CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
1. Identification of the respondent: Leaseurope, European Federation of Leasing Company Associations
2. Additional information on respondent:
aa) size (balance sheet total) bb) chosen/planned approaches (SA, IRB, AMA etc.) cc) cross-border activities (please indicate in
which countries you are active and in what form
a) institutions
[parent, subsidiary, branch])
aa) number of institutions represented bb) major activities of these institutions cc) cross-border relevance
Leaseurope represents more than 1300 leasing Leasing Leasing firms may belong to banking groups or be
firms throughout Europe independent or captive companies. In all cases,
b) associations they may have a cross border presence,
established in the form of a local subsidiary or
branch. Furthermore, the industry has witnessed
a phenomenon of concentration during recent
years, implying fewer players but with activities
on a pan-European basis.
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Article 57 (second Inclusion of interim Member States may permit the inclusion of interim profits
last paragraph) profits before a formal decision has been taken on the accounts,
subject to conditions.
OWN FUNDS 80 % (7 %) 13 %
Article 58 Waiver on certain Shares in another credit institution, financial institution,
deductions insurance or reinsurance undertaking may not be deducted if
held temporarily for the purposes of a financial assistance
operation designed to reorganise and save the entity.
OWN FUNDS 73 % (3 %) 23 %
Article 59 Alternatives to As an alternative to deductions of participations and capital
deductions instruments held in other financial institutions, credit institutions
may be allowed to apply, with the necessary changes, any of
the methodologies set out in Annex 1 to the Conglomerates
OWN FUNDS Directive. 57 % (0 %) 43 %
Article 60 Deductions for stand- For the purposes of the calculation of their stand alone
alone requirements requirements, institutions may not be required to deduct
purposes holdings and participations in institutions included in the scope
of their consolidation.
OWN FUNDS 57 % (7 %) 37 %
Articles 61, 63.1, List of own funds The list of own funds elements in the Directive is a maximum,
64.3 and 65 both in items and amounts. Member States may choose not to
admit certain elements or to apply lower ceilings. They can add
further deductions. Member states may choose to accept other
OWN FUNDS elements of own funds different from those in article 57, subject 72 % (21 %) 3% 3%
to conditions. Finally they can decide on the possible inclusion
of cumulative preferential shares and subordinated loan capital
and on the inclusion of certain elements normally accounted for
as assets, when they bear a credit ('negative') sign.
Article 13.2 Alternative form of Investment firms that, in view of the services they provide, are
Dir. 2006/49/EC calculation for allowed to calculate their own funds as a percentage of the
investment firms not turnover of the previous year (Article 21), may be also
providing certain authorised to apply a definition of own funds other than that
OWN FUNDS services and applying prescribed by the directive 2006/48/EC. 47 % (3 %) 3% 7% 13 %
Article 21
Article 13.5 Flexibility in the If an institution is calculating its own funds in accordance with
Dir. 2006/49/EC composition of own the alternative offered in Article 13.2 of directive 2006/49/EC, it
funds for investment can be allowed to substitute subordinated loans by other
firms making use of elements described in Article 57 of directive 2006/48/EC,
OWN FUNDS the option in Article mainly as Tier 2. 27 % 6% 13 %
13.2
Article 14 Excess of The Competent Authorities may allow investment firms to hold
Dir. 2006/49/EC subordinated capital subordinated capital in excess of ordinary thresholds, up to
certain limits.
OWN FUNDS 27 % (7 %) 5% 17 %
Page 1 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Article 69.1 Individual waiver for Member States may grant individual institutions which are
subsidiaries subsidiaries within a group, subject to the fulfilment of certain
conditions, an exemption from individual requirements. The
SCOPE OF
same applies where the parent company is a financial holding
company. 40 % 57 % 3%
APPLICATION
Article 69.3 Individual waiver for Member States may grant individual institutions which are the
parent credit parent company within a group, subject to the fulfilment of
institutions certain conditions, an exemption from individual requirements.
SCOPE OF
30 % 77 % 3%
APPLICATION
Article 70 Solo consolidation Member States may allow, on a case-by-case basis, for the
purpose of the calculation of the individual requirements of the
parent institution, and subject to certain conditions, the
SCOPE OF
incorporation of subsidiaries whose material exposures or
liabilities are all to that parent institution. 33 % (3 %) 60 % 3%
APPLICATION
Article 72.3 Exemption from Pillar The Competent Authorities may decide to exempt, fully or
III partially, a credit institution from Pillar III requirements provided
such institution is included within a group complying with
SCOPE OF
comparable disclosures on a consolidated basis in a third
country. 50 % (7 %) 43 %
APPLICATION
Article 73.1 Exemption from Member States may decide that, if certain conditions are met,
consolidation some subsidiaries need not be included in consolidation.
SCOPE OF
73 % (17 %) 7% 3%
APPLICATION
Articles 22, 24 & 25 Consolidated waiver A group of investment firms may be exempted from
Dir. 2006/49/EC for investment firms consolidated capital requirements, on a case-by-case basis,
provided conditions are met.
SCOPE OF
25 % (4 %) 54 % 4% 14 %
APPLICATION
Annex III, Part 3 Alternative template For institutions complying with certain requirements in their
for the calculation of trading activities in commodities, gold and other products,
potential future value Member States may allow percentages for the calculation of
COUNTERPARTY in certain cases potential future value other than the general ones.
RISK IN 30 % 63 % 7%
DERIVATIVES
Annex III, Part 6, Higher value of Member States may set a value for coefficient Alpha higher
Para. 7 coefficient Alpha than 1.4.
(multiplier to calculate
COUNTERPARTY the exposure value of
RISK IN certain contracts) 60 % 37 % 3%
DERIVATIVES
Annex III, Part 6, Internal determination Member States may allow institutions to calculate Alpha
Para. 12 of the value of internally, subject to a floor of 1.2.
coefficient Alpha
COUNTERPARTY (multiplier to calculate
RISK IN the exposure value of 67 % (7 %) 23 % 3%
DERIVATIVES certain contracts)
Annex III, Part 7c (ii) Calculation At the discretion of Competent Authorities, credit institutions
(separate/aggregate) may use either separate calculation or aggregate calculation
of 'net-to-gross ratio' when calculating the 'net-to-gross ratio'. If Member States
COUNTERPARTY permit credit institutions a choice of methods, the method
RISK IN chosen is to be used consistently. 63 % 30 % 7%
DERIVATIVES
Article 80.3 & Annex Risk-weighting Member States may choose between two alternative methods
VI, Part 1, Para. 24 exposures to credit for risk-weighting exposures to credit institutions: (a) on the
institutions basis of the risk-weight of the corresponding central
STANDARDISED
government and (b) on the basis of the credit assessment of the
institution itself. (a) ((b)) 37 % 53 %
APPROACH
Article 80.7 Exemption of intra- If certain conditions are met, the Competent Authorities may
group exposures from assign a 0% risk-weight on exposures not forming part of "own
risk-weighted funds" of a credit institution to its parent undertaking, its
STANDARDISED
exposures subsidiary, a subsidiary of its parent undertaking or an
undertaking linked by a relationship within the meaning of 60 % (10 %) 30 %
APPROACH
Article 12(1) of Directive 83/349/EEC.
Page 2 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Article 80.8 Treatment of If certain conditions are met, the Competent Authorities may
exposures to a assign a 0% risk weight on exposures not forming part of "own
counter-party which is funds" to counterparties which are members of the same
STANDARDISED
member of the same institutional protection scheme as the lending institution.
institutional protection 23 % 77 %
APPROACH
scheme.
Article 83.2 Permission to use In order to use unsolicited ratings, credit institutions must get
unsolicited ratings permission from the Competent Authorities. To make this
possible, that alternative should be incorporated to legislation
STANDARDISED
(implicit discretion).
67 % (17 %) 17 %
APPROACH
Annex VI, Part 1, Recognition of a third When a third country with supervisory/regulatory arrangements
Para. 5 country's treatment of at least equivalent to those in the Community, assigns for the
central government exposures to its own central government and central bank
STANDARDISED
and central bank denominated and funded in the domestic currency a lower risk
exposures weight than the one applicable in principle, a member state 80 % (7%) 13 %
APPROACH
may allow the risk-weight of such exposures in the same
manner.
Annex VI, Part 1, Recognition of a third When a third country with supervisory/regulatory arrangements
Para. 11 country's treatment of at least equivalent to those in the Community treats exposures
regional governments to regional government and local authorities as exposures to its
STANDARDISED
and local authorities central government, a Member State may allow the risk-weight
of such exposures in the same manner. 90 % (3 %) 7%
APPROACH
Annex VI, Part 1, Treatment of public Exposures to public sector entities may be treated as exposures
Para. 14 sector entities as to credit institutions, without applying the preferential weights
institutions applicable to short term exposures to institutions.
STANDARDISED
70 % (7 %) 23 %
APPROACH
Annex VI, Part 1, Treatment of The Competent Authorities may, in exceptional cases, treat
Para. 15 exposures to public exposures to public sector entities as exposures to the central
sector entities government in whose jurisdiction they are established where, in
STANDARDISED
guaranteed by central their opinion, there is no difference in the risk between such
governments exposures because of the existence of an appropriate 67 % (13 %) 20 %
APPROACH
guarantee from the central government.
Annex VI, Part 1, Recognition of a third When a third country with supervisory/regulatory arrangements
Para. 17 country's treatment of at least equivalent to those applied in the Community treats
public sector entities exposures to its public sector entities as exposures to
STANDARDISED
institutions, a Member State may allow the risk-weight of
exposures to such public sector entities in the same manner. 77 % (10 %) 13 %
APPROACH
Annex VI, Part 1, Treatment of short A Competent Authority may allow short term exposures to
Para. 37 term exposures to EU Member States' institutions denominated and funded in the
institutions in their national currency a risk weight that is one category less
STANDARDISED
national currency favourable than the preferential risk weight applicable on
exposures to EU central governments. 63 % (3 %) 33 %
APPROACH
Annex VI, Part 1, Treatment of Provided that certain conditions are met, a Member State may
Para. 40 exposures in the form permit exposures in the form of minimum reserves required by
of minimum reserves the ECB or by the central bank of a Member State to be held by
STANDARDISED
held by an a credit institution, in accordance with the relevant ECB
intermediary credit regulation on the application of minimum reserves, to be risk 70 % 30 %
APPROACH
institution. weighted as exposures to the central bank of the member state
concerned.
Definition of
Waiver eligibility criterion residential real estate (RRE):
Residential Real
"competent authorities may dispense with the condition
Estate : wave to If the competent authorities are satisfied that there is evidence that
NEW contained in § 45(b) for exposures fully and completely
independence a well-developed and long‑established residential real estate
Annex VI, Part 1, secured by mortgages on residential property which is The existence of a discretion in this area creates
condition on any b) transform into general rule market is present in their territory with loss rates which are 2
STANDARDISE Para. 49 situated within their territory, if they have evidence that a competitive distortions
cash flow generated sufficiently low to justify such treatment, this provision should be
D APPROACH well-developed and long-established residential real estate
by the underlying applied as a general rule consistently to all EU institutions
market in present in their territory with loss rates which are
property serving as
sufficiently low to justify such treatment".
collateral.
Recognition of the treatment in §46 within EU: "when the
NEW discretion contained in §46 is exercised by the competent
Annex VI, Part 1, Mutual recognition of authorities of a Member State, the competent authorities of For reasons of competitive equality, this treatment should be
b) transform into general rule 2
STANDARDISE Para. 50 the waiver (for RRE) another Member State may allow their credit institutions to consistently applied to all EU institutions
D APPROACH apply a risk weight of 35% to such exposures fully and
completely secured by mortgages on residential property".
Page 3 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
50% RW for commercial real estate (CRE): "Subject to the
NEW discretion of the competent authorities, exposures fully and If these expsoures are fully and completley secured to the
Annex VI, Part 1, completely secured, to the satisfaction of the competent satisfaction of the competent authorities, i.e. when the relevant The existence of a discretion in this area creates
RW 50% for CRE b) transform into general rule 1
STANDARDISE Para. 51 authorities by mortgages on offices or other commercial conditions in Para 54 are fulfilled, the 50% risk weigt should be competitive distortions
D APPROACH premises situated within their territory may be assigned a applied
risk weight of 50%"
Subject to the discretion of the competent authorities,
exposures fully and completely secured, to the satisfaction
NEW Consistent treatment with above:
of the competent authorities, by shares in Finnish housing 5
Annex VI, Part 1, 50% RW for Finnish If these expsoures are fully and completley secured to the The existence of a discretion in this area creates
companies operating in accordance with the Finnish b) transform into general rule not relevant for Leaseurope but should be treated
STANDARDISE Para. 52 Housing CRE satisfaction of the competent authorities (i.e. the relevant competitive distortions
Housing Company Act of 1991 or subsequent equivalent consistently
D APPROACH conditions in § 54 are fulfilled) the 50% risk weigt should be applied
legislation, in respect of offices or other commercial
premises may be assigned a risk weight of 50%
Property leasing transactions: "Subject to the discretion
of competent authorities, exposures related to property
leasing transactions concerning offices or other
commercial premises situated in their territory and The existence of a discretion in this area creates
Consistent treatment with above:
NEW competitive distortions. Indeed a Leaseurope survey of
Exposures related governed by statutory provisions whereby the lessor If these expsoures are fully and completley secured to the
Annex VI, Part 1, a sample of 8 member states shows that 4 countries
to property leasing retains full ownership of the rented assets until the b) transform into general rule satisfaction of the competent authorities (i.e. when the relevant 1
STANDARDISE Para. 53 chose to apply this discretion (though in different ways),
transactions tenant exercises his option to purchase, may be conditions in § 54 are fulfilled), the 50% risk weigt should be
D APPROACH the remaining 4 not applying the discretion, clearly
assigned a risk weight of 50%. " Art 153: (...) the applied
leading to an unlevel playing field.
competent authorities may until 31 December 2012
allow a 50% risk weighting to be applied without the
application of Annex VI, Part 1, § 55 & 56.
When the discretion contained in points 51 to 53 is
NEW exercised by the competent authorities of one Member One leasing company operating in several companies
Mutual recongition
Annex VI, Part 1, State, the competent authorities of another M ember For reasons of competitive equality, this treatment should be may be faced with different levels of risk weights for its
of the waiver (for b) transform into general rule 1
STANDARDISE Para 57 State may allow their credit institutions to risk weight at consistently applied to all EU institutions commercial real estate leasing activities, even if the
D APPROACH CRE) property fulfills the appropriate conditions.
50 % such exposures fully and completely secured by
mortgages on commercial property.
Again, if supervisors are satisfied that the appropriate conditions The text is somewhat unclear with some supervisors
are met (i.e. they have evidence that a well-developed and interpreting it as being applied to all types of
Waiver eligibility criterion CRE: "competent authorities long‑established commercial real estate market is present in their expsosures secured by commercial real estate,
NEW may dispense with the condition contained in § 51 (b) territory with loss-rates which do not exceed the limits in § 58 a) including leases and others not. This, together with the
Annex VI, Part 1, Waive on defintion for exposures fully and completely secured by and b)) the condition in §51b should be dispensed with. It should discretionary nature of the treatment leads to an unlevel
b) transform into general rule 1
STANDARDISE Para. 58 of the CRE mortgages on commercial property which is situated also be clarified that this applies to all types of exposures secured playing field for European lessors on two levels -
D APPROACH within their territory if they have evidence that (...) with by commercial property, including leasing. This appears to be the between real estate lessors and mortgage lenders and
loss rates do not exceed the following limits (...) intention of the text and is the treatment under the advanced between lessors active in countries who apply the
approaches where commercial property leases are treated as discretion and those active in countries who do not
exposures secured by mortgages on commercial real estate apply the discretion.
When the discretion contained in point 58 is exercised
NEW Mutual recognition by the competent authorities of a Member State, the
Annex VI, Part 1, of the vaiver competent authorities of another Member State may For reasons of competitive equality, this treatment should be
b) transform into general rule 1
STANDARDISE Para.60 relating to the allow their credit institutions to assign a risk weight of consistently applied to all EU institutions
D APPROACH definition of CRE 50 % to such exposures fully and completely secured
by mortgages on commercial property.
A risk weight of 100% may be assigned on past due
Risk-weighting past exposures which are fully secured by non eligible
Supervisor should be satisfied as to the good quality of the
STANDARDISE Annex VI, Part 1, due exposures collateral when value adjustments reach 15% of the
17 % 83 % b) transform into general rule collateral, but the provision as such should then be consistenlty 1
D APPROACH Para. 63 secured by non exposure gross of the value adjustments, if strict applied to ensure a level playing field
eligible collateral operational criteria exist to ensure the good quality of
the collateral.
Risk-weighting of The applicable risk weight on past due exposures
past due exposures secured by mortgages on residential property net of
STANDARDISE Annex VI, Part 1, This discretion leads to level playing field distortions and should
secured by value adjustments may be reduced to 50%, if value 67 % 33 % b) transform into general rule 1
D APPROACH Para. 64 therefore be consistently applied when the preconditions are met
mortgages on adjustments are no less than 20% of the exposure
residential property amount gross of the value adjustments.
Risk-weighting items The Competent Authorities have the discretion to assign a risk 70 % (3 %) 27 %
belonging to weight of 150% on exposures associated with particularly high
regulatory high risk risks.
STANDARDISE Annex VI, Part 1, categories
D APPROACH Para. 66
Page 4 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Regulatory high risk The risk weight on non past due exposures receiving a 150% 53 % (7 %) 40 %
categories - lower risk risk weight may be reduced to (a) 100% if value adjustments
weight due to value exist which are no less than 20% of the gross exposure and (b)
STANDARDISE Annex VI, Part 1, adjustments 50% if value adjustments are no less than 50% of the gross
exposure.
D APPROACH Para. 67
Annex VI, Part 1, Loans secured by The Competent Authorities may recognise loans secured by
Para. 68(e) commercial real commercial real estate as eligible collateral for covered bonds
estate as collateral for where the required loan to value ratio of 60% is exceeded up to
STANDARDISED
covered bonds a maximum level of 70%, if certain defined criteria and
conditions are met. 43 % 57 %
APPROACH
Annex VI, Part 1, Risk-weighting Member States may allow a risk weight of 10% for exposures to
Para. 85 institutions institutions specialising in the interbank and public debt
specialising in the markets in their home member states, if such institutions are
STANDARDISED
inter-bank and public subject to close supervision and the exposures are adequately
debt market secured. 27 % 70 % 3%
APPROACH
Annex VI, Part 3, Exceptions to the non- The Competent Authorities may allow the domestic currency
Para. 17 use of domestic rating of an obligor to be used for its foreign currency exposures
currency ratings for provided such exposures arise from institutions' participation in
STANDARDISED
foreign-currency a loan extended by a Multilateral Development Bank.
exposures 77 % 23 %
APPROACH
Article 84.2 Requirements for IRB When IRB approach is used by an EU parent or financial
standards for parent hoding company and its subsidiaries, Member States may
and EU subsidiaries allow the minimum requirements to qualify for IRB to be met by
altogether parent and subsidiaries considered together.
IRB 70 % (13 %) 17 %
The Competent Authorities may authorise a credit institution to
Annex VII, Part 1, Para. Lower rate for
IRB generally assign a 50% risk weight to SL-Category 1 and 70% to SL- 60 % (13 %) 27 %
6 specialized lending
Category 2 (regardless of maturity) if certain conditions are met.
Annex VII, Part 1, Special treatment for The requirement that retail revolving exposures be unsecured
Para. 13 (last revolving retail (Annex VII, Part 1, Para. 13 b)) may be waived by the
sentence) exposures secured by Competent Authorities in respect of collateralised credit
a link to a wage facilities linked to a wage account.
IRB account 73 % 27 %
Annex VII, Part 1, Treatment of ancillary Exposures to ancillary banking services undertakings (equity)
Para. 18 banking services can be treated as non-credit obligation assets.
IRB 90 % 10 %
Annex VII, Part 2, Possibility to extend For the purposes of the recognition of unfunded credit
Para. 5, 7 & Annex the list of unfunded protection in PD by institutions, the Competent Authorities may
VIII, Part 1, Para. 26 protection providers extend the list of unfunded credit protection providers further
for the purposes of than those included in Annex VIII, Part 1, Para. 26.
IRB recognition of 40 % (3 %) 57 %
unfunded credit
protection in PD
Annex VII, Part 2, Alternatives for the The Competent Authorities may require all institutions in their
Para. 12 & 13 calculation of maturity jurisdiction to use maturity (M) for each exposure in accordance
with formulae instead of using values by default (0.5 years for
repos and 2.5 for other exposures).
IRB 33 % (3 %) 64 %
Annex VII, Part 2, Maturity for EU-firms The Competent Authorities may allow maturity of exposures to
Para. 15 (< EUR 500 mio.) European corporates with consolidated assets of less than
EUR 500 million to be set at values by default, even if they
apply the formulae option.
IRB 30 % 70 %
Annex VII, Part 2, Maturity for EU-firms The Competent Authorities may allow maturity of exposures to
Para. 15 (last investing primarily in European corporates that invest primarily in real estate with
sentence) real estate (< EUR consolidated assets of less than EUR 1,000 million to be set at
1,000 mio.) values by default, even if they apply the formulae option.
IRB 17 % 83 %
Page 5 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Annex VII, Part 2, Possibility to extend For the purposes of the calculation of dilution risk, the
Para. 20 & Annex the list of unfunded Competent Authorities may extend the list of unfunded credit
VIII, Part 1, Para. 26 protection providers protection providers further than those included in Annex VIII,
for the purposes of Part 1, Para. 26.
IRB calculation of dilution 40 % 60 %
risk
No transition period is given for these exposures while past
due days for exposures (retail, corporate and PSEs) under the
STD approach and corporate exposures under the IRB
appraoches (can be set at above 90 days until end 2011.
NEW Number of days Competent authorities of each member states have the
Annex VII, Part 3 The discretion in Annev VIII should be allowed to run until at
past due for retail possibility to set the number of days past due at a a) in present form 1
IRB
Para 48 least then.
and PSE exposures figure that shall fall within 90-180 days.
Leaseurope has a specific concern for leasing to PSEs - in
certain countries, due to (lengthy) legal procedures for
payment of lease rentals, 90 days is much too short to be able
to identitfy whether such an entitiy is truly in default.
Annex VII, Part 4, Flexibility in data The Competent Authorities may apply less stringence as
Para 56 collection regards the data needed for estimation and collected before the
implementation of the directive, provided the credit institution
makes appropriate adjustments.
IRB 83 % (10 %) 7%
Annex VIII, Part 1, Recognition of shares The Competent Authorities may authorise their credit
Para. 15 in Finnish housing institutions to recognise as eligible collateral shares in Finnish
companies as eligible housing companies that are operating in accordance with the
CREDIT RISK
collateral Finnish Housing Company Act of 1991 provided that certain
conditions are met. 40 % 57 % 3%
MITIGATION
As with residential real estate exposures under the
Waiver eligibility criterion RRE: "the competent authorities
Standardised Approach, if the competent authorities are
NEW may waive the requirement for their credit institutions to
satisfied that there is evidence that a well-developed and
Annex VIII, Part 1, Waiver to definition comply with condition (b) in § 13 for exposures secured by The existence of a discretion in this area creates
b) transform into general rule long‑established residential real estate market is present 2
CREDIT RISK Para. 16 of RRE residential real estate property situated within the territory competitive distortions
of that Member State if the competent authority have in their territory with loss rates which are sufficiently low
MITIGATION
evidence that (...). to justify such treatment, this provision should be applied
as a general rule consistently to all EU institutions.
Waiver eligibility criterion CRE: "the competent authorities
Again, if supervisors are satisfied that the appropriate conditions
NEW may waive the requirement for their credit institutions to
are met (i.e. they have evidence that a well-developed and
Annex VIII, Part 1, Waiver to definition comply with condition (b) in § 13 for exposures secured by The existence of a discretion in this area creates
b) transform into general rule long‑established commercial real estate market is present in their 1
CREDIT RISK Para. 17 of CRE commercial real estate property situated within the territory competitive distortions
territory with loss-rates which do not exceed the limits in § 17 a)
MITIGATION of that Member State if the competent authority have
and b)) the condition in §13 b should be dispensed with.
evidence that (...).
Application of the waiver in §17 within EU: "the competent
NEW
authorities of a Member State, which do not use the waiver
Annex VIII, Part 1, Mutual recognition of For reasons of competitive equality, this treatment should be
in §17, may recognise as eligible commercial real estate b) transform into general rule 1
CREDIT RISK Para. 19 the waiver consistently applied to all EU institutions
property recognised as eligible in another Member State by
MITIGATION
virtue of the waiver".
Annex VIII, Part 1, Amounts receivable The Competent Authorities may recognise as eligible collateral
Para. 20 as eligible collateral amounts receivable linked to a commercial transaction or
transactions with an original maturity of less than or equal to
CREDIT RISK
one year. Eligible receivables do not include those associated
with securitisations, sub-participations or credit derivatives or 90 % (3 %) 7%
MITIGATION
amounts owed by affiliated parties.
The Competent Authorities may recognise as eligible It is essential for the leasing industry that the recongition of all
collateral physical items of a type other than real estate other types of physical collateral be allowed by supervisors when
collateral, if satisfied as to the following: (a) liquid markets the appropriate conditions relating to these collateral are fulfilled.
for disposal of the collateral do exist in an expeditious and Failure to allow the recongnition of other physical collateral
CREDIT RISK Annex VIII, Part 1, Other physical Differences in the recognition lead to major level playing
economically efficient manner; and (b) well-established, 77 % (7 %) 16 % b) transform into general rule demonstrates a lack of understanding of the leasing business 1
MITIGATION Para. 21 collateral distortions.
publicly available market prices for the collateral do exist. where the lessor retains the ownsership of the leased asset and
the institution must be able to demonstrate that there is no can thus benefit from the property in case of default. Furthermore,
evidence that the net prices it receives when collateral is supervisors should not limit the types of assets that can be
realised deviates significantly from these market prices. recognised if the asset fulfills the criteria to their satisfaction.
Member states may also recognize as eligible providers of
Differences in the recognition lead to major level playing
unfunded credit protection, other financial institutions If the protection providers are subject to equivalent supervision
CREDIT RISK Annex VIII, Part 1, Eligible protection distortions and it may be common market practice for
authorised and supervised by competent authorities and 43 % 53 % 3% b) transform into general rule requirements, there is no reason for them not be considered as 1
MITIGATION Para. 28 providers
subject to prudential requirements equivalent to those eligible providers
such financial institutions to provide credit protection.
They should therefore be eligible.
applied to credit institutions.
Page 6 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Annex VIII, Part 2, Minimum Credit institutions must take all steps necessary to fulfil local
Para. 9a (ii) requirements for the requirements in respect of the enforceability of security interest.
recognition of There shall be a framework which allows the lender to have a
CREDIT RISK
receivables as first priority claim over the collateral subject to national
collateral discretion to allow such claims to be subject to the claims of 73 % (7 %) 17 % 3%
MITIGATION
preferential creditors provided for in legislative or implementing
provisions.
Annex VIII, Part 3, Permission of internal The Competent Authorities may permit credit institutions
Para. 12 models approach for meeting certain requirements to use an internal models
calculation of fully approach taking into account correlations to calculate the
CREDIT RISK
adjusted exposure adjusted exposure value for exposures resulting from the
value (E*) application of a master netting agreement. 83 % (13 %) 3%
MITIGATION
Annex VIII, Part 3, Permission to use The Competent Authorities may allow credit institutions to use
Para. 19 empirical correlations empirical correlations within risk categories and across risk
within and across risk categories if they are satisfied that the credit institution’s
CREDIT RISK
categories system for measuring correlations is sound and implemented
with integrity. 83 % (10 %) 7%
MITIGATION
Annex VIII, Part 3, Own estimates of When debt securities have a credit assessment from a
Para. 43 volatility adjustments recognised ECAI equivalent to investment grade or better, the
(categories of Competent Authorities may allow credit institutions to calculate
CREDIT RISK
security) a volatility estimate for each category of security.
90 % (3 %) 3% 3%
MITIGATION
This provision was introduced into the CRD in recognition of the
fact that LGD rates are lower for leases than other forms of finance
due to the lessor's ownership of the leased asset. In cases of
default, ownership of the asset allows the lessor to recover and
sell the asset under very simple conditions. Recovery rates for
Inconsistent implementation of the discretion leads to
leases have been examined by several academic studies including
competitive distortions for IRBF lessors. Furthermore,
DE LAURENTIS G. and GERIANO M. (2001) “Leasing recovery
Reduced LGDs for due to the very high level of overcollateralisation that is
Until 31 December 2012, the Competent Authorities may, rates”, Leaseurope – Bocconi University Business School
leasing transactions required for leases to be able to reconginse
subject to the indicated levels of collateralisation, allow Research; LAURENT, M-P and SCHMIT, M. (2005), “Estimating
and senior (somewhat) lower LGDs, if the discretion is not applied
CREDIT RISK Annex VIII, Part 3, credit institutions to assign lower levels of LGD for senior “Distressed” LGD on Defualted Exposures: A Portfolio Model
exposures secured 41 % (3 %) 55 % a) in present form 1 by supervisors, the IRBF approach is even less
MITIGATION Para. 72 exposures in the form of Commercial Real Estate leasing, Applied to Leasing Contracts”, in Recovery Risk: The Next
by residential and attractive for lessors who have to set aside more capital
of equipment leasing and of seniror exposures secured by Challenge in Credit Risk Management, First Edition, Risk Books,
commercial real under this approach than under the other approaches
residential and commerical real estate pages 307-322.
estate (see Schmit, M. “Credit Risk in the Leasing Industry”
Journal of Banking & Finance 28 (2004) 811-833 for
It is essentialthat the discretion at the very least be maintained in
further details).
its current form. The current text sets a time limit for the discretion
until the end of 2012. As was stated during CRD negociations,
when this period comes to an end, if the data collected confirms
lower levels of LGDs for lease exposures, the CRD should be
adapted accordingly.
Annex VIII, Part 3, Sovereign guarantees The Competent Authorities may apply reduced risk weights to
Para. 89 exposures or portions of exposures guaranteed by the central
government or central bank, where the guarantee is
CREDIT RISK
denominated in the domestic currency of the borrower and the
exposure is funded in that currency. 83 % (3 %) 13 %
MITIGATION
Article 152(10)(b) Discretion to disapply For banks that do not move to standardised approach in 2007,
the securitisation the treatment of securitisation may be disapplied by competent
framework authorities.
SECURITISATION 73 % 17 % 7% 3%
Annex IX, Part 4, Treatment of certain The Competent Authorities may apply a treatment analogue the
Para. 30 retail exposures lines of para. 26 to 28 in the case of securities subject to an
subject to early early amortisation provision of certain retail exposures
amortisation provision (uncommitted, unconditionally cancellable without prior notice,
SECURITISATION early amortisation is triggered by a quantitative value in respect 47 % (10 %) 40 % 3%
of something other than the three months average excess
spread) for determining the conversion figure.
Annex IX, Part 4, Application of the The Competent Authorities may permit credit institutions to
Para. 53 (last simplified Supervisory apply for securitisations involving retail exposures the
sentence) Formula Method Supervisory Formula Method using simplifications for certain
risk parameters.
SECURITISATION 80 % (10 %) 7% 3%
Article 102.4 & Annex Combination of The Competent Authorities may allow institutions to use a
X, Part 4, Para. 1 and approaches combination of approaches.
2
OPERATIONAL
87 % (10 %) 3%
RISK
Page 7 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Article 104.3 Alternative The Competent Authorities may under certain conditions
Standardised authorise institutions to use a alternative indicator to calculate
Approach its capital requirements.
OPERATIONAL
60 % (3 %) 37 %
RISK
Article 105.4 Qualifying criteria for The Competent Authorities may allow the qualifying criteria set
AMA within the same out to be met by the parent and its subsidiaries considered
group together.
OPERATIONAL
80 % (13 %) 7%
RISK
Annex X, Part 2, Alternative The Competent Authorities may authorise institution to
Para. 3 and 5 Standardised calculate its capital requirement using an alternative
Approach standardised approach.
OPERATIONAL
63 % (3 %) 30 % 3%
RISK
Article 20.2 Minimum level of own The Competent Authorities may allow investment firms with
Dir. 2006/49/EC funds limited licence to provide own funds which are always more
than or equal to the higher of the capital requirement for credit
OPERATIONAL
and market risk or 25% of the preceding years fixed overheads.
70 % 13 % 17 %
RISK
Article 20.3 Minimum level of own The Competent Authorities may allow investments firms which
Dir. 2006/49/EC funds hold 730 000 EUR in initial capital, but which fall within certain
categories, to provide own funds which are always more than or
OPERATIONAL
equal to the higher of the capital requirement for credit and
market risk or 25 % of the preceding years fixed overheads. 50 % (3 %) 30 % 17 %
RISK
Article 122.1 Special treatment for Member States may exempt insurance sector undertakings
insurance from the general limits established for qualifying holdings.
QUALIFYING undertakings
HOLDINGS
OUTSIDE THE 70 % 27 % 3%
FINANCIAL
SECTOR
Article 122.2 Alternative - deduction Member States may decide not to apply limits on qualifying
holdings, provided excess is deducted from own funds.
QUALIFYING
HOLDINGS
OUTSIDE THE 60 % (3 %) 33 % 3%
FINANCIAL
SECTOR
This provision, consistent with the principle of a
Standardised Approach, did not raise significant debates
at the time of its approval. It is similar to the provision for
Transitional The Competent Authorities may, until December 31, 2012,
real estate leasing mentioned in the previous 2000/12/EC
TRANSITIONAL Article 153, Para. 1 treatment for certain allow leasing exposures on offices or commercial premises
23 % 77 % a) in present form Directive. It is useful for institutions to apply it when 1
PROVISIONS (first sentence) property leasing in their territory to be rated 50% without the application
transactions historical statistical data is not easily avalaible for small
of Annex VI, Part 1, points 55 and 56.
portfolios in this business. It should therefore be allowed
to run its course. A new assessment must be carried out
in order to adapt this provision in 2012
Article 153, Para. 2 Transitional definition The Competent Authorities may, until December 31, 2010,
(second sentence) of the secured portion allow, for the purpose of defining the secured portion of a loan,
of a loan recognise eligible collateral other than the one meeting the
TRANSITIONAL
requirements.
13 % 87 %
PROVISIONS
Leaseurope has a specific concern for leasing to PSEs - in
Until December 31, 2011, the Competent
certain countries, due to (lengthy) legal procedures for
Transitional use of Authorities may set the number of days past due
payment of lease rentals, 90 days is much too short to be
TRANSITIONAL a different up to 180 days if local conditions make it
Article 154.1 10 % (3 %) 80 % 7% a) in present form able to identitfy whether such an entitiy is truly in default. 1
PROVISIONS definition of past appropriate (for the purposes of application of the
Equally, it is common practice for corporate lease rental
due standardised approach). The specific number may
payments in these countries, ato be made on a quartlery
differ across product lines.
basis.
Article 154.2 Transitionally shorter Institutions applying for the use of IRB before 2010 may benefit
test of use from a test of use shorter than 3 years but above 1, until
December 31, 2009.
TRANSITIONAL
83 % (7 %) 7% 3%
PROVISIONS
Article 154.3 Transitionally shorter For those institutions applying for the use of their own
requirement of use for LGD/conversion factors estimates, the three-year period of
LGD/conversion experience in use required by Article 84.4 may be reduced to
TRANSITIONAL
factors estimates two until December 31, 2008.
90 % (3 %) 7%
PROVISIONS
Page 8 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Article 154.4 Transitional treatment The Competent Authorities may, until December 31, 2012,
for certain types of allow credit institutions to continue to apply Basel I treatment to
participations certain types of participations.
TRANSITIONAL
37 % (3 %) 57 % 3%
PROVISIONS
Article 154.6 Transitional exemption The Competent Authorities may, until December 31, 2017,
for certain equity exempt from IRB certain equity exposures held on December
exposures 31, 2007.
TRANSITIONAL
53 % 47 %
PROVISIONS
"Until 31 December 2011, for corporate exposures the
NEW competent authorities of each Member State may set the
Days past due for number of days past due that all credit institutions in its
Article 154.7 a) in present form See above 1
TRANSITIONAL corporate jurisdiction shall abide by under the definition of default set
PROVISIONS out in Annex VII, Part 4, §44 for exposures to such
counterparts situated within this Member State."
Article 155 Transitional Until December 31, 2012, the "trading and sales" business line
calculations: may be applied a 15% factor, if it represents at least 50% of the
standardised total relevant indicators.
TRANSITIONAL
approach - operational
risk (credit institutions) 40 % 60 %
PROVISIONS
Annex VII, Part 2, Transitional LGD for Until December 31, 2010, covered bonds may be assigned an
Para. 8 (second covered bonds LGD of 11.5%
subparagraph)
TRANSITIONAL
73 % (3 %) 20 % 3%
PROVISIONS
Annex VII, Part 4, Transitional reduction Member States may transitionally allow a reduction of the
Para. 66, 71, 86 and of minimum length of minimum length of the observation periods required for own
95 observation periods estimations of PD, LGD and CCF, subject to an absolute
TRANSITIONAL
minimum of 2 years.
84 % (10 %) 3% 3%
PROVISIONS
Article 44 Transitional Until December 31, 2012, the "trading and sales" business line
Dir. 2006/49/EC calculations: may be applied a 15% factor, if it represents at least 50% of the
standardised total relevant indicators.
TRANSITIONAL
approach - operational
risk (investment firms) 50 % 33 % 17 %
PROVISIONS
Article 46 Alternative transitional Until December 31, 2011, the Competent Authorities may
Dir. 2006/49/EC operational risk choose not to apply requirements for operational risk as set out
requirement in Article 75(d) of directive 2006/48/EC to low size investment
TRANSITIONAL
firms. An alternative treatment applies instead.
40 % 43 % 17 %
PROVISIONS
Article 47 Transitional Until December 31, 2009, or any other date specified by the
Dir. 2006/49/EC applicability of Competent Authorities on a case-by-case basis, it may be
recognized specific provided that for institutions that have received specific risk
TRANSITIONAL
risk models model recognition prior to January 1, 2007, previous
requirements (as in the old directive) apply. 35 % (3 %) 52 % 6% 3%
PROVISIONS
Article 18.2 and 3 Application of the The Competent Authorities may allow institutions to apply
Dir. 2006/49/EC banking book rules to banking book rules to their trading book exposures, provided
trading book, if not the trading book activities does not exceed certain limits.
material
TRADING BOOK 93 % (3 %) 3%
Article 19.2 Specific risk Member States may set a reduced specific risk requirement for
Dir. 2006/49/EC requirement for covered bonds, with reductions similar to those applied in the
covered bonds banking book under the standardised approach.
TRADING BOOK 57 % 40 % 3%
Article 19.3 Third country CIU A Competent Authority of one member state may make use of
Dir. 2006/49/EC and the approval of another one without conducting its own
Annex I, point 52 assessment.
TRADING BOOK 63 % (3 %) 30 % 3%
Page 9 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Article 26 Offsetting trading For the purposes of calculation of consolidated capital
Dir. 2006/49/EC positions requirements, the Competent Authorities may authorise the
offsetting of trading (trading book, commodities, etc.) positions
even when they are booked in different institutions within the
TRADING BOOK group, subject to certain conditions. 60 % (7 %) 30 % 3%
Article 33.3 Alternative The Competent Authorities, in the absence of readily available
Dir. 2006/49/EC requirements for market prices, may choose not to apply daily mark to market
valuation in absence and, instead, require institutions to apply alternative methods
of readily available subject to their approval.
TRADING BOOK market prices 77 % (3 %) 20 %
Annex I, Para. 4, 2nd Capital requirement Subject to certain conditions, the Competent Authorities may
subparagraph (first for an exchange- allow that the capital requirement for an exchange-traded future
sentence) traded future contract be equal to the margin required by the exchange.
Dir. 2006/49/EC
TRADING BOOK 37 % (3 %) 57 % 3%
Annex I, Para. 4, 2nd Capital requirement Subject to certain conditions, the Competent Authorities may
subparagraph for OTC derivative allow that the capital requirement for an OTC derivative cleared
(second sentence) cleared by a clearing by a clearing house to be equal to the margin required by the
Dir. 2006/49/EC house clearing house.
TRADING BOOK 30 % (7 %) 60 % 3%
Annex I, Para. 5, 2nd Prescription of The Competent Authorities may prescribe that delta be
subparagraph specific calculated following methodologies specified by them.
Dir. 2006/49/EC methodologies for the
calculation of delta
TRADING BOOK 37 % 60 % 3%
Annex I, Para. 5, 3rd Capital requirement Subject to certain conditions, the Competent Authorities may
subparagraph for exchange-traded allow that the capital requirement for an exchange-traded
Dir. 2006/49/EC written options and written option, or an OTC option cleared by a clearing house to
OTC options cleared be equal to the margins required by the exchange or the
TRADING BOOK by a clearing house clearing house, respectively. 30 % (7 %) 60 % 3%
Annex I, Para. 5, 3rd Capital requirement Subject to certain conditions, the Competent Authorities may
subparagraph for exchange-traded allow that the capital requirement for an exchange-traded
Dir. 2006/49/EC bought options and bought option, or an OTC bought option cleared by a clearing
OTC bought options house to be equal to the requirement for the underlying
TRADING BOOK cleared by a clearing instrument. 43 % (7 %) 47 % 3%
house
Annex I, Para. 14 Specific risk charge The Competent Authorities may require that instruments issued
Dir. 2006/49/EC for a non-qualifying by non-qualifying issuers are applied a specific risk capital
issuer charge higher than 8% or 12% and/or disallow offsetting for the
purposes of general market risk between such instruments and
TRADING BOOK any other instrument. 40 % 57 % 3%
Annex I, Para. 26 Use of duration The Competent Authorities may, either in general or on an
Dir. 2006/49/EC instead of the individual basis, allow institutions to use a system for
standard system for calculating the general risk for traded debt instruments which
calculation of the reflects duration instead of the system set out in the directive.
TRADING BOOK general risk of traded 90 % (10 %)
debt positions
Annex I, Para. 35, Reduced specific risk The Competent Authorities may allow certain equity portfolios
first sentence requirement for certain to be assigned a specific risk requirement of 2% instead of 4%.
Dir. 2006/49/EC equity portfolios
TRADING BOOK 80 % 20 %
Annex I, Para. 35 Alternative maximum The Competent Authorities may authorise that individual
(last sentence) weight of an individual positions represent a maximum of 10% of the total equity
Dir. 2006/49/EC position in an portfolio (instead of 5% as in the Directive), provided that the
institution's equity sum of such positions do not exceed 50%.
TRADING BOOK portfolio 70 % 27 % 3%
Annex III, Para. 2.1, Discretional use of net The Competent Authorities have the discretion to allow
last sentence present value for institutions to use net present value when determining their
Dir. 2006/49/EC determining the open open positions in currencies or gold.
position in currencies
TRADING BOOK or gold 80 % 20 %
Page 10 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
Exercise of options and ND by Member
3. Classification of options and discretions (please choose one option) 6. Does the eventual divergent exercise of
States*
Dir. 2006/48 5. How important is this option/discretions options and discretions by national
Area (unless indicated Denomination Description 4. Please explain the previous classification
2006/49)
for you? authorities have any impact in your
yes business?
not yet no prefe-
(with pro- no n.a. to keep to remove
decided rence
viso)**
a) in present form a) remove completely from CRD Please indicate on a scale from 1 to 5:
(e.g. market or business specificities, potential
impact of deletion, etc) 1 - very important; 2 - important; 3 - fairly
b) for supervisor to decide
aa) immediately important; 4 - indifferent; 5 - not relevant
on case-by-case basis
for respondent
c) subject to mutual
bb) after transition period
recognition
d) as option for credit b) transforn into general rule and
institutions removing the other option(s)
Annex III, Para. 3.1 Lower capital The Competent Authorities may allow institutions to provide
Dir. 2006/49/EC requirements for lower capital requirements for positions in closely correlated
closely correlated currencies, as defined in the Directive.
currencies
TRADING BOOK 57 % 43 %
Annex IV, Para. 7 Definition of 'positions The Competent Authorities may regard, in some cases,
Dir. 2006/49/EC in the same different but closely linked commodities as the same, for the
commodity' purposes of calculating the position in a commodity.
TRADING BOOK 77 % (3 %) 20 %
Annex IV, Para. 8 Capital requirement Subject to certain conditions, the Competent Authorities may
Dir. 2006/49/EC for exchange-traded allow that the capital requirement for an exchange-traded
commodities OTC commodity, or an OTC commodity derivative cleared by a
commodity derivatives clearing house to be equal to the margins required by the
TRADING BOOK cleared by a clearing exchange or the clearing house, respectively. 33 % (3 %) 64 %
house
Annex IV, Para. 10 Prescription of The Competent Authorities may prescribe that delta for
Dir. 2006/49/EC specific commodity derivatives be calculated following methodologies
methodologies for the specified by them.
calculation of delta for
TRADING BOOK derivatives on 30 % (7 %) 63 %
commodities
Annex IV, Para. 10, Capital requirement Subject to certain conditions, the Competent Authorities may
three last for exchange-traded allow that the capital requirement for an exchange-traded
subparagraphs options and OTC written option, or an OTC option cleared by a clearing house to
Dir. 2006/49/EC options cleared by a be equal to the margins required by the exchange or the
TRADING BOOK clearing house clearing house, respectively. Also OTC bought options may be 37 % (7 %) 57 %
assigned the same requirement as the underlying commodity.
Annex IV, Para. 14 Offsetting positions in The Competent Authorities may allow positions in the same
Dir. 2006/49/EC the same commodity commodity - or in commodities regarded as the same - to be
offset prior to assignment to the appropriate maturity band.
TRADING BOOK 90 % 10 %
* preliminary numbers as of June 2007 based on the information disclosed in the supervisory disclosure framework and additionally on information colleted from the members via stock take
** option or ND is exercised on a case-by-case basis, partially or with similar proviso
Page 11 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
Page 12 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
Page 13 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
The text should be modified as follows:
The condition contained in § 45(b) shall be dispensed
with for exposures fully and completely secured by
mortgages on residential property when the competent
authorities have evidence that a well-developed and
long-established residential real estate market in
present in their territory with loss rates which are
sufficiently low to justify such treatment
The text should be modified as follows:
When the competent authorities of a Member State
are satisfied that the condition in §45b can be
dispensed wtih, the competent authorities of another
Member State shall allow their credit institutions to
apply a risk weight of 35% to such exposures fully
and completely secured by mortgages on
residential property
Page 14 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
The text should be modified as follows:
When the conditions in §54 are fulfilled to the
satisfaction of the competent authorities, exposures or
any part of an exposure fully and completely secured
by mortgages on offices or other commercial premises
situated within their territory shall be assigned a risk
weight of 50 %.
The text should be modified as follows:
When the conditions in §54 are fulfilled to the
satisfaction of the competent authorities, eposures
fully and completely secured by shares in Finnish
housing companies, operating in accordance with the
Finnish Housing Company Act of 1991 or subsequent
equivalent legislation, in respect of offices or other
commercial premises shall be assigned a risk weight
of 50 %.
The text should be modified as follows:
Exposures related to property leasing transactions
concerning offices or other commercial premises
situated in their territories under which the credit
institution is the lessor and the tenant has an option to
purchase shall be assigned a risk weight of 50 %,
provided that the exposure of the credit institution is
fully and completely secured by its ownership of the
property and fulfills the conditions in § 54 to the
satisfaction of the competent authorities .
The text should be modified as follows:
When the competent authorities of one Member State
are satisfied that §51, 52 or 53 can be applied, (i.e.
when the conditions in §54 are fulfilled) the competent
authorities of another Member State shall allow their
credit institutions to risk weight at 50% such exposures
fully and completely secured by mortgages or leases
on commercial property.
The text should be modified as follows:
Competent authorities shall dispense with the
condition contained in §54(b) for exposures fully and
completely secured by mortgages or leases on
commercial property which is situated within their
territory, if they have evidence that a well-developed
and long‑established commercial real estate market is
present in their territory with loss-rates which do not
exceed the following limits...
The text should be modified as follows:
When the the competent authorities of a Member
State are satisfied that the condition in point 54 (b) can
be dispensed with, competent authorities of other
Member States shall allow their credit institutions to
assign a risk weight of 50 % to such exposures fully
and completely secured by mortgages or leases on
commercial property.
The text should be modified as follows:
A risk weight of 100% shall be assigned for past due
exposures which are fully secured by non eligible
collateral when value adjustments reach 15% of the
exposure gross of the value adjustments, if strict
operational criteria exist to ensure the good quality of
the collateral.
The text should be modified as follows:
The applicable risk weight on past due exposures
secured by mortgages on residential property net of
value adjustments shall be reduced to 50%, if value
adjustments are no less than 20% of the exposure
amount gross of the value adjustments.
Page 15 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
Page 16 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
Due to the specificites of payment procedures of lease
rentals by public authorities in certain countries, the
discretion should be maintained
Modify text as follows:
The requirement for credit institutions to comply with
condition (b) in § 13 for exposures secured by
residential real estate property situated within the
territory of that Member State shall not apply if the
competent authority has evidence that the relevant
market is well-developed and long‑established with
loss‑rates which are sufficiently low to justify such
action
Modify text as follows:
The requirement for credit institutions to comply with
condition (b) in § 13 for exposures secured by
commercial real estate property situated within the
territory of that Member State shall not apply if the
competent authority are satisfied that there is evidence
that a well-developed and long‑established
commercial real estate market is present in their
territory with loss-rates which do not exceed the limits
in § 17 a) and b)
Modify text as follows:
Where commercial real estate property has been
recognised by the competent authorities of a Member
State as eligible, it shall also be recognised by the
authorities of other Member States
Modify text as follows:
Physical collateral other than real estate collateral
shall be considered as eligible collateral if the following
criteria are met: (...)
Modify text as follows:
Other financial institutions authorised and supervised
by competent authorities and subject to prudential
requirements equivalent to those applied to credit
institutions are considered eligible providers of
unfunded credit protection.
Page 17 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
Once the transition period for this discretion reaches
its term, LGD levels under the IRBF approach must be
reaximined in light of LGD data that will have been
collected by then. The possibility of fixing an LGD
level per equipment cateogry should also be examined
as these rates typically vary according to the type of
asset leased.
Page 18 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
The discretion should be maintained and reassessed
in view of data collected by industry at the end of the
transition period,
Lessors who face very lengthy payment delays due to
the specificites of payment procedures of lease rentals
by public authorities in certain countries should not be
penalised by the coming to term of this discretion. It
should therefore be reassessed after the transition
period
Page 19 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
The discretion should be reassessed after the
transition period
Page 20 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
Page 21 of 22
CEBS 2007 109 (Questionnaire on Options and National Discretions listed on CEBS' Supervisory Disclosure Framework) 18 July 2007
7. What are the possible solutions to
achieve convergence?
(e.g. setting an expiration date, mutual
recognition, others [please specify])
Page 22 of 22