2 Amendments of Alfredo PALLONE related to 2009/0099(COD)
Amendment 141 #
Proposal for a directive – amending act
Article 2 – point 3 a (new)
Article 2 – point 3 a (new)
Directive 2006/49/EC
Article 47
Article 47
(3a) Article 47 is replaced by the following: "Until 30 June 2011 or any earlier date specified by the competent authorities on a case-by-case basis, institutions that have received specific risk model recognition prior to 1 January 2007 in accordance with point 1 of Annex V may, for that existing recognition, treat points 4 and 8 of Annex VIII to Directive 93/6/EEC as those points stood prior to 1 January 2007."
Amendment 222 #
Proposal for a directive – amending act
Annex II – point 3 – point f
Annex II – point 3 – point f
Directive 2006/49/EC
Annex V – point 8 – paragraph 1
Annex V – point 8 – paragraph 1
For the purposes of point 10b(a) and 10b(b), the multiplication factors (m+c and ms) shall be increased by a plus-factor of between 0 and 1 in accordance with Table 1, depending on the number of overshootings for the most recent 250 business days as evidenced by the institution's back-testing of the value-at- risk measure as set out in point 10. Competent authorities shall require the institutions to calculate overshootings consistently on the basis of back-testing at least on hypothetical changes in the portfolio's value. An overshooting is a one- day change in the portfolio's value that exceeds the related one-day value-at-risk measure generated by the institution's model. For the purpose of determining the plus-factor the number of overshootings shall be assessed at least quarterly.