9 a (new)

9 Other sector 5,0% 9a (new) Covered bonds issued by 1,0% credit institutions established in Member States 10 Qualified indices 1,5%

2022/08/18
Committee: ECON

Linea SØGAARD-LIDELL, Pernille WEISS, Nicola BEER, Engin EROGLU, Niels FUGLSANG