What changed between the draft committee report and the plenary report

Added:= the value of a given security, commodity or cash position j that is either borrowed, purchased with an agreement to resell, or held by the institution under the agreement;

Added:= the net position (positive or negative) in a given currency k other than the settlement currency of the agreement as calculated in accordance with paragraph 2, point (b);

Added:= the foreign exchange volatility adjustment for currency k;

Added:= the net exposure of the agreement, calculated as follows:

Added:where:

Added:l = the index that denotes all distinct groups of the same securities and all distinct types of the same commodities under the agreement;

Added:= the net position (positive or negative) in a given group of securities l, or a given type of commodities l, under the agreement, calculated in accordance with paragraph 2, point (a);

Added:= the volatility adjustment appropriate to a given group of securities l, or a given type of commodities l, determined in accordance with paragraph 2, point (c). The sign of shall be determined as follows:

Added:(a) it shall have a positive sign where the group of securities l is lent, sold with an agreement to repurchase, or transacted in a manner similar to either securities lending or a repurchase agreement;

Added:(b) it shall have a negative sign where group of securities l is borrowed, purchased with an agreement to resell, or transacted in a manner similar to either a securities borrowing or reverse repurchase agreement;

Added:N = the total number of distinct groups of the same securities and distinct types of the same commodities under the agreement; for the purposes of this calculation, those groups and types for which is less than shall not be counted;

Added:= the gross exposure of the agreement, calculated as follows:

Added:.’;

Added:(111) Article 221 is amended as follows:

Added:(a) paragraphs 1, 2 and 3 are replaced by the following:

Added:‘1. For the purposes of calculating risk-weighted exposure amounts and expected loss amounts for securities financing transactions or other capital market-driven transactions other than derivative transactions covered by an eligible master netting agreement that meets the requirements set out in Chapter 6, Section 7, an institution may calculate the fully adjusted exposure value (E*) of the agreement using the internal models approach, provided that the institution meets the conditions set out in paragraph 2.’;

Added:2. An institution may use the internal models approach where all of the following conditions are met:

Added:(a) the institution uses that approach only for exposures for which the risk weighted exposures amounts are calculated under the IRB Approach set out in Chapter 3;

Added:(b) the institution is granted the permission to use that approach by its competent authorities’;

Added:3. An institution that uses an internal models approach shall do so for all counterparties and securities, with the exception of immaterial portfolios for which it may use the Supervisory Volatility Adjustments Approach laid down in Article 220’;

Added:(b) paragraph 8 is deleted.

Added:(111a) in Article 222, paragraph1 is replaced by the following:

Added:‘1. Institutions may use the Financial Collateral Simple Method where they calculate risk-weighted exposure amounts under the Standardised Approach. Institution shall not use both the Financial Collateral Simple Method and the Financial Collateral Comprehensive Method, except for the purposes of Articles 148(1) and 150(1). Institutions shall not use this exception selectively with the purpose of achieving reduced own funds requirements or with the purpose of conducting regulatory arbitrage.’;

Added:(112) Article 223 is amended as follows

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

Added:‘(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.’;

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

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

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

Added:‘Table 1

Added:Table 2

Added:Table 3

Added:Other collateral or exposure types

Added:Table 4

Added:Volatility adjustment for currency mismatch (Hfx)

Added:’;

Added:(114) Article 225 is deleted;

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

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

Added: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:

Added:where:

Added:H = the volatility adjustment to be applied;

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

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

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

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

Added:‘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.’;

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

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

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

Added:(b) paragraph 2 is deleted;

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

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

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

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

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

Added:(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;

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

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

Added:(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;