What changed between the draft committee report and the plenary report

Added:‘3. For retail exposures that are not in default and are secured or partly secured by residential property, a coefficient of correlation R of 0,15 shall replace the figure produced by the coefficient of correlation formula in paragraph 1.

Added:The risk-weight calculated for an exposure partly secured by residential property pursuant to paragraph 1, point (ii), taking into account a coefficient of correlation R as set out in the first subparagraph of this paragraph, shall be applied both to the secured and the unsecured portion of the underlying exposure.’;

Added:(d) paragraph 4 is replaced by the following:

Added:‘4. For QRREs that are not in default, a coefficient of correlation R of 0,04 shall replace the figure produced by the coefficient of correlation formula in paragraph 1.

Added:Competent authorities shall review the relative volatility of loss rates across QRREs belonging to the same type of exposures, as well as across the aggregate QRRE exposure class, and shall share information on the typical characteristics of qualifying revolving retail loss rates across Member States and with EBA.’;

Added:(68) Article 155 is deleted;

Added:(69) in Article 157, the following paragraph 6 is added:

Added:‘6. EBA shall develop draft regulatory technical standards to specify further:

Added:(a) the methodology for the calculation of risk-weighted exposure amount for dilution risk of purchased receivables, including recognition of credit risk mitigation in accordance with Article 160(4), and the conditions for the use of own estimates and fall-back parameters;

Added:(b) the assessment of the immateriality criterion for types of exposures referred to in paragraph 5;

Added:EBA shall submit those draft regulatory technical standards to the Commission by 31 December 2025.

Added:Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;

Added:(70) Article 158 is amended as follows:

Added:(a) in paragraph 5, the last subparagraph is deleted;

Added:(b) paragraphs 7, 8 and 9 are deleted.

Added:(71) Article 159 is replaced by the following:

Added:‘Article 159 Treatment of expected loss amounts, IRB shortfall and IRB excess

Added:Institutions shall subtract the expected loss amounts of exposures referred to in Article 158, paragraphs 5, 6 and 10 from the sum of all of the following:

Added:(a) the general and specific credit risk adjustments related to those exposures, calculated in accordance with Article 110;

Added:(b) additional value adjustments related to the non-trading book business of the institution determined in accordance with Articles 34, related to those exposures;

Added:(c) other own funds reductions related to those exposures other than the deductions made in accordance with Article 36(1), point (m).

Added:Where the calculation performed in accordance with the first subparagraph results in a positive amount, the amount obtained shall be called ‘IRB excess’. Where the calculation performed in accordance with the first subparagraph results in a negative amount, the amount obtained shall be called ‘IRB shortfall’.

Added:For the purposes of the calculation referred to in the first paragraph, institutions shall treat discounts ▌determined in accordance with Article 166(1) on balance sheet exposures purchased when in default in the same manner as specific credit risk adjustments. Discounts or premiums on balance sheet exposures purchased when not in default shall not be allowed to be included in the calculation of the IRB shortfall or IRB excess. Specific credit risk adjustments on exposures in default shall not be used to cover expected loss amounts on other exposures. Expected loss amounts for securitised exposures and general and specific credit risk adjustments related to those exposures shall not be included in the calculation of the IRB shortfall or IRB excess.’;

Added:(72) in Section 4, the following Sub-Section 0 is inserted:

Added:‘Sub-Section 0 Exposures covered by guarantees provided by Member States’ central governments and central banks or the ECB

Added:For the purposes of Chapter 3, and in particular with regard to Articles 160(1), 161(4), 164(4) and 166(8c), where an exposure is covered by an eligible guarantee provided by a Member State’s central government or central bank or by the ECB, the PD, LGD and CCF input floors shall not apply to the part of the exposure covered by that guarantee. However, the part of the exposure that is not covered by that guarantee shall be subject to the PD, LGD and CCF input floors concerned.’;

Added:(73) Article 160 is amended as follows:

Added:(a) paragraph 1 is replaced by the following:

Added:‘1. For exposures assigned to the exposure class ‘exposures to institutions’ referred to in Article 147(2), point (b), or ‘exposures to corporates’ referred to in Article 147(2), point (c), for the sole purposes of calculating risk weighted exposure amounts and expected loss amounts of those exposures, in particular for the purposes of Article 153, Article 157, Article 158(1), Article 158(5) and Article 158(10), the PD for each exposure that is used in the input of the risk weights and expected loss formulas shall not be less than the following value: 0,05 % (‘PD input floor’).’;

Added:(aa) the following paragraph is inserted:

Added:1a. For exposures assigned to the exposure class ‘regional and local authorities and to public sector entities (‘RGLA-PSE’)’, referred to in Article 147(2), point (a1), for the sole purposes of calculating risk weighted exposure amounts and expected loss amounts of those exposures, the PD values used in the input of the risk weights and expected loss formulas shall not be less than the following value: 0,03% (‘PD input floor’).’;

Added:(b) paragraph 4 is replaced by the following:

Added:‘4. For an exposure covered by an UFCP, an institution using own LGD estimates under Article 143 for both the original exposure and for direct comparable exposures to the protection provider may recognise the unfunded credit protection in the PD in accordance with Article 183.’;

Added:(c) paragraph 5 is deleted;

Added:(d) paragraph 6 is replaced by the following:

Added:‘6. For dilution risk of purchased corporate receivables, PD shall be set equal to the EL estimate of the institution for dilution risk. An institution that has received permission from the competent authority pursuant to Article 143 to use own LGD estimates for corporate exposures that can decompose its EL estimates for dilution risk of purchased corporate receivables into PDs and LGDs in a manner that the competent authority considers to be reliable, may use the PD estimate that results from this decomposition. Institutions may recognise unfunded credit protection in the PD in accordance with Chapter 4.’;

Added:(e) paragraph 7 is replaced by the following:

Added:‘7. An institution that has received the permission of the competent authority pursuant to Article 143 to use own LGD estimates for dilution risk of purchased corporate receivables, may recognise unfunded credit protection by adjusting PDs subject to Article 161(3).’;

Added:(74) Article 161 is amended as follows:

Added:(a) paragraph 1 is amended as follows:

Added:(i) point (a) is replaced by the following:

Added:‘(a) senior exposures without eligible FCP to central governments and central banks and financial sector entities: 45 %;’;

Added:(ii) the following point (aa) is inserted:

Added:‘(aa) senior exposures without eligible FCP, to corporates which are not financial sector entities: 40 %;’;

Added:(iii) point (c) is deleted;

Added:(iv) point (e) is replaced by the following:

Added:‘(e) for senior purchased corporate receivables exposures where an institution is not able to estimate PDs or where the institution's PD estimates do not meet the requirements set out in Section 6: 40 %;’;

Added:(v) point (g) is replaced by the following

Added:‘(g) for dilution risk of purchased corporate receivables: 100 %.’;

Added:(b) paragraph 3 and 4 are replaced by the following:

Added:‘3. For an exposure covered by an unfunded credit protection, an institution using own LGD estimates pursuant to Article 143 for both the original exposure and for direct comparable exposures to the protection provider may recognise the unfunded credit protection in the LGD in accordance with Article 183.

Added:4. For exposures assigned to the exposure class ‘corporate exposure class’ ▌for the sole purpose of calculating risk weighted exposure amounts and expected loss amounts of those exposures, and in particular for the purposes of Article 153(1), point (iii), Article 157, Article 158, paragraphs 1, 5 and 10, where own LGD estimates are used, the LGD for each exposure used as an input of the risk weight and expected loss formulas shall not be less than the following LGD input floor values, and calculated in accordance with paragraph 5:

Added:Table 2a

Added:;’;

Added:(c) the following paragraphs are added:

Added:‘5. For the purposes of paragraph 4, the LGD input floors in Table 2a in that paragraph for exposures fully secured with FCP shall apply when the value of the FCP, after the application of the volatility adjustments Hc and Hfx concerned in accordance with Article 230, is equal to or exceeds the value of the underlying exposure. In addition, those values shall be applicable for FCP eligible pursuant to this Chapter. In that case, the type of FCP "Other physical collateral" in Table 2aaa of Article 230 shall be understood as "Other physical and other eligible collateral".

Added:The applicable LGD input floor (LGDfloor) for an exposure partially secured with FCP is calculated as the weighted average of LGDU-floor for the portion of the exposure without FCP and LGDS-floor for the fully secured portion, as follows:

Added:where:

Added:LGDU-floor and LGDS-floor are the relevant floor values of Table 2a;

Added:E , ES , EU and HE are determined as specified in Article 230.