Commission Directive 2009/83/EC of 27 July 2009 amending certain Annexes to Directive 2006/48/EC of the European Parliament and of the Council as regards technical provisions concerning risk management (Text with EEA relevance )

• Published date: 28 July 2009
• Subject Matter: Approximation of laws,Internal market - Principles,Freedom of establishment
• Official Gazette Publication: Official Journal of the European Union, L 196, 28 July 2009

28.7.2009 EN Official Journal of the European Union L 196/14

---

COMMISSION DIRECTIVE 2009/83/EC

of 27 July 2009

amending certain Annexes to Directive 2006/48/EC of the European Parliament and of the Council as regards technical provisions concerning risk management

(Text with EEA relevance)

THE COMMISSION OF THE EUROPEAN COMMUNITIES,

Having regard to the Treaty establishing the European Community,

Having regard to Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (1), in particular Article 150(1)(l) thereof,

Whereas:

(1) In order to ensure a coherent implementation and application throughout the EU of Directive 2006/48/EC, the Commission and the Committee of European Banking Supervisors set up a working group (Capital Requirements Directive Transposition Group — CRDTG) in 2006, entrusted with the task of discussing and resolving issues related to the implementation and application of that Directive. According to the CRDTG, certain technical provisions included in Annexes V, VI, VII, VIII, IX, X and XII to Directive 2006/48/EC need to be further specified in order to ensure a convergent application. Moreover, certain provisions are not commensurate with sound risk management practices of credit institutions. It is therefore appropriate to adjust these provisions.

(2) For the sake of achievement of the internal market, the ways in which a credit institution can demonstrate that there is significant transfer of risk off its balance sheet should be clarified. It is also appropriate to increase the credit conversion factor for liquidity facilities granted by credit institutions to off-balance sheet vehicles.

(3) Directive 2006/48/EC should therefore be amended accordingly.

(4) The measures provided for in this Directive are in accordance with the opinion of the European Banking Committee,

HAS ADOPTED THIS DIRECTIVE:

Article 1

Directive 2006/48/EC is amended as follows:

1. in Annex V, point 8 is replaced by the following: ‘8. The risks arising from securitisation transactions in relation to which the credit institutions are investor, originator or sponsor shall be evaluated and addressed through appropriate policies and procedures. These policies and procedures shall in particular ensure that the economic substance of the transaction is fully reflected in the risk assessment and management decisions.’;

2. Annex VI, Part 1, is amended as follows: (a) in point 29, the introductory phrase is replaced by the following: ‘29. Exposures to institutions with a residual maturity of more than three months for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 4 in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale.’; (b) in point 31, the introductory phrase is replaced by the following: ‘31. Exposures to an institution of up to three months residual maturity for which a credit assessment by a nominated ECAI is available shall be assigned a risk-weight according to Table 5 in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale:’; (c) point 14 is replaced by the following: (d) in point 73, the introductory phrase is replaced by the following: ‘73. Exposures to institutions where points 29 to 32 apply, and exposures to corporates for which a short-term credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 7, in accordance with the mapping by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale:’; (e) the following point 90 is added: ‘90. The exposure value for leases shall be the discounted minimum lease payments. Minimum lease payments are the payments over the lease term that the lessee is or can be required to make and any bargain option (i.e. option the exercise of which is reasonably certain). Any guaranteed residual value fulfilling the set of conditions in Annex VIII, Part 1, points 26, 27 and 28 regarding the eligibility of protection providers as well as the minimum requirements for recognising other types of guarantees provided in Annex VIII, Part 2, points 14 to 19 shall also be included in the minimum lease payments. These exposures shall be assigned to the relevant exposure class in accordance with Article 79. When the exposure is a residual value of leased properties, the risk weighted exposure amounts shall be calculated as follows: 1/t * 100 % * exposure value, where t is the greater of 1 and the nearest number of whole years of the lease remaining.’;

3.

Annex VII, Part 1, is amended as follows: (a) point 25 is replaced by the following: ‘25. The risk weighted exposure amount shall be the potential loss on the credit institution’s equity exposures as derived using internal value-at-risk models subject to the 99th percentile, one-tailed confidence interval of the difference between quarterly returns and an appropriate risk-free rate computed over a long-term sample period, multiplied by 12.5. The risk weighted exposure amounts at the equity portfolio level shall not be less than the total of the sums of minimum risk weighted exposure amounts required under the PD/LGD Approach and the corresponding expected loss amounts multiplied by 12.5 and calculated on the basis of the PD values set out in Part 2, point 24 and the corresponding LGD values set out in Part 2, points 25 and 26.’; (b) point 27 is replaced by the following: ‘27. The risk weighted exposure amounts shall be calculated according to the following formula: Risk-weighted exposure amount = 100 % * exposure value, except for when the exposure is a residual value of leased properties in which case it shall be calculated as follows: 1/t * 100 % * exposure value, where t is the greater of 1 and the nearest number of whole years of the lease remaining.’;

4. Annex VII, Part 2, is amended as follows: (a) point 13(c) is replaced by the following: ‘(c) For exposures arising from fully or nearly-fully collateralised derivative instruments (listed in Annex IV) transactions and fully or nearly-fully collateralised margin lending transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least 10 days. For repurchase transactions or securities or commodities lending or borrowing transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least 5 days. The notional amount of each transaction shall be used for weighting the maturity;’; (b) in point 14, the introductory phrase is replaced by the following: ‘14. Notwithstanding point 13(a), (b), (c), (d) and (e), M shall be at least one-day for:’;

5. in Annex VII, Part 4, point 96 is replaced by the following: ‘96. The requirements in points 97 to 104 shall not apply for guarantees provided by institutions, central governments and central banks, and corporate entities which meet the requirements laid down in Annex VIII, Part 1, point 26(g) if the credit institution has received approval to apply the rules of Articles 78 to 83 for exposures to such entities. In this case the requirements of Articles 90 to 93 shall apply.’;

6. Annex VIII, Part 1 is amended as follows: (a) in point 9, the following paragraph is added: ‘If the collective investment undertaking is not limited to investing in instruments that are eligible for recognition under points 7 and 8, units may be recognised with the value of the eligible assets as collateral under the assumption that the CIU has invested to the maximum extent allowed under its mandate in non-eligible assets. In cases where non-eligible assets can have a negative value due to liabilities or contingent liabilities resulting from ownership, the credit institution shall calculate the total value of the non-eligible assets and shall reduce the value of the eligible assets by that of the non-eligible assets in case the latter is negative in total.’; (b) in point 11, the following paragraph is added: ‘If the collective investment undertaking is not limited to investing in instruments that are eligible for recognition under point 7 and 8 and the items mentioned in point (a) of this point, units may be recognised with the value of the eligible assets as collateral under the assumption that the CIU has invested to the maximum extent allowed under its mandate in non-eligible assets. In cases where non-eligible assets can have a negative value due to liabilities or contingent liabilities resulting from ownership, the credit institution shall calculate the total value of the non-eligible assets and shall reduce the value of the eligible assets by that of the non-eligible assets in case the latter is negative in total.’;

7.

Annex VIII, Part 2, is amended as follows: (a) point 13 is replaced by the following: ‘13. For life insurance policies pledged to the lending credit institution to be recognised, all the following conditions shall be met: (a) the life insurance policy is openly pledged or assigned to the lending credit institution;

...