What changed between the plenary report and the adopted text

Removed:(a) in paragraph 4, point (b) is replaced by the following:

Removed:‘(b) for off-balance sheet items other than derivatives treated under the IRB Approach, institutions shall calculate their exposure values using CCFs of 100 % instead of the SA-CCFs or IRB-CCFs provided for in Article 166, paragraphs 8, 8a and 8b.’;

Removed:(b) paragraph 6 is replaced by the following:

Removed:‘6. Institutions shall calculate volatility adjustments by using the Supervisory Volatility Adjustments Approach referred to in Articles 224 to 227.’;

Removed:(113) In Article 224, paragraph 1, Tables 1 to 4 are replaced by the following:

Removed:‘Table 1

Removed:Table 2

Removed:Table 3

Removed:Other collateral or exposure types

Removed:Table 4

Removed:Volatility adjustment for currency mismatch (Hfx)

Removed:’;

Removed:(114) Article 225 is deleted;

Removed:(115) Article 226 is replaced by the following:

Removed:‘Article 226 Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method

Removed:The volatility adjustments set out in Article 224 are the volatility adjustments an institution shall apply where there is daily revaluation. Where the frequency of revaluation is less than daily, institutions shall apply larger volatility adjustments. Institutions shall calculate them by scaling up the daily revaluation volatility adjustments, using the following square-root-of-time formula:

Removed:where:

Removed:H = the volatility adjustment to be applied;

Removed:= the volatility adjustment where there is daily revaluation;

Removed:= the actual number of business days between revaluations;

Removed:= the liquidation period for the type of transaction in question.’;

Removed:(116) in Article 227, paragraph 1 is replaced by the following:

Removed:‘1. Institutions that use the Supervisory Volatility Adjustments Approach referred to in Article 224, may, for repurchase transactions and securities lending or borrowing transactions, apply a 0 % volatility adjustment instead of the volatility adjustments calculated under Articles 224 to 226, provided that the conditions set out in paragraph 2, points (a) to (h) are satisfied. Institutions that use the internal models approach set out in Article 221 shall not use the treatment set out in this Article.’;

Removed:(117) Article 228 is amended as follows:

Removed:(a) the title is replaced by the following:

Removed:‘Calculating risk-weighted exposure amounts under the Financial Collateral Comprehensive method for exposures in the Standardised Approach’;

Removed:(b) paragraph 2 is deleted;

Removed:(118) Article 229 is amended as follows:

Removed:(a) the title is replaced by the following:

Removed:‘Valuation principles for eligible collateral other than financial collateral’;

Removed:(b) paragraph 1 is replaced by the following:

Removed:‘1. The valuation of immovable property shall meet all of the following requirements:

Removed:(a) the value shall be appraised independently from an institution’s mortgage acquisition, loan processing and loan decision process by an independent valuer who possesses the necessary qualifications, ability and experience to execute a valuation;

Removed:(b) the value is appraised using prudently conservative valuation criteria which meet all of the following requirements:

Removed:(i) the value excludes expectations on price increases;

Removed:(ii) the value is adjusted to take into account the potential for the current market price to be significantly above the value that would be sustainable over the life of the loan;

Removed:(c) the value is not higher than a market value for the immovable property where such market value can be determined.

Removed:The value of the collateral shall reflect the results of the monitoring required under Article 208(3) and take account of any prior claims on the immovable property.’;

Removed:(119) Article 230 is replaced by the following:

Removed:‘Article 230 Calculating risk-weighted exposure amounts and expected loss amounts for an exposure with an eligible FCP under the IRB Approach

Removed:1. Under the IRB Approach, except for those exposures that fall under the scope of Article 220, institutions shall use the effective LGD (LGD*) as the LGD for the purposes of Chapter 3 to recognise funded credit protection eligible pursuant to this Chapter. Institutions shall calculate LGD* as follows:

Removed:where:

Removed:E = the exposure value before taking into account the effect of the funded credit protection. For an exposure secured with financial collateral eligible in accordance with this Chapter, that amount shall be calculated in accordance with Article 223(3). In the case of securities lent or posted, that amount shall be equal to the cash lent or securities lent or posted. For securities that are lent or posted the exposure value shall be increased by applying the volatility adjustment (HE) in accordance with Articles 223 to 227;

Removed:ES = the current value of the funded credit protection received after the application of the volatility adjustment applicable to that type of funded credit protection (HC) and the application of the volatility adjustment for currency mismatches (Hfx) between the exposure and the funded credit protection, in accordance with paragraphs 2 and 2a. ES shall be capped at the following value: E·(1+HE);

Removed:EU = E·(1+HE) - ES;

Removed:LGDU = the applicable LGD for an unsecured exposure as set out in Article 161(1);

Removed:LGDS = the applicable LGD to exposures secured by the type of eligible FCP used in the transaction, as specified in paragraph 2, Table 2aaa.

Removed:2. Table 2aaa specifies the values of LGDS and Hc applicable in the formula set out in paragraph 1.

Removed:Table 2aaa

Removed:2a. Where an eligible funded credit protection is denominated in a different currency than that of the exposure, the volatility adjustment for currency mismatch (Hfx) shall be the same as the one that applies pursuant to Articles 224 to 227.

Removed:3. As an alternative to the treatment set out in paragraphs 1 and 2, and subject to Article 124(7), institutions may assign a 50 % risk weight to the part of the exposure that is, within the limits set out in Article 125(1), point (a) and Article 126(1), point (a) respectively, fully collateralised by residential property or commercial immovable property situated within the territory of a Member State where all of the conditions laid down in Article 199, paragraph 3 or 4 are met.

Removed:4. To calculate risk-weighted exposure amounts and expected loss amounts for IRB exposures that fall within the scope of Article 220, institutions shall use E* in accordance with Article 220(4) and shall use LGD for unsecured exposures, as set out in Article 161(1), points (a), (aa) and (b).’;

Removed:(120) Article 231 is replaced by the following:

Removed:‘Article 231 Calculating risk-weighted exposure amounts and expected loss amounts in the case of pools of eligible funded credit protections for an exposure under the IRB Approach

Removed:Institutions that have obtained multiple types of funded credit protections may, for exposures treated under the IRB Approach, apply the formula set out in Article 230, sequentially for each individual type of collateral. For that purpose, those institutions shall, after each step of recognising one individual type of FCP, reduce the remaining value of the unsecured exposure (EU) by the adjusted value of the collateral (ES) recognised in that step. In accordance with Article 230(1), the total of ES across all funded credit protection types shall be capped at the value of E·(1+HE), resulting in the following formula:

Removed:where:

Removed:LGDS,i = the LGD applicable to FCP i, as specified in Article 230(2);

Removed:ES,i = the current value of FCP i received after the application of the volatility adjustment applicable for the type of FCP (Hc) pursuant to Article 230(2).’;

Removed:(121) in Article 232, paragraph 1 is replaced by the following:

Removed:‘1. Where the conditions set out in Article 212(1) are met, cash on deposit with, or cash assimilated instruments held by, a third party institution in a non-custodial arrangement and pledged to the lending institution, may be treated as a guarantee provided by the third party institution.’;