EN    EN EN 
 
EN    EN  COMMISSION OF THE E UROPEAN COMMUNITIES 
Brussels, 14.7.2004 
COM(2004) 486 final 
2004/0155 (COD) 
2004/0159 (COD)  Volume II 
  
Proposal for 
DIRECTIVES OF THE EUROPEAN PARL IAMENT AND OF THE COUNCIL  
Re-casting Directive 2000/12/EC of the Euro pean Parliament and of the Council of 20 
March 2000 relating to the taking up and pursuit  of the business of credit institutions 
and Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investment 
firms and credit institutions. 
(presented by the Commission) 
  
{SEC(2004) 921} 
 
EN 2   EN Ð 93/6/EEC (adapted) 
2004/0159 (COD) 
Proposal for a 
COUNCIL  DIRECTIVE ⌦ OF THE EUROPEAN PARLIAMENT AND OF THE 
COUNCIL ⌫ 
on the capital adequacy of invest ment firms and credit institutions 
(recast) 
⌦ THE EUROPEAN PARLIAMENT AND  THE COUNCIL OF THE EUROPEAN 
UNION, ⌫ 
Having regard to the Treaty es tablishing the European Economic  Community, and in 
particular the first and third sente nces of  Article 57  ⌦ 47 ⌫ (2) thereof, 
Having regard to the proposal from the Commission1, 
In cooperation with the European Parliament2, 
Having regard to the opinion of the Eu ropean Economic and Social Committee3, 
⌦ Having regard to the opinion of the Committee of the Regions4, ⌫ 
⌦ Acting in accordance with the procedur e laid down in Article 251 of the Treaty5, ⌫ 
Whereas:  
 
Ø new 
(1) Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investment 
firms and credit institutions6 has been substantially amended several times. Since 
further amendments are to be made, it shoul d be recast in the in terests of clarity. 
 
Ð 93/6/EEC Recitals 1 (adapted) 
(2) Whereas the main  ⌦ One of the ⌫ objectives  of Council  Directive 93/22/EEC of 10 
May 1993 on investment services in the securities field  7 ⌦ 2004/39/EC of the 
                                                 
1 OJ C […], […], p. […]. 
2 OJ C 
3 OJ C […], […], p. […]. 
4 OJ C […], […], p. […]. 
5 OJ C […], […], p. […]. 
6 OJ L No 141, 11.6.1993 p.1, as last amended by Directive 2004/xx/EC, OJ […] 
7 OJ L No 141, 11.06.1993 p. 0027, as last amended by Directive [2004/…/EC (OJ ………..)]  
 
EN 3   EN European Parliament and of the Council of 21 April 2004 on markets in financial 
instruments amending Council Directives 85/611/EEC and 93/6/ EEC and Directive 
2000/12/EC of 20 March 2000 relating to the taking up and pursuit of credit 
institutions8 and repealing Council Directive 93/22/EEC9 ⌫ is to allow investment 
firms authorized by the competent authorit ies of their home Member States and 
supervised by the same authorities to estab lish branches and provide  services freely in 
other Member States; . whereas t That Directive accordi ngly provides for the 
coordination of the rules governing the authoriz sation and pursuit of the business of 
investment firms; . 
 
Ð 93/6/EEC Recital 2 (adapted) 
(3) Whereas t That Directive does not, how ever, establish common standards for the own 
funds of investment firms nor indeed does it establish the amounts of the initial capital 
of such firms; whereas  ⌦ neither does ⌫ it does not  establish a common framework 
for monitoring the risks incurred by the same firms; . whereas it refe rs, in several of its 
provisions, to another Community initiative,  the objective of which would be precisely 
to adopt coordinated measures in those fields;  
 
Ð 93/6/EC Recital 3 (adapted) 
(4) Whereas t he approach that has been adopted is  ⌦ It is appropriate ⌫ to effect only 
the essential harmonization  harmonisation  that is necessary and sufficient to secure the 
mutual recognition of authorization  authorisation and of prudential supervision 
systems; whereas the adoption o f ⌦ In order to achieve mutual recognition within the 
framework of the internal financial market, ⌫ measures ⌦ should be laid down ⌫ 
to coordinate the definition of the own funds of investment firms, the establishment of 
the amounts of their initial capital and the establishment of a common framework for 
monitoring the risks incurred by investme nt firms are essential aspects of the 
harmonization necessary for the achieve ment of mutual recognition withi n the 
framework of the inte rnal financial market ;. 
 
Ø new 
(5) Since the objective of the proposed action cannot be suff iciently achieved by the 
Member States and can, therefore, by reason of the scale and the effects of the action, 
be better achieved at Community level,  the Community may adopt measures, in 
accordance with the principle of subsidiarity as set out in Article 5 of the Treaty. In 
accordance with the principle of proportional ity, as set out in that Article, this 
Directive confines itself to the minimum re quired in order to achieve those objectives 
and does not go beyond what is necessary for that purpose. 
 
Ð 93/6/EEC Recital 4 
(6) Whereas i It is appropriate to establish different  amounts of initial capital depending on 
the range of activities that investment  firms are authorized to undertake; . 
                                                 
8 OJ No 126, 26.5.2000, p.1 
9 OJ L No 145, 30.04.2004, p. 1 
 
EN 4   EN  
Ð 93/6/EC Recital 5 (adapted) 
(7) Whereas  Existing investment firms should be permitted, under certain conditions, to 
continue their business even if they do not comply with the minimum amount of initial capital fixed for new ⌦ investment ⌫ firms;
. 
 
Ð 93/6/EEC Recital 6 (adapted) 
(8) Whereas the Member States may  ⌦ should ⌫ also  ⌦ be able to ⌫ establish rules 
stricter than those provided for in this Directive; . 
 
Ð 93/6/EC Recital 7 (adapted) 
Whereas this Directive forms part of the wider international effort to bring about 
approximation of the rules in force regarding the su pervision of investme nt firms and credit 
institutions (hereinafter referred to collectively as «institutions»);  
 
Ø new 
(9) The smooth operation of the internal market re quires not only legal rules but also close 
and regular cooperation and significantly en hanced convergence of regulatory and 
supervisory practices between the compet ent authorities of the Member States. 
 
Ð 93/6/EEC Recital 8 (adapted) 
Whereas common basic standards for the own funds of institutions are a key feature in  an 
internal market in the invest ment services sector, since ow n funds serve to ensure the 
continuity of institutions and to protect investors;  
 
Ø new 
(10) Since investment firms face in respect of th eir trading book business the same risks as 
credit institutions, it is appropriate for the pertinent provi sions of Directive 
2000/12/EC to apply equally to investment firms. 
 
Ð 93/6/EEC Recital 9 (adapted) 
Ö new 
(11) Whereas in a common financial market,  institutions, whether the y are  Ö The own 
funds of  investment firms or credit institutions, Ö (hereinafter referred to 
collectively as «institutions»)  can serve to absorb losses which are not matched by a 
sufficient volume of profits, to ensure the continuity of institutions and to protect 
investors. The own funds also serve as an important yardstick for the competent 
authorities, in particular for the assessment of the solvency  of institutions and for other 
prudential purposes. Furthermore, institutions , whether they are investment firms or 
credit institutions, in the internal market  engage in direct competition with one  
⌦ each ⌫ another. Ö Therefore, in order to stre ngthen the Community financial 
 
EN 5   EN system and to prevent distortions of competition, it is appropriate to lay down common 
basic standards for own funds.  
 
Ð 93/6/EC Recital 10 (adapted) 
Whereas it is therefore desirabl e to achieve equality in the  treatment of credit institutions and 
investment firms;  
 
Ø new 
(12) For these purposes, it is appropriate for the definition of own funds laid down in 
Directive 2000/12/EC to serve as a basis and to provide for supplementary specific 
rules which take into account the different  scope of market risk related capital 
requirements. 
 
Ð 93/6/EEC Recital 11 (adapted) 
(13) Whereas, a As regards credit institutions, common standards are  ⌦ have ⌫ already 
⌦ been ⌫ established for the supe rvision and monitoring of ⌦ different types 
of ⌫ credit  risks in  Council Directive 89/647/EEC  of 18 December 1989 on a 
solvency ratio for credit institutions10 ⌦by Directive 2000/12/EC ⌫;. 
 
Ø new 
(14) In that respect, the provisions on minimum capital requirements should be considered 
in conjunction with other sp ecific instruments also harmonising the fundamental 
techniques of the supervision of institutions. 
 
Ð 93/6/EEC Recital 12 
(15) Whereas i It is necessary to develop common sta ndards for market risks incurred by 
credit institutions and provide a compleme ntary framework for the supervision of the 
risks incurred by institutions, in particular market risks, and more especially position 
risks, counterparty/settlement ri sks and foreign-exchange risks; . 
 
Ð 93/6/EC Recital 13 (adapted) 
(16) Whereas i It is necessary to introduce  ⌦ provide for ⌫ the concept of a «trading 
book» comprising positions in securities an d other financial in struments which are 
held for trading purposes and are subject main ly to market risks and exposures relating 
to certain financial servic es provided to customers; . 
                                                 
10 OJ No L 386, 30. 12. 1989, p. 14. Directive as amended by Directive 92/30/EEC (OJ No L 110, 28. 4. 
1992, p. 52).  
 
EN 6   EN  
Ð 93/6/EEC Recital 14 (adapted) 
(17) Whereas it  is desirable that  ⌦ With a view to reduce the administrative burden for ⌫ 
institutions with negligible  trading-book business, in both absolute and relative terms, 
⌦ such institutions ⌫ should be able to apply Directive 89/647/EEC  
⌦ [2000/12/EC] ⌫ , rather than the requirements im posed in Annexes I and II to this 
Directive; . 
 
Ð 93/6/EC Recital 15 (adapted) 
(18) Whereas  It is important that monitoring of se ttlement/delivery risks should take 
account of the existence of system s offering adequate protection that  reduces  
⌦ reducing ⌫ that risk; . 
 
Ð 93/6/EEC Recital 16 (adapted) 
(19) Whereas,  in any case, institutions must  ⌦ should ⌫ comply with this Directive as 
regards the coverage of the foreign-ex change risks on their overall business;  ⌦ . ⌫ 
whereas lLower capital requirements should be imposed for positions in closely 
correlated currencies, whether statistically  confirmed or aris ing out of binding 
intergovernmental agreements, with a view  in particular to the creation of the 
European Monetary Union ;. 
 
Ð 93/6/EC Recital 17 (adapted) 
(20) Whereas t The existence, in all institutions,  of internal systems for monitoring and 
controlling interest-rate risks on all of their  business ⌦ of institutions ⌫ is a 
particularly important way of minimizing  minimising  such risks;  ⌦ . ⌫ whereas, 
cConsequently, such systems must  be subject to overview  ⌦ should be supervised ⌫ 
by the competent authorities; . 
 
Ð 93/6/EEC Recital 18 (adapted) 
(21) Whereas  Council Direct ive 92/121/EEC of 21 December 1992 on the monitoring and 
control of large exposures of credit institutions11 ⌦ Since Directive [2000/12/EC] ⌫ 
is not aimed at establishing  ⌦ does not establish ⌫ common rules for monitoring 
⌦ and control of ⌫ large exposures in activities wh ich are principally subject to 
market risks ⌦ , it is therefore appropriate to provide for such rules ⌫ ; whereas that 
Directive  makes reference to another Commun ity initiative intended to adopt the 
requisite coordination of methods in that field; . 
 
Ð 93/6/EEC Recital 19 (adapted) 
Whereas it is necessary to adopt common rules for the monitoring and control of large 
exposures incurred by investment firms;  
                                                 
11 OJ No L 29, 5. 2. 1993, p. 1.  
 
EN 7   EN  
Ø new 
(22) Operational risk is a signif icant risk faced by institutions requiring coverage by own 
funds. It is essential to take account of th e diversity of institutions in the EU by 
providing alternative approaches. 
 
Ð 93/6/EEC Recitals 20 to 22 
(adapted) 
Whereas the own funds of  credit institut ions have already been defined in Council Directive 
89/299/EEC of 17 April 1989 on the own funds of credit institutions 12 ; 
Whereas the basis for the def inition of the own funds of instit utions should be that definition;  
Whereas, however, there are reasons why for the purposes of this Directive the definition of 
the own funds of institutions may differ from th at in the aforementioned Directive in order to 
take account of the particular characteristics of the activities carried on by those institutions 
which mainly involve market risks;  
 
Ð 93/6/EEC Recital 23 (adapted) 
(23) Whereas  Council Directive 92/30/EEC of 6 April 1992 on the supervision of cr edit 
institutions on a consolidated basis13⌦ Directive [2000/12/EC] ⌫ states the principle 
of consolidation;  ⌦ . ⌫ whereas i It does not establish common rules for the 
consolidation of financial in stitutions which are involved in activities principally 
subject to market risks; . whereas that Directive makes reference to another 
Community initiative intended to adopt coordinated measures in that field;  
 
Ø new 
(24) In order to ensure adequate solvency of in stitutions within a group it is essential that 
the minimum capital requirements apply on th e basis of the consolidated financial 
situation of the group. In orde r to ensure that own funds are appropriately distributed 
within the group and available to protec t investments where needed, the minimum 
capital requirements should apply to individual institutions within a group, unless this 
objective can be effectively otherwise achieved. 
 
Ð 93/6/EEC Recital 24 (adapted) 
(25) Whereas Directive 92/ 30/EEC  ⌦ [2000/12/EC] ⌫ does not apply to groups which 
include one or more investment firms but no credit institutions; . whereas it was, 
however, felt desirable to provide  aA common framework for the introduction of the 
supervision of investment firms on a consolidated basis ⌦ should therefore be 
provided for ⌫ ;. 
                                                 
12 OJ No L 124, 5. 5. 1989, p. 16. Directive as last amended by Directive 92/30/EEC (OJ No L 110, 24. 9. 
1992, p . 52).  
13 OJ No L 110, 28. 4. 1992, p. 52.  
 
EN 8   EN  
Ø new 
(26) Institutions should ensure that they have internal capital which, having regard to the 
risks to which they are or might be exposed, is adequate in quantity, quality and 
distribution. Accordingly, institutions should have strategies and processes in place for 
assessing and maintaining the adequacy of their internal capital. 
(27) Competent authorities should evaluate the adequacy of own funds of institutions, 
having regard to the risks to which the latter are exposed. 
(28) In order for the internal market to operate e ffectively it is essentia l that there should be 
significantly enhanced conve rgence in implementation and application of the 
provisions of harmonised Community legislation. 
(29) For the same reason and to ensure that Community institutions which are active in 
several Member States are not disproportiona tely burdened as a result of the continued 
responsibilities of individual Member State competent author ities for authorisation and 
supervision, it is essential to significan tly enhance the cooperation between competent 
authorities. In this contex t the role of the consolid ated supervisor should be 
strengthened. 
(30) In order for the internal market to opera te with increasing effectiveness and for 
citizens of the Community to be afforded adequate levels of transparency it is 
necessary that competent authorities disclose publicly and in a way which allows for 
meaningful comparison the manner in which the requirements of this Directive are 
implemented. 
(31) In order to strengthen market discipline and stimulate institutions to improve their 
market strategy, risk control and internal management organisation, appropriate public 
disclosures by institutions  should be provided for. 
 
Ð 93/6/EEC Recital 25 (adapted) 
Ö new 
(32) Whereas technical adaptations to the detaile d rules laid down in this Directive may 
from time to time be necessary to take account of new developments in the i nvestment 
services field; whereas the Commission will  accordingly propose such adaptations as 
are necessary Ö The measures necessary for the implementation of this Directive 
should be adopted in accordance with C ouncil Decision 1999/468/EC of 28 June 1999 
laying down the procedures for the exerci se of implementing powers conferred on the 
Commission14. ; 
 
Ð 93/6/EEC Recital 26 
Whereas the Council should, at a later stage, adopt provision for the adaptation of this 
Directive to technical progress in accordance with Council Decision 87/373/EEC of 13 July 
1987 laying down the procedures for the exerci se of implementing powers conferred on the 
                                                 
14 OJ L 184, 17.7.1999, p. 23. 
 
EN 9   EN Commission15; whereas meanwhile the Council itself, on a proposal from the Commi ssion, 
should carry out such adaptations;  
 
Ð 93/6/EEC Recital 27 (adapted) 
Whereas provision should be made for the review  of this Directive within three years of the 
date of its application in the light of experience, developments on financi al markets and work 
in international fora of regulat ory authorities; whereas that review should al so include the 
possible review of the list of areas that may be subject to technical adjustment;  
 
Ð 93/6/EEC Recital 28 
Whereas this Directive a nd Directive 93/22/EEC on investment se rvices in the securities field 
are so closely interrelated that their entry into force on different dates could lead to the 
distortion of competition;  
 
Ø new 
(33) In order to avoid disruption to  markets and to ensure conti nuity in overall levels of 
own funds, it is appropriate to provide for specific transitional arrangements. 
(34) This Directive respects the fundamental righ ts and observes the pr inciples recognised 
in particular by the Charter of Fundamental  Rights of the European Union as general 
principles of Community law. 
(35) The obligation to transpose this Directive in to national law should be  confined to those 
provisions which represent a substantive change as compared with the earlier 
Directives. The obligation to transpose the provisions which are unchanged arises 
under the earlier Directives. 
(36) This Directive should be without prejudice to the obligations of the Member States 
relating to the time-limits for transposition into  national law of the Di rectives set out in 
Annex VIII, Part B. 
                                                 
15 OJ No L 197, 18. 7. 1987, p. 33.  
 
EN 10   EN  
Ð 93/6/EEC (adapted) 
HAS HAVE  ADOPTED THIS DIRECTIVE: 
⌦ CHAPTER I ⌫ 
⌦ Subject matter, scope and definitions ⌫ 
⌦ SECTION 1 ⌫ 
⌦ SUBJECT MATTER AND SCOPE  ⌫ 
 
Ð 93/6/EEC (adapted) 
Article 1 
1. ⌦ This directive lays down the capital ad equacy requirements a pplying to investment 
firms and credit institutions, the rules for thei r calculation and the rule s for their prudential 
supervision. ⌫ Member States shall apply the requireme nts of this Directive to investment 
firms and credit institutions as defined in Article 2. 
2. A Member State may impose additional or more stringent requirements on the 
investment firms and credit inst itutions that it has authoriz sed. 
 
Ø new 
Article 2 
1. Subject to Articles 18, 20, 28 to 32, 34 and 39 of this Directive, Articles 68 to 73 of 
Directive [2000/12/EC] shall apply mutatis mutandis  to investment firms. 
In addition, Articles 71 to 73 of Directiv e [2000/12/EC] shall apply in the following 
situations: 
(a) an investment firm has as a parent a pare nt credit institution in a Member State;  
(b) a credit institution has as a parent a pa rent investment firm in a Member State. 
Where a financial holding company has as subs idiary both a credit institution and an 
investment firm, requirements on the basis of  the consolidated fi nancial situation of 
the financial holding company shall apply to the credit institution. 
 
EN 11   EN  
Ð 93/6/EEC Art 7 (1) and (2) 
(adapted) 
Article 7  
General Principles  
1. The capital requirements imposed in Articles 4 and 5 for institutions which are neither 
parent undertakings nor subsidia ries of such undertakings sh all be applied on a solo basis.  
2. The requirements imposed in Articles 4 and 5 for:  
– any institution which has a credit institu tion within the meaning of Directive 
92/30/EEC, an investment firm or another financial institution as a subsidiary or 
which hold s a participation in such an entity, and  
– any institution the parent undertaking of  which is a financial holding company  
shall be applied on a consolid ated basis in accordance with the methods laid down in the 
abovementioned Directive and in paragraphs 7 to  14 of this Article.  
 
Ð 93/6/EEC Art. 7 (3) (adapted) 
Î1 2004/xx/EC Art. 1 
Ö new 
2. When a group covered by paragraph  2 ⌦ paragraph 1 ⌫does not include a credit 
institution, Directive 92/ 30/EEC  ⌦ [2000/12/EC] ⌫ shall apply, subject to the following 
adaptations : 
– « financial holding company » shall means a financial institution, the subsidiary 
undertakings of which are either exclusively or mainly investment firms  or other 
financial institutions, at least one of which is an investment firm, and which is not a 
mixed financial holding company within th e meaning of Directive 2002/87/EC of the 
European Parliament and of the Council  of 16 December 2002 on the supplement ary 
supervision of credit institutions, insurance undertakings and investment firms in a 
financial conglomerate16, 
– «mixed -activity holding company » shall means a parent undertaking, other than a 
financial holding company or an investment firm or a mixed fi nancial holding 
company within the meaning of Directiv e 2002/87/EC, the subsidiaries of which 
include at least one  investment firm,  
– - competent authorities shall  means the national authorities which are 
empowered by law or regulati on to supervise investmen t firms  
– the second subparagraph of Article 3 (5) of Directive 92/30/EEC shall not apply,  
                                                 
16 OJ L 35, 11.2.2003, p.1  
 
EN 12   EN Ö (a) every reference to credit institutions  shall be construed as a reference to 
investment firms ;  
(b) in Articles 4  ⌦ 125 ⌫ (1) and (2)  and 7  ⌦ 140 (2) ⌫ (5) of Directive 
92/30/EEC  ⌦ [2000/12/EC] ⌫ each reference to ⌦ other articles 
of ⌫ Directive 77/780/EEC  ⌦ [2000/12/EC] ⌫ shall be ⌦ construed as ⌫ 
replaced by  a reference to Directive 93/22/EEC  ⌦ 2004/39/EC ⌫ ; 
(c) for the purpose of Article 3 (9)  and 8 ⌦ 39(3) ⌫ of Directive 92/30/EEC  
⌦ [2000/12/EC] ⌫ the references to the Î1 European Banking 
Committee  shall be ⌦ construed as ⌫ substituted by  references to the 
Council and the Commission; 
(d) ⌦ by derogation to Article 140(1) of Directive [2000/12/EC], where a group 
does not include a credit institution, ⌫ the first sentence of ⌦ that ⌫ 
Article 7  shall be replaced by the following: «Where an investment firm, a 
financial holding company or a mixed- activity holding comp any controls one 
or more subsidiaries which are insuran ce companies, the competent authorities 
and the authorities entrus ted with the public task of supervising insurance 
undertakings shall c ooperate closely». 
 
Ð 93/6/EEC Art 7 (4) 
4. The competent authorities required or mandate d to exercise supervision of groups covered 
by paragraph 3 on a consolidated basis may, pending further coordination on the super vision 
of such groups on a consolidated basis and wh ere the circumstances ju stify it, waive that 
obligation provided that each inve stment firm in such a group:  
(i) uses the definition of own funds given in paragraph 9 of Annex V;  
(ii) meets the requirement s imposed in Articles 4 and 5 on a solo basis;  
(iii) sets up systems to monitor and control the sources of capital and funding of all other 
financial institutions within the group.  
 
Ð 93/6/EC Art. 7 (5) and (6) 
(adapted) 
5. The competent auth orities shall require investment firm s in a group which has been granted 
the waiver provided for in paragraph 4 5 to not ify them of those the risks including those 
associated with the composition and sources of their capital and funding,  which could 
underm ine their financial positions, including those associated with the composition and 
sources of their capital and f unding. If the competent authorit ies then consider that the 
financial positions of those investment firms is not adequately protected, they sha ll require 
them  to take measures including, if  necessary, limitations on the transfer of capital from such 
firms to group entities.  
6. Where the competent authorities waive the obligation of supervision on a consolidated 
basis provided for in paragraph 4 5  they shall take other appropriate measures to monitor the 
risks, namely large exposures, of the whole group, in cluding any undertakings  not located in a 
Member State.  
 
EN 13   EN  
Ð 93/6/EEC (adapted) 
⌦ SECTION  2⌫ 
DEFINITIONS 
 
Ð 93/6/EEC Art. 2 (1) (adapted) 
Ö new 
Article 3 
1. For the purposes of this Directive Ö the following definitions shall apply:  
(a)1. credit institutions  shall mean  ⌦ means credit institutions as defined in Article 
4(1) of Directive [2000/12/EC]; ⌫; all institutions that satisfy the definition in 
the first indent of Article 1 of the First Council Directiv e (77/780/EEC) of 12 
December 1977 on the coordination of laws, regu lations and administrative 
provisions relating to the taking up and pursuit of  the business of credit 
institutions17 which are subject to the re quirements imposed by Directive 
89/647/EEC;  
 
Ð 2004/39/EC Art. 67.2 (adapted) 
Ö new 
(b) investment firms  shall mean  ⌦ means ⌫ all institutions that satisfy the 
definition  ⌦ as defined in Article 4(1) of Directive 2004/39/EC ⌫ of the 
European Parliament and of the Council of 21 April 2 004 on markets in 
financial instruments , which are subject to the requirements imposed by the 
same  ⌦ that ⌫ Directive, excluding: 
(a)(i) credit institutions; 
(b)(ii) local firms as defined in 20  ⌦ point (p) of paragraph 1 of this Article; 
⌫, and  
(c)(iii) firms which Ö are  only Ö authorised to provi de the service of 
investment advice and/or  receive and transmit orders from investors 
without in both cases  holding money or securities belonging to their 
clients and which for that reason may not at any time place themselves in 
debit with their clients;  
                                                 
17 OJ No L 322, 17. 12. 1977, p. 30. Directive as amended by Directive 89/646/EEC (OJ No L 386, 30. 
12. 1989, p. 1).  
 
EN 14   EN  
Ð 93/6/EEC Art 2(3) to (4) 
(adapted (adapted) 
3. (c) institutions  shall mean  ⌦means ⌫ credit institutions and investment firms; 
4. (d) recogniz zed third-country investment firms  shall mean  ⌦means ⌫ firms 
⌦ meeting the following conditions: ⌫ 
⌦ (i) firms ⌫ which, if they were establis hed within the Community, would 
be covered by the definition of investment firm;  
⌦ (ii) firms ⌫ in 2 which are authorisz ed in a third country;  
⌦ (iii) firms ⌫ and which are subject to and comply with prudential rules 
considered by the competent authorities as at least as stringent as those laid down in this Directive;
 
 
Ð 93/6/EEC (adapted) 
Ö new 
5. (e) financial instruments  shall mean  ⌦means ⌫ the instruments listed in Section 
B of the Annex to Directive 93/22/EEC Ö any contract that gives rise to both a 
financial asset of one party and a financ ial liability or equity instrument of 
another party ; 
 
Ð 93/6/EEC Art. 2(6) (7) 
6. the trading book of an institution shall consist of:   
(a) its proprietary positions in financial instruments, commodities and commodity 
derivatives which are held for resale and/o r which are taken on by the 
institution with the intention of benefiti ng in the short term from actual and/or 
expected differences between their buyi ng and selling prices, or from other 
price or interest -rate variations, and positio ns in financial instrume nts, 
commodities and commodity derivatives, arising from matched principal 
broking, or positions taken in order to hedge other elements of the trading 
book;  
(b) the exposures due to the unsettled tr ansactions, free deliveries and over -the-
counter (OTC) der ivative instruments referred to in paragraphs 1, 2, 3 and 5 of 
Annex II, the exposures due to repurchase agreements and securities and 
commodities lending which are based on securities or commodities included in 
the trading book as defined in (a) referred to in paragraph 4 of Annex II, those 
exposures due to reverse repurchase agreements and securities -borrowing and 
commodities -borrowing transactions described in the same paragraph, provided 
the competent authorities so appr ove, which meet either conditions  (i), (ii), (iii) 
and (v) or conditions (iv) and (v) as follows:  
(i) the exposures are marked to market daily following the procedures laid 
down in Annex II;  
 
EN 15   EN (ii) the collateral is adjusted in order to take account of material changes in 
the value of the s ecurities or commodities involved in the agreement or 
transaction in question, according to a rule acceptable to the competent 
authorities;  
(iii) the agreement or transaction provides for the claims of the institution to 
be automatically and immediately of fset against the claims of its counter -
party in the event of the latter's defaulting;  
(iv) the agreement or transaction in qu estion is an interprofessional one;  
(v) such agreements and transactions are confined to their accepted and 
appropriate use and art ificial transactions, especially those not of a short -
term nature, are excluded; and  
(c) those exposures in the form of fees , commission, interest, dividends and 
margin on exchange -traded derivatives which are directly related to the items 
included in the trading book referred to in  paragraph 6 of Annex II.  
 Particular items shall be included in or  excluded from the trading book in accordance 
with objective procedures including, wher e appropriate, accounting standards in the 
institution concerned, such proc edures and their consiste nt implementation being 
subject to review by th e competent authorities;  
 
Ð 93/6/EEC Art 2(7) (adapted) 
7. parent undertaking, subsidiary undertaking, a nd financial institution shall be defined 
in accordance with Artic le 1 of Directive 92/30/EEC;  
 
Ð 93/6/EEC Art 2(8) (adapted) 
8. financial holding company shall mean a financial institution the subsidiary 
undertakings of which are either exclusively or mainly credit inst itutions, investment 
firms or other f inancial institutions, one of which at  least is a credit institution or an 
investment firm;  
 
Ø new 
(f) parent investment firm in a Member State  means an investment firm which has 
an institution or another financial institution as a subsidiary or which holds a 
participation in such entities, and which is not itself a subsidiary of another 
institution authorised in the same Member State, or of a financial holding 
company set up in the same Member State, and in which no other institution 
authorised in the same Member  State holds a participation; 
(g) EU parent investment firm  means a parent investment firm in a Member State 
which is not a subsidiary of another ins titution authorised in any Member State, 
or of a financial holding company set up in  any Member State, and in which no 
other institution authorised in any Me mber State holds a participation; 
 
EN 16   EN  
Ð 93/6/EEC Art 2 (9) (adapted) 
9. risk weightings shall mean the degrees of  credit risk applicable to the relevant 
counter -parties under  Directive 89/647/EEC. However assets constituting claims on 
and other exposures to investme nt firms or recognized third -country investment 
firms and exposures incurred to recognized  clearing houses and exchanges shall be 
assigned the same weighting as tha t assigned where the relevant counterparty is a 
credit institution;  
 
Ð 98/33/EC Art. 3.1 (adapted) 
10(h) over-the-counter (OTC) derivative instruments  shall mean  ⌦means ⌫ the off 
balance sheet  items ⌦ falling within the list in  Annex IV to Directive 
[2000/12/EC] other than those items to which an exposure value of zero is 
attributed under paragraph 2 of Annex III of that Directive; ⌫ to which 
according to the first subparagraph of Article  6(3) of Directive 89/647/EEC the 
methods set out in Annex II to the said Directive shall be applied;  
 
Ð 93/6/EEC (adapted) 
11.(i) regulated market  shall mean  ⌦means ⌫ a market that satisfies the definition 
given in Article 1 (13) of Directive 93/22/EEC;  ⌦ as defined in Article 4(14) 
of Directive 2004/39/EC ⌫; 
 
Ð 93/6/EEC (adapted) 
12. qualifying items  shall mean long and short positions  in the assets referred to in 
Article 6 (1) (b) of Directive 89/647/EEC and in debt instruments issued by 
investment firms or by recognized third -country investment firms. It shall also mean 
long and short positions in debt instruments provided that such instruments meet the 
following conditio ns: such instruments must firstly be  listed on at least one regulated 
market in a Member State or on a stock ex change in a third country provided that 
that exchange is recognized by the comp etent authorities of the relevant Member 
State; and secondly both be considered by the institution concerned to be sufficiently 
liquid and, because of the solvency of the issu er, be subject to a degree of default risk 
which is comparable to or lower than that of  the assets referred to in Article 6 (1) (b) 
of Directive 89 /647/EEC; the manner in which the in struments are assessed shall be 
subject to scrutiny by the competent authoritie s, which shall overtu rn the judgment of 
the institution if they consider that the in struments concerned are subject to too high 
a degree of d efault risk to be qualifying items.  
 Notwithstanding the foregoing and pendi ng further coordination, the competent 
authorities shall have the discretion to  recognize as qualifyi ng items instruments 
which are sufficiently liquid and which, because of the so lvency of the issuer, are 
subject to a degree of defau lt risk which is comparable to  or lower than that of the 
assets referred to in Article 6 (1) (b ) of Directive 89/647/EEC . The default risk 
associated with such instruments must have been evaluated at su ch a level by at least 
two credit -rating agencies recognized by the comp etent authorities or by only one 
 
EN 17   EN such credit -rating agency so long as they are no t rated below such a level by any 
other credit -rating agency recognized by the competent authorities.  
 The competent authorities may, however, waive the condition imposed in the 
preceding sentence if they judge it inappropr iate in the light of, for example, the 
characteristics of the market, the issuer, the issue, or some combination of those 
characteristic s. 
 Furthermore, the competent authorities sh all require the institutions to apply the 
maximum weighting shown in Table 1 in pa ragraph 14 of Annex I to instruments 
which show a particular risk because of th e insufficient solvency of the issuer or 
liquidity . 
 The competent authorities of each Member State shall regularly provide the Council 
and the Commission with information concer ning the methods used to evaluate the 
qualifying items, in particular the methods used to assess the de gree of liquidity of 
the issue and the solvency of the issuer;  
13. central government items shall mean long and sh ort positions in the assets referred to 
in Article 6 (1) (a) of Directive 89/647/ EEC and those assigned a weighting of 0  % in 
Article 7 of the same Directive;  
 
Ð 93/6/EEC Art 2 (14) (adapted) 
14.(j) convertible  shall mean  ⌦means ⌫ a security which, at the option of the 
holder, may be exchanged for another secu rity, usually the equity of the issue ; 
 
Ð 98/31/EC Art. 1.1(b) (adapted) 
15.(k) «warrant» shall mean  ⌦means ⌫ a security which gives the holder the right 
to purchase an underlying at a stipulated price until or at the warrants’  expiry 
date ⌦ of the warrant and which ⌫ may be settled by the delivery of the 
underlying itself or by cash settlement; 
16. (l) «stock financing» shall mean  ⌦means ⌫ positions where physical stock has 
been sold forward and the cost of funding has been locked in until the date of 
the forward sale; 
 
Ð 98/31/EC Art. 1.1(c) (adapted) 
17.(m) «repurchase agreement» and «reverse repurchase agreement» shall mean  ⌦ 
mean ⌫ any agreement in which an institution or its counter-party transfers 
securities or commodities or guaranteed ri ghts relating to title to securities or 
commodities where that guarantee is i ssued by a recognised exchange which 
holds the rights to the securities or  commodities and the agreement does not 
allow an institution to transfer or pledge  a particular security or commodity to 
more than one counter-party at one time, subject to a commitment to 
repurchase them –  (or substituted securities or commodities of the same 
description)  - at a specified price on a future date specified, or to be specified, 
by the transferor, being a repurchase agreement for the institution selling the 
 
EN 18   EN securities or commodities and a reverse repurchase agreement for the 
institution buying them;  
 
Ð 93/6/EEC Art 2(17) 2nd 
paragraph 
 A reverse repurchase agreement shall be considered an interprofessional transaction 
when the counter -party is subject to prudential coor dination at Community level or is 
a Zone A credit institution as defined in Directive 89/647/EEC or is a reco gnized 
third -country investment firm or when the ag reement is concluded with a recognized 
clearing house or exchange;  
 
Ð 98/31/EC Art. 1.1(d) (adapted) 
18.(n) «securities or commodities lendi ng» and «securities or commodities 
borrowing» shall  mean  ⌦ mean ⌫ any transaction in which an institution or 
its counter-party transfers securitie s or commodities against appropriate 
collateral subject to a commitment that the borrower will return equivalent securities or commodities at some future date or when requested to do so by the 
transferor, that transaction being se curities or commodities lending for the 
institution transferring th e securities or commodities and being securities or 
commodities borrowing for the institution to which they are transferred;
 
 
Ð 98/31/EC Art. 1.1(d) 
 Securities or commodities borrowing shall be considered an interprofessional 
transaction when the counter -party is subject to prudential coordination at 
Community level or is a Zone A credit institution as defined in Directive 
89/647/EEC or is a recognised third -country investment firm or when the transaction 
is concluded with a recognise d clearing house or exchange;  
 
Ð 93/6/EEC Art 2(19) (adapted) 
19.(o) clearing member  shall mean  ⌦means ⌫ a member of the exchange or the 
clearing house which has a direct cont ractual relationship with the central 
counterparty (market guarantor); non -clearing members must  have their trades 
routed through a clearin g member ; 
 
Ð 93/6/EEC Art 2(20) (adapted) 
Ö new 
20.(p) local firm  shall mean  ⌦means ⌫ a firm dealing on ly for its  on own account 
Ö on markets  in a  financial-futures or options exchange  Ö or other 
derivatives and on cash markets for the sole purpose of hedging positions on 
derivatives markets or which deals  for the accounts of or making a price to  
other members Ö of those markets  the same exchange  and Ö which are  
guaranteed by a  clearing members  of the same exchange  Ö markets, where  
Rresponsibility for ensuring the performan ce of contracts ente red into by such 
a firms  must be  ⌦ is ⌫ assumed by a  clearing members  of the same 
 
EN 19   EN exchange  Ö markets;  , and  such contracts must be taken into account in the 
calculation of the clearing member's overall capital r equirements so long as the 
local firm's positions are entirely separate from those of the clearing member ; 
 
Ð 93/6/EEC Art 2(21) (adapted) 
21.(q) delta  shall mean  ⌦means ⌫ the expected change in an option price as a 
proportion of a small change in the pr ice of the instru ment underlying the 
option; 
 
Ð 93/6/EEC Art 2(22) (adapted) 
22. for the purposes of paragraph 4 of Annex I,  long position  shall mean a position in 
which an institution has fixed the int erest rate it will receive at some time in the 
future, and  short position shall mean a position in which it  has fixed the interest rate 
it will pay at some time in the future;  
 
Ð 93/6/EEC Art 2(23) (adapted) 
23.(r) own funds  shall mean  ⌦means ⌫ own funds as defined in Directive 
89/299/EEC  ⌦ [2000/12/EC] ⌫.This definition may, however, be amended 
in the circumstances described in Annex V ; 
 
Ð 93/6/EC Art. 2 (24) and (25) 
(adapted) 
24. initial capital shall mean items 1 and 2 of  Article 2(1) of Di rective 89/299/EEC;  
25 original own funds shall mean  the sum of items 1, 2 and 3, less the sum of items 9, 10 
and 11 of Article 2 (1) of Directive 89/299/EEC ; 
 
Ð 93/6/EEC Art 2 (26) 
26.(s) capital  shall mean own funds; . 
 
Ð 93/6/EEC Art 2(27) (adapted) 
27. modified duration shall be calculated using the formula set out in paragraph 26 
of Annex I.  
 
Ø new 
For the purposes of applying supervision on a consolidated basis, the term 
investment firm shall include recogni sed third-country investment firms. 
For the purposes of point (e ) of the first subparagraph, financial instruments shall 
include both primary financial instrume nts or cash instruments, and derivative 
financial instruments the value of which is  derived from the price of an underlying 
financial instrument or a rate or an inde x or the price of an underlying other item and 
 
EN 20   EN include as a minimum the instruments specifi ed in Section C of Annex I of Directive 
2004/39/EC. 
 
Ð 93/6/EEC Art 2 (7) and (8) 
(adapted) 
2. ⌦ The terms ⌫“parent undertaking” ,“subsidiary undertaking” ,⌦ ”asset 
management company”  ⌫ and “ financial institution”  shall be  ⌦ cover undertakings ⌫ 
defined in accordance with  ⌦ as such in Article 4 ⌫ Article 1  of Directive 92/30/EEC  
⌦[2000/12/EC] ⌫. 
⌦ The terms ⌫ “financial holding company ”, ⌦ “parent financial holding company in a 
Member State”, “EU parent financial holding co mpany” and “ancillary services undertaking” 
⌫ shall mean a financial institution the subsidiary undertaking of  which are either 
exclusively or mainly credit institutions, invest ment firms or other fi nancial institutions, one 
of which at least is a credit in stitution or an investment firm  ⌦ shall cover undertakings 
defined as such in Article 4 of Directive [ 2000/12/EC], save that ev ery reference to credit 
institutions shall be read as  a reference to institutions. ⌫ 
 
Ø new 
3. For the purposes of applying Directive [2000/12/EC] to groups covered by Article 
2(1), which do not include a credit instituti on, the following definitions shall apply: 
 
Ð 2002/87/EC Art. 26 (adapted) 
1.(a) «financial holding company » means a financial institution, the subsidiary 
undertakings of which are either exclus ively or mainly investment firms or 
other financial institutions , at least one of which is an investment firm, and 
which is not a mixed financial holdi ng company within the meaning of 
Directive 2002/87/EC18 of the European Parliament  and of the Council .; 
2. (b) «mixed-activity holding company » m eans a parent undertaking, other than a 
financial holding company or an investme nt firm or a mixed financial holding 
company within the meaning of Direct ive 2002/87/EC, the subsidiaries of 
which include at least one investment firm; 
3. (c) “competent authorities”  means the national author ities which are empowered 
by law or regulation to supervise investment firms. 
                                                 
18 OJ L 35, 11.2.2003, p.1 
 
EN 21   EN  
Ð 93/6/EEC (adapted) 
⌦ CHAPTER II ⌫ 
INITIAL CAPITAL 
 
Ð 93/6/EEC Art 2(24) (adapted) 
Article 4 
1. Initial capital  shall mean  ⌦means points (a) and (b) ⌫ items 1 and 2  of Article ⌦ 57 ⌫ 
2 (1)  of Directive 89/299/EEC  ⌦[2000/12/EC] ⌫. 
 
Ð 93/6/EEC Art. 3(1) and (2) 
(adapted) 
Article 5 
1. Investment firms ⌦ that do not deal in any fina ncial instruments for their own 
account or underwrite issues of financial in struments on a firm commitment basis, but ⌫ 
which hold clients' money and/or securities an d which offer one or more of the following 
services,  shall have initial capital of ECU  ⌦ EUR ⌫ 125 000: 
(a) the reception and transmission of invest ors' orders for financial instruments;  
(b) the execution of investors' or ders for financial instruments;  
(c) the management of individual portf olios of investments in financial 
instruments.  
provided that they do not deal in any fina ncial instruments for their own account or 
underwrite issues of financial instruments on a firm commitment basis.  
The holding of non -trading -book positions in financial instru ments in order to invest 
own funds shall not be consid ered as dealing for the purposes set out in the first 
paragraph or for the purposes of para graph 2.  
2. The competent authorities may, however,  allow an investment firm which executes 
investors' orders for financial instruments to hold such instruments for its own account if 
⌦ the following conditions are met ⌫ : 
(a) such positions arise only as a result of  the firm's failure to match investors' 
orders precisely;  
(b) the total market value of all such positi ons is subject to a ce iling of 15 % of the 
firm's initial capital;  
 
EN 22   EN (c) the firm meets the requirements imposed  ⌦ laid down ⌫ in Articles 18, 20 
and 28; and 
(d) such positions are incidental and provisi onal in nature and strictly limited to the 
time required to carry out th e transaction in question. 
The holding of non-trading-book positions in fi nancial instruments in order to invest 
own funds shall not be consid ered as dealing for the purpo ses set out in paragraph 1 
or for the purposes of paragraph 3. 
3.2 Member States may reduce the amount referred to in paragraph 1 to ECU  ⌦ EUR ⌫ 
50000 where a firm is not authorisz ed to hold clients' money or s ecurities, to deal for its own 
account, or to underwrite issues  on a firm commitment basis. 
 
Ð 93/6/EEC Art 3 (3) (adapted) 
3. All other investment firms shal l have initial ca pital of ECU 730 000.  
 
Ð 2004/39/EC Art. 67(2) 
(adapted) 
Article 6 
4. The firms referred to in point (b) of Article 2(2) ⌦ Local firms ⌫ shall have initial capital 
of EUR 50 000 in so far as they  benefit from the freedom of establishment or  to provide 
services ⌦ specified in ⌫ under  Articles 31 or 32 of Directive 2004/39/EC. 
 
Ð 2004/39/EC Article 67 (3) 
(adapted) 
Article 7 
Pending revision of Directive 93/6/E EC, theCoverage for the firms referred to in point (b)(iii) 
of Article 2  ⌦ 3 ⌫ (1) shall take one of the following forms: 
(a) initial capital of EUR 50 000; (b) professional indemnity insurance covering the whole territory of  the Community or 
some other comparable guarantee agains t liability arising from professional 
negligence, representing at  least EUR 1 000 000 applying to each claim and in 
aggregate EUR 1 500 000 per year for all claims; 
(c) a combination of initial capital and professional indemnity insurance in a form 
resulting in a level of covera ge equivalent to that referr ed to in points (a) or (b). 
The amounts referred to in the first subpara graph shall be periodically reviewed by the 
Commission in order to take account of changes in  the European Index of Consumer Prices as 
 
EN 23   EN published by Eurostat, in line with and at the same time as the adjustments made under 
Article 4(7) of Directive 2002/92/EC of the European Parliament and of the Council19 (*). 
⌦ Article 8 ⌫ 
If an investment firm referred to  in point (b)(iii) of Article 2  ⌦ 3 ⌫ (1) is also registered 
under Directive 2002/92/EC it sha ll comply with Article 4(3) of that Directive and have 
coverage in one of the following forms: 
(a) initial capital of EUR 25 000; (b) professional indemnity insurance covering the whole territory of  the Community or 
some other comparable guarantee agains t liability arising from professional 
negligence, representing at least EUR 500 000 applying to each claim and in aggregate EUR 750 000 per year for all claims; 
(c) a combination of initial capital and professional indemnity insurance in a form 
resulting in a level of covera ge equivalent to that referr ed to in points (a) or (b). 
 
Ð 93/6/EEC Art 3(3) (adapted) 
Article 9 
All other investment firms sha ll have initial capital of ECU  ⌦ EUR ⌫ 730 000. 
 
Ð 93/6/EEC Art 3(5) to (8) 
(adapted) 
Article 10 
1. ⌦ By derogation to Article s 5(1), 5(3), 6 and 9, ⌫ Notwithstanding paragraphs 1 to 
4, Member States may continue the authorisatio n of investment firms and firms covered by 
⌦ Article 6 ⌫ paragraph 4  in existence before ⌦ 31 December 1995 ⌫ this Directive is 
applied  the own funds of which are less than the initial capital le vels specified for them in 
⌦ Articles 5(1), 5(3), 6 and 9 ⌫ paragraphs 1 to 4.  
The own funds of such firms sha ll not fall below the highest re ference level calculated after 
the date of notification of this  Directive ⌦ 1993/6/EEC ⌫. That reference level shall be the 
average daily level of own f unds calculated over a six-month period preceding the date of 
calculation. It shall be calculated every six months in respect of the corresponding preceding 
period. 
2. If control of a firm covered by paragraph 5 ⌦ 1 ⌫ is taken by a natural or legal 
person other than the person who controlled it previously, the own funds of that firm must 
attain at least the level specified for it in ⌦ Articles 5(1), 5(3), 6 and 9 ⌫ paragraphs 1 to 4,  
except in the following situations:  (i)- in the case of the first transfer by inheritance 
                                                 
19 OJ L 9, 15.1.2003, p. 3. 
 
EN 24   EN after ⌦ 31 December 1995 ⌫ the application of this Directive, s ubject to the competent 
authorities' approval, for not more than 10 years after that transfer.;  
(ii) in the case of a change in the composition of a partnership, as l ong as at le ast one of 
the partners at the date of the application of  this Directive remains in the partnership, 
for not more than 10 years after the date  of the application of this Directive.  
3. In certain specific circumstances,  and with the consent of the competent authorities, 
however , in the event of a merger of two or more  investment firms and/or firms covered by 
paragraph 4 ⌦ Article 6 ⌫, the own funds of the firm produced by the merger need not attain 
the level specified in paragraphs 1 to 4 ⌦ Articles 5(1) , 5(3), 6 and 9 ⌫. Nevertheless, 
during any period when the levels specified in paragraphs 1 to 4  ⌦ Articles 5(1) , 5(3), 6 and 
9 ⌫ have not been attained, the own funds of the new firm may not fall below the merged 
firms' total own funds at the time of the merger. 
4. The own funds of investment firm s and firms covered by paragraph 4 ⌦ Article 6 ⌫ 
may not fall below the level specified in paragraphs  1 to 5 and 7  ⌦ Articles 5(1), 5(3), 6, 9, 
10(1) and 10(3) ⌫. 
If they do, however, the competen t authorities may, where the ci rcumstances justify it, allow 
such firms a limited period in which to rectif y their situations or cease their activities. 
 
Ø new 
CHAPTER III 
TRADING BOOK 
Article 11 
1. The trading book of an institution shall consis t of all positions in financial instruments 
and commodities held either with trading intent  or in order to hedge other elements of the 
trading book, which must either be free of any restrictive covenant s on their tradability or able 
to be hedged. 
2. Positions held with trading intent are those held intentionally for short-term resale 
and/or with the intention of be nefiting from actual or expected  short-term price differences 
between buying and selling prices, or from other price or intere st rate variations. The term 
“positions” shall include proprie tary positions, positions arisi ng from client servicing and 
market making. 
3. Trading intent shall be ev idenced based on the strategies , policies and procedures set 
up by the institution to manage the position or port folio in accordance with Annex VII Part A. 
4. Institutions shall establish and maintain sy stems and controls to manage their trading 
book, in accordance with Annex VII, Part B. 
 
EN 25   EN 5. Internal hedges may be included in the trading book, in which case Annex VII Part C 
shall apply. 
 
Ø new 
CHAPTER IV 
OWN FUNDS 
 
Ð 93/6/EEC Art. 2 (25) (adapted) 
Article 12 
Original own funds  means the sum of items 1, 2 and  ⌦ points (a) to (c) ⌫ , less the sum of 
items 9, 10 and 11  ⌦ points (i) to (k) ⌫ of Article 2 (1)  ⌦ 57 ⌫ of Directive 89/299/EEC  
⌦ [2000/12/EC] ⌫. 
 
Ø new 
The Commission shall, by 1 Januar y 2009 at the latest, submit an appropriate proposal to the 
European Parliament and to the Coun cil for amendment of this Chapter. 
 
Ð 93/6/EEC Annex V first and 
second subparagraph (adapted) 
Ö new 
Article 13 
1. Ö Subject to paragraphs 2 to 5 of  this Article, and Articles 14 to 17,  Tthe own funds 
of investment firms and credit  institutions shall be defined  ⌦ determined ⌫ in accordance 
with Directive 89/299/EEC  ⌦ [2000/12/EC] ⌫ . 
In addition, the first subparag raph applies to investment firms which do not have one 
of the legal forms referred to in Article  1 (1) of the Fourth Council Directive 
78/660/EEC. 
 
Ð 93/6/EEC Annex V (1) 2nd 
subparagraph (2) to (5) (adapted) 
Î1 98/31/EC Art. 1.7 and Annex 
4(a) (b) 
Ö new 
2. Î1 Notwithstanding  ⌦ By derogation to ⌫ paragraph 1, the competent authorities 
may permit those institutions which ar e obliged to meet the capital own -funds  requirements 
calculated in accordance with ⌦ Articles 21 and 28 to 32 and ⌫ laid down in  Annexes I, II , 
III, IV, VI, VII and VIII  ⌦ and III to VI ⌫ to use, for that purpose only, an alternative 
 
EN 26   EN definition when meeting those requirements only  ⌦ determination ⌫of own funds.  No 
part of the own funds used fo r that purpose thus provided  may be used simultaneously to meet 
other capital own -funds  requirements. 
This alternative definition  ⌦ determination ⌫ shall be the sum of the items set out 
in points (a) to (c) below, minus the item set out in point (d) below, with include the 
following items (a), (b) and (c) less item (d),  the deduction of that last item being left 
to the discretion of the competent authorities: 
(a) own funds as define d in Directive 89/299/EEC  ⌦ [2000/12/EC] ⌫ excluding 
only items (12)  ⌦ points (l) to (p) ⌫ and (13)  of Article 2 (1)  ⌦ 57 ⌫ of 
that Directive for those investment fi rms which are required to deduct item (d) 
of this paragraph from the total of items  (a), (b) and (c) of this paragraph; 
(b) an institution's net trading-book prof its net of any foreseeable charges or 
dividends, less net losses on its other business provided that none of those 
amounts has already been included in item  (a) of this paragraph under the items 
set out in paragraphs ( 2) or (11) ⌦ points (b) or (k) ⌫ of Article 2 (1) of 
Directive 89/299/EEC  ⌦ 57 of Directive [2000/12/EC] ⌫; 
(c) subordinated loan capital and/or the items referred to in paragraphs  5, subject 
to the conditions set out in paragraphs 3 to 7  ⌦ and 4 and Article 14 ⌫ ; 
(d) illiquid assets as defined  ⌦ specified ⌫ in paragraph 8  ⌦ Article 15 ⌫ . 
3. The subordinated loan capital referred to in ⌦ point (c) ⌫ of paragraph 2 shall have 
an initial maturity of at least two years. It shall be fully paid  up and the loan agreement shall 
not include any clause providing that in specifi ed circumstances other than the winding up of 
the institution the debt will become repayable before the agreed repayment date, unless the 
competent authorities approve the repayment. Ne ither the principal nor the interest on such 
subordinated loan capital may be repaid if such repayment woul d mean that the own funds of 
the institution in question would th en amount to less than 100 % of the  ⌦ that ⌫ 
institution's overall requirements. 
In addition, an institution shall notify the competent authorities of all repayments on 
such subordinated loan capital as soon as its own funds fall below 120 % of its 
overall ⌦ capital ⌫ requirements. 
4. The subordinated loan ca pital referred to in ⌦ point (c) of ⌫ paragraph 2 may not 
exceed a maximum of 150 % of the original own funds left to meet the requirements 
⌦ calculated in accordance with Articles 21 and 28 to 32 and ⌫ laid down in  Annexes I,  II, 
III, IV, VI, VII, and VIII  ⌦ to VI ⌫ and may approach that ma ximum only in particular 
circumstances acceptable to the relevant authorities. 
5. The competent authorities may permit institutions to replace the subordinated loan 
capital referred to ⌦ in point (c) of paragraph 2 ⌫ in paragraphs 3 and 4  with items  3 and 5 
to 8 ⌦ points (d) to (h) ⌫ of Article 2 (1) of Directive 89/299/EEC  ⌦ 57 of Directive 
[2000/12/EC] ⌫. 
 
EN 27   EN  
Ð 98/31/EC Annex .4(c) (adapted) 
Article 14 
1. The competent authorities may permit i nvestment firms to exceed the ceiling for 
subordinated loan capital ⌦ set out ⌫ prescribed  in paragraph 4  ⌦ Article 13(4) ⌫ if they 
judge it prudentially ade quate and provided that the total of  such subordinated loan capital 
and the items referred to in paragraph 5  ⌦ Article 13(5) ⌫ does not exceed 200 % of the 
original own funds left to meet the require ments calculated in accordance with imposed in  
⌦ Articles 21, 28 to 32 and ⌫ Annexes I, II,  III, IV, VI, VII and VIII  ⌦ and III to VI ⌫ 
or 250 % of the same amount where investment firms deduct the item set out in point (d) of 
referred to in  paragraph 2  ⌦ Article 13(2) ⌫ when calculating own funds. 
2. The competent authorities may permit the cei ling for subordinated lo an capital set out 
prescribed in paragraph 4  ⌦ Article 13(4) ⌫ to be exceeded by a credit institution if they 
judge it prudentially ade quate and provided that the total of  such subordinated loan capital 
and items (4) to (8)  ⌦ points (d) to (h) ⌫ of Article 35(2)  ⌦ 57 ⌫ of Directive 
[2000/12/EC] r eferred to in paragraph 5  does not exceed 250 % of th e original own funds left 
to meet the requirements calculat ed in accordance with imposed in  Articles ⌦ 28 to 32 
and ⌫ Annexes I, II,  III, IV, V and VI  ⌦ and III to VI ⌫. 
 
Ð 93/6/EEC Annex V (8) 
(adapted) 
Article 15 
Illiquid assets ⌦ as referred to in point (d) of Artic le 12(2) shall include the following: ⌫ 
(a) tangible fixed assets, ( except to the extent that land and buildings may be 
allowed to count against the lo ans which they are securing) ; 
(b) holdings in, including subordi nated claims on, credit or financial institutions 
which may be included in the own funds of ⌦ those ⌫ such  institutions, 
unless they have been deducted under items (12) ⌦ points (l) to (p) ⌫ of 
Article 2 (1)  ⌦ 57 ⌫ of Directive 89/299/EEC  ⌦ [2000/12/EC] ⌫ or under 
Article 15(d) of this Annex  ⌦ Directive ⌫ ; 
(c) holdings and other investments, in undert akings other than credit institutions 
and other financial institutions, which are not readily marketable;  
(d) deficiencies in subsidiaries;  
(e) deposits made, other than those which are available for repayment within 90 
days, and also excluding payments in connection with margined futures or options contracts;
 
(f) loans and other amounts due, other than t hose due to be repaid within 90 days;  
 
EN 28   EN (g) physical stocks, unless they are ⌦ already ⌫ subject to the  capital 
requirements imposed in Article 4 (2) a nd provided that such requirements are 
not less stringent than those imposed in Article 4  (1)(iii)  ⌦ at least as stringent 
as those set out in Articles 18 to 20 ⌫ . 
 
Ð 93/6/EEC Annex V(8) second 
indent, second subparagraph 
(adapted) 
⌦ For the purposes of point (b), w ⌫ Wwhere shares in a credit or financial 
institution are held temporar ily for the purpose of a fina ncial assistance operation 
designed to reorganise and save that inst itution, the competent authorities may waive 
this provision. They may also waive it in respect of those shares which are included in the investment firm's trading book,
. 
 
Ð 93/6/EEC Annex V (9) 
(adapted) 
Article 16 
9. Those i Investment firms included in a group subject to  ⌦ which has been granted ⌫ the 
waiver provided for described  in Article 7 (4) ⌦ 22 ⌫ shall calculate their own funds in 
accordance with paragraphs 1 to 8  ⌦ Articles 13 to 15 ⌫ subject to the following 
modifications : 
(a)(i)  the illiquid assets referred to in paragraph 2 ⌦ point (d) of Article 13(2) ⌫ 
shall be deducted; 
(b)(ii)  the exclusion referre d to in paragraph 2 ⌦ point (a) of Article 12(2) ⌫ shall 
not cover those components of items 12  ⌦ points (l) to (p) ⌫ of Article 2 (1)  
⌦ 57 ⌫ of Directive 89/299/EEC  ⌦ [2000/12/EC] ⌫ which an investment 
firm holds in respect of undertakings in cluded in the scope of consolidation as 
defined in Article ⌦ 2 (1) ⌫ of this Directive; 
(c)(iii)  the limits referred to in points (a) and (b) of Article 6  ⌦ 66 ⌫ (1)(a) and (b)  
of Directive 89/299/EEC  ⌦ [2000/12/EC] ⌫ shall be calculated with 
reference to the origin al own funds less those  ⌦ the ⌫ components of items 
(12) ⌦ points (l) to (p) ⌫ of Article 2 (1)  ⌦ 57 ⌫ of Directive 89/299/EEC  
⌦[2000/12/EC] ⌫ described in (ii)  ⌦ referred to in point (b) ⌫ which are 
elements of the original own funds  of the undertakings in question; 
(d)(iv) those  ⌦ the ⌫ components of items (12) ⌦ points (l) to (p) ⌫ of Article 2 
(1) ⌦ 57 ⌫ of Directive 89/299/EEC  ⌦[2000/12/EC] ⌫ referred to in 
point (c) shall be deducted from the or iginal own funds rather than from the 
total of all items as laid down prescribed  in point (c) of Article 6  ⌦ 66 ⌫(1) 
(c) of that same  Directive for the purposes, in pa rticular, of paragraphs 4 to 7  
⌦ Articles 13(4) , 13(5) and 14 ⌫ of this Annex  ⌦ Directive ⌫ . 
 
EN 29   EN  
Ø new 
Article 17 
1. Where an institution calculates risk-wei ghted exposure amounts for the purposes of 
Annex II in accordance with th e provisions of Articles 84 to  89 of Directive [2000/12/EC], 
then for the purposes of the calculation prov ided for in Directive [2000/12/EC] Annex VII, 
Part 1, Sub-part 4, the following shall apply: 
(a) value adjustments made to take account  of the credit quality of the counterparty 
may be included in the sum of value adjustments and provisions made for the 
exposures indicated in Annex II; 
(b) subject to the approval of the competent authorities, if the credit risk of the 
counterparty is adequately taken into  account in the valuation of a position 
included in the trading book the expected loss amount for the counterparty risk 
exposure shall be zero. 
For the purposes of point (a), for such in stitutions, such value adjustments shall not 
be included in own funds other than in accordance with this sub-paragraph. 
2. For the purposes of this Article, Article  153 and 154 of Directive [2000/12/EC] shall 
apply. 
 
Ð 93/6/EEC (adapted) 
⌦ CHAPTER V ⌫ 
⌦ SECTION 1 ⌫ 
PROVISIONS  AGAINST  RISKS 
 
Ð 93/6/EEC Art 4(1) 1st 
subparagraph (adapted) 
Ö new 
Article 18 
1. The  competent authorities shall require  iInstitutions Ö shall have  to provide  own 
funds which are always more than or equal to the sum of ⌦ the following ⌫ : 
 
EN 30   EN  
Ð 98/31/EC Art. 1.2 (adapted) 
i) (a) the capital requirements, calculated in accordance with ⌦ the methods and 
options laid down in Articles 28 to 32 and ⌫ Annexes I, II and VI and, as 
appropriate, Annex VIII , for their trading-book business; 
ii) (b) the capital requirements, calculated in accordance with ⌦ the methods and 
options laid down in ⌫ Annexes III and VII  ⌦ IV ⌫ and, as appropriate, 
Annex VIII , for all of their business activities. 
 
Ð 93/6/EEC Art. 4.1 (iii) and (iv) 
(adapted) 
(iii) the capital requirements imposed in Directive 89/647/EEC for all of their business 
activities, excluding both their trading -book business and their illiquid assets it they 
are deducted from own funds unde r paragraph 2 (d) of Annex V;  
(iv) the capital requirements imposed in paragraph 2.  
 
Ð 93/6/EEC Art. 4.1 (iii) to (iv), 
second subparagraph 
Irrespective of the amount of the capita l requirement referred to in (i) to (iv) the own -funds 
requirement for investment firms shall never be  less than the amount pr escribed in Annex IV.  
 
Ð 93/6/EEC Art. 4 (2) to (5) 
2. The competent authorities shal l require institutions to cover  the risks arising in connection 
with business that is outside the scope of both this Directiv e and Directive 89/647/EEC and 
considered to be similar to the risks covered by those Dire ctives by adequate own funds.  
3. If the own funds held by an institution  fall below the amount of the own funds requirement 
imposed in paragraph 1, the competent authorities shall ensure that the institution in question 
takes appropriate measures to rectify its situation as qui ckly as possible.  
4. The competent authorities sha ll require institutions to set up  systems to monitor and control 
the interest -rate risk on all of their business, and thos e systems shall be subject to overview by 
the competent authorities.  
5. Institutions shall be required to satisfy their competent auth orities that they employ systems 
which can calculate their financial positio ns with reasonable accuracy at any time.  
 
Ð 93/6/EEC Art 4(6) (adapted) 
2. Notwithstanding  ⌦ By derogation to ⌫ paragraph 1, the comp etent authorities may 
allow institutions to calculate the capital re quirements for their trading book business in 
accordance with Directive 89/647/EEC rather than in accordance with Annexes I and II to this 
Directive provided that  ⌦ Article 75(a) of Directive [2000/ 12/EC] and paragraphs 6, 7, 8 and 
10 of Annex II of this Directive, ⌫ rather than in accordance with Annexes I and II of this 
 
EN 31   EN Directive, where the size of th e trading book business meets the ⌦ following ⌫ 
requirements set out below :  
i) (a) the trading-book business of such institu tions does not normally exceed 5% of 
their total business; 
ii) (b) their total trading-book positions do not normally exceed ECU  ⌦ EUR ⌫ 15 
million; and  
iii)(c) the trading-book business of such institutions never exceeds 6% of their total 
business and their total trading- book positions never exceed ECU  ⌦ EUR ⌫ 
20 million. 
 
Ð 93/6/EEC Art 4(7) (adapted) 
3. In order to calculate the proportion that trading-book business bear s to total business 
as in ⌦ points (a) and (c) of ⌫ paragraph 6  ⌦ 2 ⌫ i) and iii) , the competent authorities 
may refer either to the size of the combined on-  and off-balance-sheet business, to the profit 
and loss account or to the own f unds of the institutions in question, or to a combination of 
those measurements. When the size of on- an d off-balance-sheet business is assessed, debt 
instruments shall be valued at their market pric es or their principal values, equities at their 
market prices and derivatives according to the nominal or market values of the instruments 
underlying them. Long positions and short positi ons shall be summed regardless of their 
signs. 
 
Ð 93/6/EEC Art 4(8) (adapted) 
4. If an institution should happen for more than  a short period to exceed either or both of 
the limits imposed in paragraph 6  ⌦ 2 (a) and (b) ⌫ (i) and (i i) or to exceed either or both of 
the limits imposed in paragraph 6  ⌦ 2 (c) ⌫ (iii),  it shall be required to meet the 
requirements imposed in Article  ⌦ paragraph 1 (a) ⌫ 4 (i)  rather than those of ⌦ Article 
75(a) of ⌫Directive 89/647/EEC  ⌦ [2000/12/EC] ⌫ in respect of its trading-book 
business and to notify the competent authority. 
 
Ø new 
Article 19 
1. For the purposes of paragraph 14 of Anne x I, subject to national discretion, a 0% 
weighting can be assigned to debt securities issued by the same entities and denominated and 
funded in domestic currency. 
 
Ð 93/6/EEC Art 11(2) (adapted) 
2. Notwithstanding  ⌦ By derogation to ⌫ paragraphs ⌦ 13 and ⌫ 14 of Annex I, 
Member States may set a specific risk requi rement for any bonds assigned a weighting of 
10% under Articles 11(2) of Di rective 89/647/EEC  ⌦ falling within A nnex VI, Part 1, 
paragraphs 65 to 67 of Directive [2000/12/EC], ⌫ equal to half  the specific risk requirement 
for a qualifying item with the same residual maturity as such a bond ⌦ , reduced in 
 
EN 32   EN accordance with the percentages given in A nnex VI, Part 1, paragraph 68 of Directive 
[2000/12/EC] ⌫ . 
 
Ø new 
3. If, as set out in paragraph 52 of Annex I, a competent authority approves a third 
country CIU as eligible, a competent authority in  another Member State may make use of this 
recognition without conduc ting its own assessment. 
Article 20 
1. Subject to paragraphs 2, 3 and 4 of this Ar ticle, and Article 34 of this Directive, the 
requirements in Article 75 of Directive [2000/ 12/EC] shall apply to investment firms.  
2. By derogation to paragraph 1, competent au thorities may allow investment firms that 
are not authorised to provide the investment serv ices listed in point 3 and point 6 of Annex I, 
Section A of Directive 2004/39/EC  to provide own funds which are always more than or 
equal to the higher of the following: 
(a) the sum of the capital requirements cont ained in points (a) to (c) of Article 75 
of Directive [2000/12/EC]; 
(b) the amount laid down in Article 21 of this Directive. 
3. By derogation to paragraph 1, competent authorities may allow investment firms 
which hold initial capital as set out in Article 9, but which fall within the following categories, 
to provide own funds which are always more than or equal to the sum of the capital 
requirements calculated in accordance with the re quirements contained in points (a) to (c) of 
Article 75 of Directive [2000/12/EC] and the am ount prescribed in Ar ticle 21 of this 
Directive: 
(a) investment firms that deal on own account for the purpose of fulfilling or 
executing a client order or for the purpose of gaining entrance to a clearing and 
settlement system or a recognised excha nge when acting in an  agency capacity 
or executing a client order; 
(b) investment firms: 
(i) that do not hold client money or securities; 
(ii) that undertake only dealing on own account; 
(iii) that have no external customers; 
(iv) the execution and sett lement of whose transact ions takes place under the 
responsibility of a cleari ng institution and are guar anteed by that clearing 
institution. 
4. Investment firms referred to in paragraphs  2 and 3 shall remain subject to all other 
provisions regarding operational risk set out in Annex V of Di rective [2000/12/EC]. 
 
EN 33   EN  
Ð 93/6/EEC Annex IV 
Article 21 
Investment firms shall be requ ired to hold own funds equiva lent to one quarter of their 
preceding year's fixed overheads. 
The competent authorities may adjust that require ment in the event of a material change in a 
firm's business since the preceding year. 
Where a firm has not completed a year's bus iness, including the da y it starts up, the 
requirement shall be a quarter of the fixed ove rheads figure projected in its business plan 
unless an adjustment to that plan  is required by the authorities. 
 
Ð 93/6/EEC (adapted) 
⌦ SECTION 2 APPLICATION OF REQUIREMENTS ON A CONSOLIDATED BASIS  ⌫ 
 
Ø new 
Article 22 
1. The competent authorities re quired or mandated to exer cise supervision of groups 
covered by Article 2 on a cons olidated basis may waive, on a case by case basis, the 
application of capital requirements on a consolidated basis provided that: 
(a) each investment firm in such a group us es the definition of own funds given in 
Article 16; 
(b) all investment firms in such a group fa ll within the categories in paragraphs 2 
and 3 of Article 20; 
(c) each investment firm in such a group meets the requirements imposed in 
Articles 18 and 20 on an indivi dual basis and at the same  time deducts from its 
own funds any contingent liability in favour of investment firms, financial 
institutions, asset management companie s and ancillary services undertakings 
which would otherwise be consolidated; 
(d) any financial holding company which is the parent undertaking of any 
investment firm in such a group holds at least as much capital, defined here as 
the sum of points (a) to (h) of Article 57 of Direc tive [2000/12/EC], as the sum 
of the full book value of any holdings,  subordinated claims, and instruments 
referred to in Article 57 of Directive [2000/12/EC] in investment firms, 
financial institutions, asset management companies and ancillary services 
undertakings which would otherwise be consolidated, and the total amount of 
any contingent liability in  favour of investment firm s, financial institutions, 
 
EN 34   EN asset management companies and ancill ary services undertakings which would 
otherwise be consolidated; 
Where the criteria in the first sub-paragra ph are met, each investment firm shall have 
in place systems to monitor and control the sources of capita l and funding of all 
financial holding companies, investment  firms, financial institutions, asset 
management companies and ancillary se rvices undertakings  within the group. 
2. By derogation to paragraph 1, competent authorities may permit financial holding 
companies which are the parent of an investment firm in such a group to use a value lower 
than the value calculated under point (d) of paragraph 1, but no lower than the sum of the 
requirements imposed in Article 18 and 20 on an individual basis to investment firms, 
financial institutions, asset management companies and ancillary services undertakings which 
would otherwise be consolidated, and the total am ount of any contingent liability in favour of 
investment firms, financial institutions, asset management companies and ancillary services 
undertakings which would otherwise be consolid ated. For the purposes of this paragraph the 
capital requirement for financial institutions , asset management companies and ancillary 
services undertakings is a notional capital requirement. 
 
Ð 93/6/EEC Art. 7(5) & (6) 
(adapted) 
Article 23 
The competent authorities shall require invest ment firms in a group which has been granted 
the waiver provided for in Article 20  ⌦ 22 ⌫ to notify them of the risks which could 
undermine their financial positions, including those associated with the composition and sources of their capital and f unding. If the competent authorit ies then consider that the 
financial positions of those investment firms is not adequately protected, they shall require the investment firms to take measures including, if necessary, limitations on the transfer  of capital 
from such firms to group entities. 
Where the competent authorities waive the oblig ation of supervision on a consolidated basis 
provided for in ⌦ Article 22 ⌫ paragraph 4
 they shall take other appropriate measures to 
monitor the risks, namely larg e exposures, of the whole gr oup, including any undertakings not 
located in a Member State. 
 
Ø new 
Where the competent authorities waive the oblig ation of supervision on a consolidated basis 
provided for in Article 22, the requirements of  Title V, Chapter 5 of  Directive [2000/12/EC] 
shall continue to apply on an individual basis and the requireme nts of Article 124 of Directive 
[2000/12/EC] shall continue to apply to the supe rvision of investment firms on an individual 
basis. 
 
Ð 93/6/EC Art. 7 (7) to (9) 
7. Member States may waive the application of  the requirements imposed in Articles 4 and 5, 
on an individual or subconsolidated basis, to an  institution which, as a parent undertaking, is 
 
EN 35   EN subject to supervision on a consolidated basis,  and to any subsidiary of such an institution 
which is subject to their aut horization and supervision and is included in the supervision on a 
consolidated basis of the institut ion which is its parent company.  
The same right of waiver shall be granted wher e the parent undertaking is a financial holding 
company which has its head office in the same Member State as the institution, provided that 
it is subject to the same supervision as that exercised over credit inst itutions or investment 
firms, and in particular the requirements imposed in Articles 4 and 5.  
In both cases, if the right of  waiver is exercised measu res must be taken to ensure the 
satisfactory allocation of own funds within the group.  
8. Where an institution the parent undertaking of  which is an institution has been authorized 
and is situated in another Member St ate, the competent authorities which gr anted that 
authorization shall apply the rules laid down in Articles 4 and 5 to that institution on a 
individual or, where appropria te, a subconsolidated basis.  
9. Notwithstanding paragraph 8, the competent au thorities responsible for authorizing the 
subsi diary of a parent undertaking which is an institution ma y, by a bilateral agreement, 
delegate their responsibility for supervising the subsidiary 's capital adequacy and large 
exposures to the competent authorities wh ich authorized and supervise the parent undertaking. 
The Commission must be kept informed of the ex istence and content of such agreements. It 
shall forward such information to the competent authorities of the other Member States and to 
the Banking Advisory Committee and to the C ouncil, except in  the case of groups covered by 
paragraph 3.  
 
Ø new 
Article 24 
By derogation to Article 2(2), competent author ities may exempt investment firms from the 
consolidated capital requirement established ther e, provided that all the investment firms in 
the group fall within the investment firms refe rred to in Article 20(2) and the group does not 
include credit institutions. 
Where the requirements of the first sub-paragraph are met, the parent investment firm shall be 
required to provide own funds wh ich are always more than or equal to the higher of the 
following two consolidated requirements, calculate d as set out in Sectio n 3 of this Chapter: 
(a) the sum of the capital requirements contai ned in points (a) to (c) of Article 75 
of Directive [2000/12/EC]; 
(b) the amount prescribed in Article 21. 
Article 25 
By derogation to Article 2(2), competent author ities may exempt investment firms from the 
consolidated capital requirement established ther e, provided that all the investment firms in 
the group fall within the investment firms referred to in Articles 20(2) and (3), and the group 
does not include credit institutions. 
 
EN 36   EN Where the requirements of the first sub-paragraph are met, the parent investment firm shall be 
required to provide own funds which are always  more than or equal to the sum of the 
consolidated capital requirements, calculated as set out in Section 3 of this Chapter, of the 
requirements contained in points (a) to (c) of  Article 75 of Direct ive [2000/12/EC] and the 
amount prescribed in Article 21 of this Directive. 
 
Ð 93/6/EEC (adapted) 
⌦ SECTION 3 ⌫ 
CALCULATING  ⌦ CALCULATION OF ⌫ CONSOLIDATED REQUIREMENTS  
 
Ð 98/31/EC Art. 1.4 (adapted) 
Article 26 
1. Where the right of waiver provided for in Article 20  ⌦ 22 ⌫ is not exercised, the 
competent authorities may, for the purpose of calculating the capital requirements set out in Annexes I and VIII
 and the exposures to clients set out in ⌦ Articles 28 to 32 and ⌫ Annex 
VI on a consolidated basis, permit positions in  the trading book of one institution to offset 
positions in the trading book of another institution according to the rules set out in ⌦ Articles 28 to 32 ⌫ Annexes I, VI
 and VIII . 
In addition, they may allow foreign-excha nge positions in one institution to offset 
foreign-exchange positions in another inst itution in accordance with the rules set out 
in Annex III and/or Annex VIII . They may also allow comm odities positions in one 
institution to offset commodities positions in  another institution in accordance with 
the rules set out  in Annex VII  ⌦ IV ⌫ and/or Annex VIII . 
 
Ð 93/6/EEC Art 7(11) (adapted) 
2. The competent authorities may also  permit offsetting of the trading book and of the 
foreign-exchange and commodities positions, resp ectively, of undertakings  located in third 
countries, subject to the simultaneous fulfilment of the following conditions: 
i) (a) those undertakings have been authorized  in a third country and either satisfy 
the definition of credit institut ion given in the first indent of  Article 1  
⌦ 4(1) ⌫ of Directive 77/780/EEC  ⌦ [2000/12/EC] ⌫ or are recognized 
third-country investment firms; 
ii) (b)  such undertakings comply, on a solo basis, with capital adequacy rules 
equivalent to those laid down in this Directive; 
iii)(c) no regulations exist in the countries in question which might significantly 
affect the transfer of  funds within the group. 
 
EN 37   EN  
Ð 93/6/EEC Art 7(12) (adapted) 
3. The competent authorities may also allow the offsetting provided for in paragraph 10  
⌦ 1 ⌫ between institutions within a group that have been authori zed in the Member State in 
question, provided that: 
i) (a) there is a satisfactory allocation of capital within the group; 
ii) (b) the regulatory, legal or contractual fram ework in which the institutions operate 
is such as to guarantee mutual financial support within the group. 
 
Ð 93/6/EEC Art 7(13) (adapted) 
4. Furthermore, the competent authorities may allow the offsetting provided for in 
paragraph 10  ⌦ 1 ⌫ between institutions within a group that fulfil the conditions imposed 
in paragraph 12  ⌦ 3 ⌫ and any institution included in the same group which has been 
authorized in another Member State provided th at that institution is obliged to fulfil the 
capital requirements imposed in Articles 4 and 5  ⌦ 18, 20 and 28 ⌫ on a solo  ⌦ an 
individual ⌫ basis. 
 
Ð 93/6/EEC Art 7(14) & (15) 
(adapted) 
Article 27 
1. In the calculation of own funds on a consolidated basis Article 5  ⌦ 65 ⌫ of 
Directive 89/299/EEC  ⌦ [2000/12/EC] ⌫ shall apply. 
2. The competent authorities responsible fo r exercising supervisi on on a consolidated 
basis may recognise the validity of the specifi c own-funds definitions applicable to the 
institutions concerned under Ch apter IV in the calculation of  their consolidated own funds. 
 
Ð 93/6/EEC (adapted) 
⌦ SECTION 4 ⌫ 
⌦ MONITORING  AND  CONTROL  OF LARGE  EXPOSURES ⌫ 
 
Ð 93/6/EEC Art 5(1) (adapted) 
Article 28 
1. Institutions shall monitor and control th eir large exposures in  accordance with 
Directive 92/121/EEC  ⌦ Articles 106 to 118 of Directive [2000/12/EC]. ⌫ 
 
EN 38   EN  
Ð 98/31/EC Art. 1.3 (adapted) 
2. ⌦ By derogation to paragraph 1, ⌫ Notwithstanding  institutions which calculate the 
capital requirements for their trading-book business in accordance with Annexes I and II, and, 
as appropriate, Annex VIII , shall monitor and control their la rge exposures in accordance with 
Directive 92/121/EEC  ⌦ Articles 106 to 118 of  Directive [2000/12/EC] ⌫ subject to the 
amendments laid down in Articles 27 to 30 ⌦ 29 to 32 ⌫ of this Directive. 
 
Ø new 
3. By 31 December 2007, the Commission shall su bmit to the European Parliament and 
to the Council a report on the functioning of this  Section, together with any appropriate 
proposals.  
 
Ð 93/6/EEC Annex VI (2) 
(adapted) 
Ö new 
Article 29 
1. The exposures to individual clients which arise on the trading book shall be calculated 
by summing the following items (i), (ii) a nd (iii) : 
i) (a) the excess — where positive — of an in stitution's long positions over its short 
positions in all the financial instrume nts issued by the client in question, 
⌦ with ⌫ (the net position in each of the different instruments being 
calculated according to the me thods laid down in Annex I) ; 
ii) (b) the net exposure, in the case of the underwriting of a debt or an equity 
instrument; , the institution's exposure shall be its net exposure ; (which is 
calculated by deducting  those underwriting positions which are subscribed or 
sub-underwritten by third partie s on the basis of a formal agreement) reduced 
by the factors  set out in paragraph 39 of Annex I.  
iii)(c) the exposures due to the transactions, agreements and contracts referred to in 
Annex II with the client in question, su ch exposures being calculated in the 
manner laid down in that Annex, Ö for the calculation of exposure values  
without application of the we ightings for counterparty risk . 
⌦ For the purposes of point (b), the ne t exposure is calculated by deducting those 
underwriting positions which are subscribed or sub-underwritten by third parties on 
the basis of a formal agreement reduced by the factors set out in paragraph 41 of 
Annex I. ⌫ 
⌦ For the purposes of point (b), ⌫ Ppending further coordination, the competent 
authorities shall require institutions to set up systems to monitor and control their 
underwriting exposures between the time of the initial commitment and working day 
one in the light of the natu re of the risks incurred in the markets in question. 
 
EN 39   EN ÖFor the purposes of point (c), Articles 84 to 89 of Di rective [2000/12/EC] shall be 
excluded from the reference in paragr aph 5 of Annex II of this Directive.  
 
Ð 93/6/EEC Annex VI (3) 
(adapted) 
2. Thereafter, T ⌦ the ⌫ exposures to groups of connect ed clients on the trading book 
shall be calculated by summing the exposures to i ndividual clients in a group, as calculated in 
paragraph 12 . 
 
Ð 93/6/EEC Annex VI (4) 
(adapted) 
Article 30 
1. The overall exposures to individual client s or groups of connect ed clients shall be 
calculated by summing the exposures which arise on the trading book and the exposures 
which arise on the non-trading book, taking into account Article 4  ⌦ 112 to 117 ⌫ (6) to 
(12) of Directive 92/121/EEC  ⌦ [2000/12/EC] ⌫. 
In order to calculate the exposure on the non-trading book, institutions shall take the 
exposure arising from assets which are de ducted from their own funds by virtue of 
⌦ point (d) of Article 13(2) ⌫ paragraph 2(d) of Annex V  to be zero. 
 
Ð 93/6/EEC Annex VI (5) 
(adapted) 
Ö new 
2. Institutions' overall exposures to indivi dual clients and groups of connected clients 
calculated in accordance with paragraph 4 sha ll be reported in accord ance with Article 3  
⌦ 110 ⌫ of Directive 92/121/EEC  ⌦ [2000/12/EC] ⌫. 
Ö Other than in relation to repurchase transactions, securities or commodities 
lending or borrowing transactions, the calcula tion of large exposures to clients and 
groups of connected clients for reporting purposes shall not include the recognition 
of credit risk mitigation.  
 
Ð 93/6/EEC Annex VI (6) 
(adapted) 
3. That  ⌦ The ⌫ sum of the exposures to an indi vidual client or group of connected 
clients ⌦ in paragraph 1 ⌫ shall be limited in accordance with Article  4 ⌦ Articles 111 to 
117 ⌫ of Directive 92/121/EEC  ⌦ [2000/12/EC] ⌫ subject to the tr ansitional provisions 
of Article 6 of the same Directive . 
 
EN 40   EN  
Ð 93/6/EEC Annex VI (7) 
(adapted) 
4. ⌦ By derogation to ⌫ Notwithstanding  paragraph ⌦ 3 ⌫ 6, the  competent 
authorities may allow assets constituting cl aims and other exposures investment firms  on 
recognized  recognised  third-country investme nt firms and recognized  recognised  clearing 
houses and exchanges in financial instruments to be subject to th e same treatment accorded to 
those on institutions ⌦ laid out ⌫ in Article  ⌦ Articles 113(2)(i), 115(2) and 116 ⌫ 4 (7) 
(i), (9) and (10)  of Directive 92/121/EEC  ⌦ [2000/12/ EC]. ⌫ 
 
Ð 93/6/EEC Annex VI (8) 
(adapted) 
Article 31 
The competent authorities may authorize the limits laid down in Article  4 ⌦ Articles 111 to 
117 ⌫ of Directive 92/121/EEC  ⌦ [2000/12/EC] ⌫ to be exceeded subject to  ⌦ if ⌫ the 
following conditions being met simultaneously  ⌦ are met ⌫: 
1. (a) the exposure on the non-tradi ng book to the client or group of clients in question 
does not exceed the limits la id down in Directive 92/121/EEC  ⌦ Articles 111 to 117 
of [Directive 2000/12/EC] ⌫, calculated with reference to own funds as defined  
⌦ specified ⌫ in Directive 89/299/EEC  ⌦ [2000/12/EC] ⌫, so that the excess 
arises entirely on the trading book; 
2.(b) the ⌦ institution ⌫ firm  meets an additional capital requirement on the excess in 
respect of the limits laid down in Article 4  ⌦ 111 ⌫ (1) and (2) of Directive 
92/121/EEC  ⌦ [2000/12/EC], calculated in accord ance with Annex VI of this 
Directive⌫; 
3.(c) where 10 days or less has elapsed si nce the excess occurred, the trading-book 
exposure to the client or group of connect ed clients in question must not exceed 
500 % of the institution's own funds; 
4.(d) any excesses which have persisted for more  than 10 days must not, in aggregate, 
exceed 600 % of the institution's own funds; 
5 .(e) institutions must report to the competen t authorities every three months all cases 
where the limits laid down in Article 4  ⌦ 111 ⌫ (1) and (2) of Directive 
92/121/EEC  ⌦ [2000/12/EC] ⌫ have been exceeded during the preceding three 
months. 
In relation to point (e), in each case in which the limits have been exceeded the amount of the 
excess and the name of the client  concerned must be reported. 
 
EN 41   EN  
Ð 93/6/EEC Annex VI (9) & (12) 
(adapted) 
Article 32 
1. The competent authorities shall establish procedures of which they shall notify the 
Council and the Commission to prevent institutions from deliberately avoiding the additional 
capital requirements that they would otherwise incur, on exposures exceeding the limits laid 
down in Article 4  ⌦ 111 ⌫ (1) and (2) of Directive 92/121/EEC  ⌦ [2000/12/EC] ⌫ once 
those exposures have been maintained for more than 10 days, by means of temporarily 
transferring the exposures in que stion to another company, whet her within the same group or 
not, and/or by undertaking artific ial transactions to  close out the exposure during the 10 day 
period and create a new exposure. Institutions shall maintain systems which ensure that any 
transfer which has this effect is immediat ely reported to the competent authorities.  
The competent authorities shall notify ⌦ the Council and ⌫ the Commission of 
those procedures. 
Institutions shall maintain systems which ensure that any transfer which has the 
effect referred to in the first subparagra ph is immediately reported to the competent 
authorities. 
2. The competent authorities may permit those  institutions which are allowed to use the 
alternative de finition ⌦ determination ⌫ of own funds under pa ragraph 2 of Annex V  
⌦ Article 13(2) ⌫ to use that definition ⌦ determination ⌫ for the purposes of 
paragraphs 5, 6 and 8 of this Annex ⌦ Articles 30(2), 30(3) and 31 ⌫ provided that the 
institutions concerned are required, in addition,  to meet all of the obligations set out in 
Articles 3 and 4  ⌦ 110 to 117 ⌫ of Directive 92/121/EEC  ⌦ [2000/12/EC] ⌫, in respect 
of the exposures which arise outside their tr ading books by using own funds as defined in 
Directive 89/299/EEC  ⌦ [2000/12/EC] ⌫. 
 
Ð 93/6/EEC (adapted) 
⌦ SECTION 5 ⌫ 
VALUATION  OF POSITIONS  FOR  REPORTING  PURPOSES 
Article 33 
 
Ø new 
1. All trading book positions shall be subject to  prudent valuation rules as specified in 
Annex VII, Part B. These rules shall require in stitutions to ensure that the value applied to 
each of its trading book positions appropriately reflects the curre nt market value. This value 
shall contain an appropriate degree of certainty having regard to the dyna mic nature of trading 
 
EN 42   EN book positions, the demands of prudential soundness and the mode of operation and purpose 
of capital requirements in resp ect of trading book positions. 
2. Positions shall be re -valued at least daily. 
 
Ð 93/6/EEC Art. 6 (adapted) 
1. Institutions shall mar k to market their trading books on a daily basis unless they are subject 
to Article 4 (6).  
23. In the absence of readily available market prices, for example in the case of dealing in 
new issues on the primary markets,  the competent authorities may waive the requirement 
imposed in paragraphs  1 ⌦ and 2 ⌫ and ⌦ shall ⌫ require institutions to use alternative 
methods of valuation provided that those met hods are sufficiently prudent and have been 
approved by competent authorities. 
 
Ð 93/6/EEC 
SUPERVISION  ON  A CONSOLIDATED  BASIS  
 
Ø new 
SCOPE  OF APPLICATION   
 
Ð 96/3/EEC 
Article 7  
General principles  
 
Ð 98/31EC Art. 7(10) (adapted) 
10. Where the right s of waiver provided for in paragraphs 7 and 9 are not exercised, the 
competent authorities may, for the purpose of calculating the capital requirements set out in 
Annexes I and VIII and the exposur es to clients set out in Annex VI on a consolidated basis, 
perm it positions in the trading book of one instituti on to offset positions in the trading book of 
another institution according to the rule s set out in Annexes I, VI and VIII.  
In addition, they may allow foreign -exchange positions in one institution to offset  foreign -
exchange positions in another institution in accordance with the rule s set out in Annex III 
and/or Annex VIII. They may also allow commod ities positions in one institution to offset 
commodities positions in another institution in accordance with t he rules set out in Annex VII 
and/or Annex VIII.  
 
EN 43   EN  
Ø new  
SECTION 6 
RISK MANAGEMENT AND CAPITAL ASSESSMENT  
Article 34 
Competent authorities shall require that ever y investment firm, as well as meeting the 
requirements in Article 13 of Directive 2004/39/E C, shall meet the requirements in Articles 
22 and 123 of Directive [2000/12/EC]. 
 
Ð 93/6/EEC (adapted) 
⌦ SECTION 7 ⌫ 
REPORTING  REQUIREMENTS 
 
Ð 93/6/EEC Art. 8 (adapted) 
Article 35 
1. Member States shall require that investment firms and credit institutions provide the 
competent authorities of their home Member Stat es with all the information necessary for the 
assessment of their compliance w ith the rules adopted in accord ance with this Directive. 
Member States shall also ensure that institutions' internal control mechanisms and 
administrative and accounting procedures ⌦ of the institutions ⌫ permit the verification of 
their compliance with such rules at all times. 
2. Investment firms shall be obliged to report to the competent authorities in the manner 
specified by the latter at leas t once every month in the case of firms covered by Article 3(3)  
⌦ 9 ⌫ , at least once every thre e months in the case of firms covered by Article 3  ⌦ 5 ⌫ 
(1) and at least once every six months in  the case of firms covered by Article 3  ⌦ 5 ⌫ (2). 
3. Notwithstanding paragraph 2, inve stment firms covered by Articles  3 ⌦ 5 ⌫ (1) and 
(3) ⌦ 9 ⌫ shall be required to provide the in formation on a consolidated or sub-
consolidated basis only once every six months. 
4. Credit institutions shall be obliged to report in the manner specified by the competent 
authorities as often as they are oblig ed to report under Directive 89/647/EEC 
⌦ [2000/12/EC] ⌫. 
 
EN 44   EN  
Ð 98/31/EC Art. 1.5 
5. The competent authorities shall oblige institu tions to report to them immediately any 
case in which their counter-parties in repurch ase and reverse repurchase agreements or 
securities and commodities-lending and secu rities and commodities-borrowing transactions 
default on their obligations. Commission shall re port to the Council on such cases and their 
implications for the treatment of such agreements  and transactions in this Directive not more 
than three years after the date referred to in Ar ticle 12. Such report shall also describe the way 
that institutions m eet those of conditions (i) to (v) in Ar ticle 2(6)(b) that apply to them, in 
particular condition (v). Furthermore it shall give details of any changes in the relative 
volume of institutions' traditional lending an d their lending through reverse repurchase  
agreements and securities -borrowing or commodities -borrowing transactions. If the 
Commission concludes on the basis of this report and other information that further 
safeguards are needed to prevent abus e, it shall make a ppropriate proposals.  
 
Ð 93/6/EEC (adapted) 
⌦ Chapter VI ⌫ 
⌦ SECTION  1 ⌫ 
COMPETENT  AUTHORITIES 
 
Ð 93/6/EEC Art. 9 (adapted) 
Article 36 
1. Member States shall designate the authorities which are ⌦ competent ⌫ to carry out 
the duties provided for in this Directive. They shall inform the Commission thereof, 
indicating any division of duties. 
2. The ⌦ competent ⌫ authorities referred to in paragraph 1 must  ⌦ shall ⌫ be 
public authorities or bodies offici ally recognized by national la w or by public authorities as 
part of the supervisory system in ope ration in the Member State concerned. 
3. The ⌦ competent ⌫ authorities concerned must  ⌦ shall ⌫ be granted all the 
powers necessary for the performance of their ta sks, and in particular that of overseeing the 
constitution of trading books. 
1. 4. The competent authorities of the various  Member States shall collaborate closely 
in the performance of the duties provided for in this Directive, particularly when 
investment services are provided on a servic es basis or through the establishment of 
branches in one or more Member States. They sha ll on request supply one another 
with all information likely to facilitate the supervision of the capital adequacy of 
investment firms and credit institutions, in particular the verification of their 
compliance with the rules laid down in this Directive. A ny exchange of information 
 
EN 45   EN between competent authorities which is provid ed for in this Directive in respect of 
investment firms shall be subject to the ob ligation of professional secrecy imposed in 
Article 25 of Directive 93/22/ EEC and, as regards credit i nstitutions, to the 
obligation imposed in Article 12 of Dir ective 77/780/EEC, as amended by Directive 
89/646/EEC.  
 
Ø new 
SECTION  2 
SUPERVISION  
Article 37 
1. Articles 124 to 132, 136 and 144 of  Directive [2000/12/EC] shall apply mutatis 
mutandis  to the supervision of investment firms in accordance with the following:. 
(a) references to Article 6 of Direct ive [2000/12/EC] shall be construed as 
references to Article 5 of Directive 2004/39/EC; 
(b) references to Article 22 and 123 of Directive [2000/12/EC] shall be construed 
as references to Article 34 of this Directive; 
(c) references to Articles 44 to 52 of Directive [2000/12/EC] shall be read as 
references to Articles 54 and 58 of Directive 2004/39/EC. 
Where an EU parent financial holding co mpany has as subsidiary both a credit 
institution and an invest ment firm, one competent authority responsible for 
supervision of the credit in stitution shall be identified  to be responsible for 
consolidated supervisi on of the entities cont rolled by that parent. 
2. The requirements set out in Article 129(2) of Directive [2000/12/ EC] shall also apply 
to the recognition of internal models of in stitutions under Annex V of this Directive. 
The period for the recognition referred to in  the first sub-paragraph shall be six 
months. 
 
Ð 93/6/EEC Art. 9 (4) (adapted) 
Article 38 
1. The competent author ities of the various  Member States shall 
⌦ cooperate ⌫collaborate  closely in the performance of the duties provided for in this 
Directive, particularly when  ⌦ where ⌫investment services are pr ovided on a services basis 
or through the establishment of branch es in one or more Member States .  
 
EN 46   EN They shall on request supply one another with  all information likely to facilitate the 
supervision of the capital adequacy  of investment firms and credit  institutions, in 
particular the verification of their complia nce with the rules laid down in this 
Directive. 
2. Any exchange of information between comp etent authorities which is provided for in 
this Directive in respect of invest ment firms shall be subject to the ⌦ following ⌫ 
obligation ⌦ s ⌫ of professional secrecy ⌦ : ⌫ 
(a) ⌦ for investment firms, those ⌫ imposed in Article 25  ⌦ 54 and 58 ⌫ of 
Directive 93/22/EEC  ⌦ 2004/39/EC ⌫; 
(b) and, as regards ⌦ for ⌫ credit institutions, to th e obligation  ⌦ those ⌫ 
imposed in Articles ⌦ 44 to 52 ⌫ 12 of Directive 77/780/EEC, as amended 
by Directive 89/646/EEC  ⌦of Directive [2000/12/EC] ⌫ . 
 
Ø new 
Chapter VII 
Disclosure 
Article 39 
The requirements set out in Title V, Chapte r 5 of Directive [2000/12/EC] shall apply to 
investment firms. 
 
Ð 93/6/EEC (adapted) 
⌦ Chapter VIII ⌫ 
⌦ SECTION  1 ⌫ 
 
Ø new 
Article 40 
For the purposes of the calcula tion of minimum capital require ments for counterparty risk 
under this directive, and for credit risk under Directive [2000/12/EC], and without prejudice 
to the provisions of the second to sixth paragr aphs of Annex III of Directive [2000/12/EC], 
exposures to recognized third-country investme nt firms and exposures incurred to recognized 
clearing houses and exchange s shall be treated as e xposures to institutions. 
 
EN 47   EN Article 41 
By 31 December 2008, the Commission shall examin e and, if necessary, revise the treatment 
of counterparty risk set out in Annex II. 
 
Ð 93/6/EEC (adapted) 
⌦ SECTION  2 ⌫ 
⌦POWERS  OF EXECUTION ⌫ 
 
Ð 93/6/EEC Art. 10 (adapted) 
Ö new 
Article 42 
1. Pending adoption of a further Directive la ying down provisions for adapting this 
Directive to technical progres s in the areas specified belo w, the Council shall, acting by 
qualified majority o n a proposal form the Commissi on, in accordance with Decision 
87/373/EEC, adopt those adaptations which may be necessary as follows  ⌦The Commission 
shall decide on any amendments in the follo wing areas in accordance with the procedure 
referred to in Article 43(2). ⌫ 
(a) clarification of the definitions in Article 2  ⌦ 3 ⌫ in order to ensure uniform 
application of this Direc tive throughout the Community;  
(b) clarification of the definitions in Article 2  ⌦ 3 ⌫ to take account of 
developments on financial markets;  
(c) alteration of the amounts of initial  capital prescribed in Articles  3 ⌦ 5 to 9 ⌫ 
and the amount referred to in Article 4(6)  ⌦18(2)⌫ to take account of 
developments in the economic and monetary field;  
Ö (d) amendment of the categories of invest ment firms in Articles 20(2) and (3) to 
take account of developments on financial markets;  
Ö (e) clarification of the requirement la id down in Article 21 to ensure uniform 
application of this Direc tive throughout the Community;  
(f) the alignment of terminology on and the framing of definitions in accordance 
with subsequent acts on inst itutions and related matters. ; 
Ö (g) amendment of the technical provisions  in Annexes I to VII in order to take 
account of developments in financial ma rkets, risk measurement, accounting 
standards or requirements set out in Community legislation.  
 
EN 48   EN  
Ø new 
Article 43 
1. The Commission shall be assisted by a Committee. 
2. Where reference is made to this paragra ph, the procedure laid down in Article 5 of 
Decision 1999/468/EC shall apply, in compliance with Article 7(3) and Article 8 thereof.  
The period provided for in Article 5(6) of Decision 1999/468/EC shall be three 
months. 
 
Ð 93/6/EEC (adapted) 
⌦ SECTION  3 ⌫ 
TRANSITIONAL  PROVISIONS 
 
Ð 93/6/EEC Art. 11 
Article 11  
1. Member States may authorize investment fi rms subject to Article 30 (1) of Directive 
93/22/EEC the own funds of which are on the day of the applica tion of this Directive lower 
than the levels specified in Article 3 (1) to (3) of thi s Directive. Thereafter, however, the own 
funds of such investment firms must fulfil the conditions laid down in Article 3 (5) to (8) of 
this Directive.  
2. Notwithstanding paragraph 14 of Annex I, Member States may set a specific -risk 
requirement for any b onds assigned a weighting of 10  % under Article 11 (2) of Directive 
89/647/EEC equal to half the specific -risk requirement for a qualif ying item with the same 
residual maturity as such a bond.  
 
Ð 98/31/EC Art. 1.6 (adapted) 
Article 1 
Until 31  December  2006 , Member States may authorise thei r institutions to use the minimum 
spread, carry and outright rates set out in the following table instead of  those indicated in 
paragraphs 13, 14, 17 and 18 of Annex VII provided that the institutions, in the  opinion of 
their competent authorities:  
(i) undertake significant commodities business,  
(ii) have a diversified commodities portfolio, and  
 
EN 49   EN (iii) are not yet in a position to use internal models for the purpose of calculating the 
capital requirement on com modities risk in accord ance with Annex VIII.  
Table  
 Precious metals 
(except gold)  Base 
metals  Agricultural 
products (softs)  Other, including 
energy products  
Spread 
rate (%) 1.0 1.2  1.5  1.5  
Carry 
rate (%) 0.3 0.5  0.6  0.6  
Outright 
rate (%) 8 10  12  15  
 
Member States shall inform the Commission of the use they make of this Article.  
 
Ø new 
Article 44 
Article 152(1) to (6) of Directive [2000/12/EC] shall apply, in accordance with Article 2 and 
Chapter V, Sections 2 and 3 of this Directive,  to investment firms calculating risk-weighted 
exposure amounts, for the purposes of Annex II of  this Directive, in accordance with Articles 
84 to 89 of Directive [2000/12/EC], or usin g the Advanced Measurement Approach as 
specified in Article 105 of that Directive for th e calculation of their capital requirements for 
operational risk. 
Article 45 
Until 31 December 2012, for investment firms the re levant indicator for the trading and sales 
business line of which represents at least 50% of the total of relevant indicators for all of its 
business lines calculated in accord ance with Article 20 of this Directive and Annex X, Part 2, 
paragraphs 1 to 8 of Directive [2000/12/EC], Me mber States may apply a percentage of 15% 
to the business line “trading and sales”. 
 
EN 50   EN  
Ð 93/6/EEC Art. 12 (adapted) 
Ö new 
⌦ SECTION  4 ⌫ 
FINAL  PROVISIONS 
Article 46 
1. Member States shall bring into force the laws, regulations and administrative 
provisions necessary for them to comply with th is Directive by the date fixed in the second 
paragraph of Article 31 of Directive 93/22/EEC. They shall forthwith inform the Commission 
thereof.  
1. Member States shall adopt and publish, by 31 December 2006 at the latest, the laws, 
regulations and administrative provisions nece ssary to comply with Articles 2, 3, 11, 13, 17, 
18, 19, 20, 22, 23, 24, 25, 29, 30, 33, 34, 35, 37, 39, 40, 42, 44, 45, 47 and the Annexes I, II, 
III, V, VII. They shall forthwith communicate to  the Commission the text of those provisions 
and a correlation table between thos e provisions and this Directive.  
They shall apply those provisions from 31 December 2006. When Member States adopt those provisions,  they shall contain a reference to this 
Directive or add such a reference
 ⌦ be accompanied by such a reference ⌫ on the 
occasion of their official publication. ⌦ They shall also include a statement that 
references in existing laws, regulations  and administrative provisions to these 
directives repealed by this Directive shall be construed as references to this Directive. ⌫ The manner in which such references are to be made shall be laid 
down by the Member State . 
2. Member States shall communicate to the Commission the Ö text of the  main 
provisions of national law which they adopt in the field covered by this Directive. 
 
Ø new 
Article 47 
1. Article 152(7) to (12) of Directive [2000/ 12/EC] shall apply mutatis mutandis for the 
purposes of this Directive subject to the fo llowing provisions which shall apply where the 
discretion referred to in Ar ticle 152(7) of Directive [2000/12/EC] is exercised: 
(a) References in Annex II paragraph 6 of  Directive [2000/12/EC] shall be read as 
references to Directive 2000/12/EC as th at Directive stood prior to the date 
referred to in Article 46; 
(b) Annex II, paragraph 4.1, shall apply as it stood prior to the date referred to in 
Article 46. 
 
EN 51   EN 2. Article 157 (2) of Direc tive [2000/12/EC] shall appl y mutatis mutandis for the 
purposes of Articles 18 and 20. 
 
Ð 93/6/EEC Art. 13 
Article 13  
The Commission shall as soon as possible submit to the Council proposals for capital 
requirements in respect of commodities tr ading, commodity derivatives and units of 
collective -investment undertakings.  
The Council shall decide on the Commission's propos als no later than six months before the 
date of application of this Directive.  
 
Ø new 
Article 48 
Directive 93/6/EEC, as amended by the Directives  listed in Annex VIII, Part A, is repealed 
without prejudice to the obligations of the Me mber States relating to the time-limits for 
transposition into national law of the Dir ectives set out in Annex VIII, Part B. 
References to the repealed Directives shall be construed as references to this Directive and 
shall be read in accordance with the correlation table in Annex IX. 
Article 49 
This Directive shall enter into force on the tw entieth day following that  of its publication in 
the Official Journal of  the European Union.  
 
Ð 93/6/EEC Art 14 
REVIEW  CLAUSE  
Article 14  
Within three years of the date referred to  in Article 12, acting on a proposal from the 
Commission, the Council shall examine and, if necessa ry, revise this Directive in the light of 
the experience  acquired in applying it, taking into account market innovation and, in 
particular, developments in interna tional fora of regul atory authorities.  
 
EN 52   EN  
Ð 93/6/EEC Art. 15 
Article 50 
This Directive is addressed to the Member States. 
Done at Brussels, […] 
For the European Parliament For the Council 
The President The President […] […] 
 
Ð 93/6/EEC (adapted) 
Ö new 
ANNEX I  
Ö CALCULATING CAPITAL REQUIREMENTS FOR   POSITION RISK 
INTRODUCTION  ⌦ GENERAL  PROVISIONS ⌫ 
Netting 
1. The excess of an institution's long (short) positions over its short (long) positions in the 
same equity, debt and convertible issues and id entical financial futures, options, warrants and 
covered warrants shall be its net position in each of those differe nt instruments. In calculating 
the net position the competent authorities shall allo w positions in derivative instruments to be 
treated, as laid down in paragraphs 4 to 7, as positions in the underlying (or notional) security 
or securities. Institutions' hol dings of their own debt instru ments shall be disregarded in 
calculating specific risk under paragraph 14  ⌦ 14 ⌫ . 
2. No netting shall be allowed between a c onvertible and an offs etting position in the 
instrument underlying it, unless the competent au thorities adopt an approach under which the 
likelihood of a particular convertible's being conve rted is taken into acc ount or have a capital 
requirement to cover any loss which conversion might entail. 
3. All net positions, irrespective of their signs, must be converted on a daily basis into the 
institution's reporting currency at  the prevailing spot exchange rate before their aggregation. 
Particular instruments 
 
Ð 93/6/EC (adapted) 
Î1 98/31/EC Art. 1.7 and Annex 
.1(a) 
4. Interest-rate futures, forward-rate agreemen ts (FRAs) and forward commitments to buy or 
sell debt instruments shall be treated as comb inations of long and short positions. Thus a long 
 
EN 53   EN interest-rate futures position shall be treated as a combination of a borrowing maturing on the 
delivery date of the futures contract and a holding of an asset with maturity date equal to that 
of the instrument or notional position underlying  the futures contract in question. Similarly a 
sold FRA will be treated as a long position with a maturity date equal to the settlement date 
plus the contract period, and a short position with  maturity equal to the settlement date. Both 
the borrowing and the asset holding shall be  included in the central government column  
⌦ first category set out in ⌫ of Table 1 in paragraph 14  ⌦ 14 ⌫ in order to calculate the 
capital required against specific risk for interest-rate futures and FRAs. A forward 
commitment to buy a debt instrument shall be treated as a combination of a borrowing 
maturing on the delivery date and a long (spot) position in the debt instrument itself. The 
borrowing shall be included in the central governmen t column  ⌦ first category set out in ⌫ 
of Table 1 ⌦ in paragraph 14 ⌫for purposes of specific risk, and the debt instrument under 
whichever column is appropriate for it in the same table. Î1 ---  
 
Ð 98/31/EC Art. 1.7 and Annex 
.1(a) (adapted) 
The competent authorities may allow the capital requirement for an exchange-traded future to 
be equal to the margin required by the exchange if they are fully satisfied that it provides an 
accurate measure of the risk associated with the fu ture and that it is at least equal to the capital 
requirement for a future that would result from a calculation made using the method set out in 
this Annex or applying the internal models method described in Annex VIII .  
Until 31 December 2006 t The competent authorities may also  allow the capital requirement 
for an OTC derivatives contract of the type referred to in th is paragraph cleared by a clearing 
house recognised by them to be equal to the ma rgin required by the cl earing house if they are 
fully satisfied that it provides an accurate measure of the risk associated with the derivatives contract and that it is at least equal to the capital requirement fo r the contract in question that 
would result from a calculation made using the method set out in the this Annex or applying 
the internal models met hod described in Annex VIII
. 
 
Ð 93/6/EEC Art. 2(22) 
For the purposes of this paragraph, long position  means a position in which an institution has 
fixed the interest rate it will receiv e at some time in the future, and short position  means a 
position in which it has fixed the interest rate  it will pay at some time in the future. 
 
Ð 93/6/EEC 
5. Options on interest rates, debt instruments, equities, equity indices, financial futures, swaps 
and foreign currencies shall be treated as if th ey were positions equal in value to the amount 
of the underlying instrument to which the op tion refers, multiplied by its delta for the 
purposes of this Annex. The latter positions ma y be netted off against any offsetting positions 
in the identical underlying securities or deriva tives. The delta used shall be that of the 
exchange concerned, that calculated by the co mpetent authorities or, where that is not 
available or for OTC-options, that , calculated by the institution itself, subject to the competent 
authorities' being satisfied that the mode l used by the institution is reasonable. 
However, the competent authorities may also pres cribe that institutions calculate their deltas 
using a methodology specified by the competent authorities. 
 
EN 54   EN  
Ð 98/31/EC Art. 1.7 and Annex 
.1(b) (adapted) 
The competent authorities shall require that the  oOther risks, apart from the delta risk, 
associated with options are  ⌦ shall be ⌫ safeguarded against. The competent authorities 
may allow the requirement against a written exchange-traded option to be equal to the margin required by the exchange if they are fully satisfi ed that it provides an accurate measure of the 
risk associated with the option a nd that it is at least equal to th e capital requirement against an 
option that would result from a calculation made using the method set out in the remainder of 
this Annex or applying the internal models method described in Annex VIII
. Until 31 
December 2006 t The competent authorities may also al low the capital requirement for an 
OTC option cleared by a clearing house recogni sed by them to be equal to the margin 
required by the clearing house if they are fully sa tisfied that it provides an accurate measure 
of the risk associated with the option and that it  is at least equal to the capital requirement for 
an OTC option that would result from a calcu lation made using the method set out in the 
remainder of this Annex or applying the in ternal models method described in Annex VIII . In 
addition they may allow the requirement on a bought exchange-traded or OTC option to be 
the same as that for the instrument underlying it , subject to the constrai nt that the resulting 
requirement does not exceed the market value of  the option. The requireme nt against a written 
OTC option shall be set in relation to the instrument underlying it. 
 
Ð 98/31/EC Art. 1.7 and Annex 
.1(c) 
6. Warrants relating to debt instruments and equi ties shall be treated in the same way as 
options under paragraph 5. 
 
Ð 93/6/EEC 
7. Swaps shall be treated for interest-rate risk purposes on the same basis as on-balance-sheet 
instruments. Thus an interest-rate swap unde r which an institution receives floating-rate 
interest and pays fixed-rate in terest shall be treated as eq uivalent to a long position in a 
floating-rate instrument of maturity equivalent to the period until the next interest fixing and a 
short position in a fixed-rate instrument with the same ma turity as the swap itself. 
 
Ø new 
8. For credit derivatives, unless specified di fferently, the notional amount of the credit 
derivative contract must be used. When calculati ng the capital requirement for the market risk 
of the party who assumes the credit risk (the “p rotection seller”), positions are determined as 
follows: 
A total return swap creates a long position in  the general market risk of the reference 
obligation and a short position in  the general market risk of a government bond which is 
assigned a 0% risk weight under Annex VI of Directive [2000/12/EC]. It also creates a long 
position in the specific risk of the reference obligation. 
A credit default swap does not create a positio n for general market risk . For the purposes of 
specific risk, the institution must record a sy nthetic long position in an obligation of the 
 
EN 55   EN reference entity. If premium or interest payments  are due under the prod uct, these cash flows 
must be represented as notional positions in a government bond with the appropriate fixed or 
floating rate. 
A credit linked note creates a long position in the ge neral market risk of the note itself, as an 
interest product. For the purpose of specific ri sk, a synthetic long pos ition is created in an 
obligation of the reference entit y. In addition, a long position is cr eated in the specific risk of 
the issuer of the note. 
A first-asset-to-default basket creates a positio n for the notional amount in an obligation of 
each reference entity. If the size of the maxi mum credit event payment is lower than the 
capital requirement under the method in the first sentence of this sub-paragraph, the 
maximum payment amount may be taken as the capital requirement for specific risk. 
A second-asset-to-default bask ed product creates a position fo r the notional amount in an 
obligation of each reference entity less one (t hat with the lowest specific risk capital 
requirement). If the size of the maximum cr edit event payment is lo wer than the capital 
requirement under the method in the first sentence of this sub-paragraph, this amount may be 
taken as the capital requirement for specific risk. 
Where a credit linked note basket product has an  external rating and meets the conditions for 
a qualifying debt item, a single long position with the specific risk of the note issuer may be 
recorded instead of the specific risk  positions for all reference entities. 
A basket product providing proportional protection creates a position in each reference entity 
for the purposes of specific risk, with the total notional amount of the co ntract assigned across 
the positions according to the proportion of th e total notional amount that each exposure to a 
reference entity represents. Where more than one obligation of a reference entity can be 
selected, the obligation with the highest risk weighting determines the specific risk. The 
maturity of the credit derivative contract is applicable instead of the maturity of the 
obligation. 
For the party who transfers cred it risk (the “protect ion buyer”), the positi ons are determined 
as the mirror image of the protection seller, wi th the exception of a credit linked note (which 
entails no short position in the issuer). If at  a given moment there is a call option in 
combination with a step-up, such moment is trea ted as the maturity of  the protection. In the 
case of the nth to default credit derivatives, protecti on buyers are allowed to off-set specific 
risk for n-1 of the underlyings (i.e., the n-1 asse ts with the lowest sp ecific risk charge). 
 
Ð 93/6/EEC (adapted) 
89. However,  iInstitutions which mark to market and manage the interest-rate risk on the 
derivative instruments covered in paragraphs 4 to 7 on a discounted-cash-flow basis may use 
sensitivity models to calculate the positions referred to above and may use them for any bond 
which is amortiz sed over its residual life rather than  via one final repayment of principal. 
Both the model and its use by the institution must be approved by the competent authorities. These models should generate positions which have the same sensitiv ity to interest-rate 
changes as the underlying cash flows. This sens itivity must be assessed with reference to 
independent movements in sample rates across th e yield curve, with at least one sensitivity 
point in each of the matu rity bands set out in Table 2 of paragraph 18
 ⌦ 20 ⌫ . The 
 
EN 56   EN positions shall be included in the calculation of capital requirements according to the 
provisions laid down in paragraphs 15 to 30  ⌦ 17 to 32 ⌫ . 
910. Institutions which do not use models under paragraph 8  ⌦ 9 ⌫may instead , with the 
approval of the competent authorities, treat as  fully offsetting any po sitions in derivative 
instruments covered in paragraphs 4 to 7 wh ich meet the following conditions at least: 
(ia) the positions are of the same value and denominated in the same currency; 
(iib) the reference rate (for floating-rate  positions) or coupon (for fixed-rate 
positions) is closely matched; 
(iiic) the next interest-fixing date or, fo r fixed coupon positions, residual maturity 
corresponds with th e following limits: 
(i) less than one month hence: same day, ; 
(ii) between one month and one y ear hence: within seven days, ; 
(iii) over one year he nce: within 30 days. 
1011. The transferor of securities  or guaranteed rights relating to title to securities in a 
repurchase agreement and the lender of securities  in a securities lending shall include these 
securities in the calculation of  its capital requireme nt under this Annex provided that such 
securities meet the criteria laid down in Article 2(6)(a)  ⌦ 11 ⌫ . 
 
Ð 93/6/EEC (adapted) 
11. Positions in units of collective -investment undertakings shall be subject to the capital 
requirements of Directive 89/647/ EEC rather than to position -risk requirements under this 
Annex.  
Specific and general risks 
12. The position risk on a traded debt instrument or  equity (or debt or eq uity derivative) shall 
be divided into two components in  order to calculate the capital required against it. The first 
shall be its specific-risk compone nt — this is the risk of a pr ice change in the instrument 
concerned due to factors related to its issuer or , in the case of a derivative, the issuer of the 
underlying instrument. The second component shall c over its general risk — this is the risk of 
a price change in the instrument due (in the case of a traded debt instrument or debt 
derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity-market movement  unrelated to any specific attributes of 
individual securities. 
TRADED
 DEBT  INSTRUMENTS 
13. The institution shall classify its  nNet positions ⌦ shall be classified ⌫ according to 
the currency in which they are denominated an d shall calculate the capital requirement for 
general and specific risk in each  individual currency separately. 
 
EN 57   EN Specific risk 
 
Ð 93/6/EC 
Ö new 
14. The institution shall assign its  net positions, as calculated in accordance with paragraph 1, 
to the appropriate categories in Table 1 on the basis of their residual  maturities and then 
multiply them by the weightings shown. It shall sum its weighted positions (regar dless of 
whether they are long or short) in order to calculate its capita l requirement against specific 
risk. Ö in the trading book, as calcu lated in accordance with para graph 1 to the appropriate 
categories in Table 1 on the basis of their i ssuer/obligor, external or internal credit 
assessment, and residual maturit y, and then multiply them by th e weightings shown. It shall 
sum its weighted positions (regardless of whether they are long or short) in order to calculate 
its capital requirement against specific risk.  
 
Ð 93/6/EEC 
Table 1  
Central government 
items  Qualifying items  Other items  
 Up to 6 
months  Over 6 and up to 24 
months  Over 24 
months   
0,00 % 0,25 % 1,00 % 1,60 % 8,00 % 
 
Ø new 
Table 1 
Items Specific risk capital charge 
Debt securities issu ed or guaranteed by 
central governments, issued by central banks, 
international organisations, multilateral 
development banks or Member States’ 
regional government or  local authorities 
which would receive a 0% risk weighting 
under the RSA or IRB approaches.  0% 
Debt securities issu ed or guaranteed by 
central governments, issued by central banks, 
international organisations, multilateral 
development banks or Member States’ 
regional governments or local authorities 
which would receive a 20% or 50% risk 
weighting under the RSA 
Other qualifying items as defined in 0.25% (residual term to final maturity six 
months or less)  
1.00% (residual term to final maturity greater 
than six months and up to and including 24 
months) 
1.60% (residual term to maturity exceeding 
 
EN 58   EN paragraph 15 below 24 months) 
All others 8.00% 
15. For the purposes of paragraph 14 qualifying items  shall include: 
(a) long and short positions in assets  qualifying for a credit quality step 
corresponding at least to investment gr ade in the mapping pr ocess described in 
Title V, Chapter 2, Section 3, Sub-se ction 1 of Directive [2000/12/EC]; 
(b) long and short positions in assets whic h, because of the solvency of the issuer, 
have a PD which is not higher than that of the assets referred to under a) above, 
under the approach described in Title V,  Chapter 2, Section 3, Sub-section 2 of 
Directive [2000/12/EC]; 
(c) long and short positions in assets for which a credit assessment by a nominated 
external credit assessment institution is not available and which meet the 
following conditions: 
(i) they are considered by the institutions  concerned to be sufficiently liquid; 
(ii) their investment quality is, according to the institution’s own discretion, 
at least equivalent to that of th e assets referred to under point a); 
(iii) they are listed on at least one regul ated market in a Member State or on a 
stock exchange in a third country provided that the exchange is 
recognised by the competent authoritie s of the relevant Member State; 
(d) they are, subject to competent author ities discretion, long an d short positions in 
assets issued by institutions subject to  the capital adequacy requirements set 
forth in Directive [2000/12/EC]  
The manner in which the debt instruments are assessed shall be subject to scrutiny by the 
competent authorities, which shall overturn the judgment of the institution if they consider 
that the instruments concerned are subject to t oo high a degree of specific risk to be qualifying 
items; 
16. The competent authorities shall require the institution to apply the maximum weighting 
shown in Table 1 to instruments that show a particular risk because of the insufficient 
solvency of the issuer of liquidity. 
 
Ð 93/6/EEC 
General risk 
(a) Maturity-based 
 
Ð 93/6/EEC (adapted) 
1517. The procedure for calculating  capital requirements agains t general risk involves two 
basic steps. First, all positions shall be weig hted according to maturity (as explained in 
 
EN 59   EN paragraph 16  ⌦ 18 ⌫ ), in order to compute the amount  of capital required against them. 
Second, allowance shall be made for this require ment to be reduced when a weighted position 
is held alongside an opposite weighted position within the same maturity band. A reduction in 
the requirement shall also be allowed when the opposite weighted positions  fall into different 
maturity bands, with the size of this reduction depending both on whether the two positions fall into the same zone, or not, and on the particular zones they fall into. There are three zones (groups of maturity bands) altogether. 
16
18. The institution shall assign its net positions to  the appropriate maturity bands in column 
2 or 3, as appropriate, in Table 2 appearing  in paragraph 18  ⌦ 20 ⌫ . It shall do so on the 
basis of residual maturity in th e case of fixed-rate instruments and on the basis of the period 
until the interest rate is next se t in the case of instruments on whic h the interest rate is variable 
before final maturity. It shall also distinguish between debt in struments with a coupon of 3 % 
or more and those with a coupon of less than 3 % and thus allocate them to column 2 or 
column 3 in Table 2. It shall then multiply each  of them by the weighing for the maturity band 
in question in column 4 in Table 2. 
 
Ð 93/6/EEC 
1719. It shall then work out the sum of the weighted long positions and the sum of the 
weighted short positions in each maturity ba nd. The amount of the former which are matched 
by the latter in a given maturity band shall be  the matched weighted position in that band, 
while the residual long or short position shall be the unmatched weighted position for the 
same band. The total of the matched weighted positions in all bands then be calculated. 
1820. The institution shall compute the totals of the unmatched weighted long positions for 
the bands included in each of the zones in Tabl e 2 in order to derive the unmatched weighted 
long position for each zone. Similarly the sum of the unmatched weighted short positions for each band in a particular zone shall be summ ed to compute the unmatched weighted short 
position for that zone. That part of the unmatched weighted long position for a given zone that 
is matched by the unmatched weighted short position for the same zone shall be the matched weighted position for that zone. That part of the unmatched weighted long or unmatched 
weighted short position for a zone that canno t be thus matched shall be the unmatched 
weighted position for that zone. 
Table 2 
Maturity band 
Zone 
Coupon of 3 % or 
more Coupon of less 
than 3 % Weighting (in 
%) Assumed interest rate 
change (in %) 
0 ≤ 1 month 0 ≤ 1 month 0.00 —
> 1 ≤ 3 months > 1 ≤ 3 months 0.20 1.00
> 3 ≤ 6 months > 3 ≤ 6 months 0.40 1.00One 
> 6 ≤ 12 months > 6 ≤ 12 months 0.70 1.00
Two > 1 ≤ 2 years > 1,0 ≤ 1,9 years 1.25 0.90
 
EN 60   EN > 2 ≤ 3 years > 1,9 ≤ 2,8 years 1.75 0.80
> 3 ≤ 4 years > 2,8 ≤ 3,6 years 2.25 0.75
> 4 ≤ 5 years > 3,6 ≤ 4,3 years 2.75 0.75
> 5 ≤ 7 years > 4,3 ≤ 5,7 years 3.25 0.70
> 7 ≤ 10 years > 5,7 ≤ 7,3 years 3.75 0.65
> 10 ≤ 15 years > 7,3 ≤ 9,3 years 4.50 0.60
> 15 ≤ 20 years > 9,3 ≤ 10,6 years 5.25 0.60
> 20 years > 10,6 ≤ 12,0 
years 6.00 0.60
 > 12,0 ≤ 20,0 
years 8.00 0.60Three 
 > 20 years 12.50 0.60
 
Ð 93/6/EC (adapted) 
1921. The amount of the unmatched weighted l ong (short) position in zone one which is 
matched by the unmatched weighted short (long) position in zone two shall then be computed. 
This shall be referred to in paragraph 23  ⌦ 25⌫ as the matched weig hted position between 
zones one and two. The same calculation shall then be undertaken with rega rd to that part of 
the unmatched weighted position in zone two wh ich is left over and th e unmatched weighted 
position in zone three in order to calculate the matched weighted position between zones two 
and three. 
2022. The institution may, if it wishes, reverse the order in paragraph 19  ⌦ 21 ⌫ so as to 
calculate the matched weighted position between zones two and three before working out that 
between zones one and two. 
 
Ð 93/6/EEC (adapted) 
2123. The remainder of the unmatched weighted position in zone one shall then be matched 
with what remains of that for zone three after the latter's matching with zone two in order to 
derive the matched weighted posi tion between zones one and three. 
2224. Residual positions, following the three separa te matching calculations in paragraphs 19, 
20 and 21  ⌦ 21, 22 and 23, ⌫ shall be summed. 
2325. The institution's capital requirement shall be calculated as the sum of: 
(a) 10 % of the sum of the matched weight ed positions in all maturity bands; 
(b) 40 % of the matched weighted position in zone one; 
 
EN 61   EN (c) 30 % of the matched weighted position in zone two; 
(d) 30 % of the matched weighted position in zone three; (e) 40 % of the matched weighted positi on between zones one and two and between 
zones two and three (see paragraph 19
 ⌦ 21 ⌫ ); 
(f) 150 % of the matched weighted po sition between zone s one and three; 
(g) 100 % of the residual unmatched weighted positions. 
(b) Duration-based 
2426. The competent authorities in a Member State may allow institutions in general or on an 
individual basis to use a system  for calculating the capital require ment for the general risk on 
traded debt instruments which re flects duration instead of the sy stem set out in paragraphs 15 
to 23  ⌦ 17 to 25 ⌫ , provided that the institution doe s so on a consistent basis. 
 
Ð 93/6/EC (adapted) 
2527. Under such  a system ⌦ referred to in paragraph 26 ⌫ the institution shall take the 
market value of each fixed-rate debt instrume nt and thence calculate its yield to maturity, 
which is implied discount rate for that instrument . In the case of floating-rate instruments, the 
institution shall take the market value of each instrument and thence calculate its yield on the 
assumption that the principal is due when the interest rate can next be changed. 
 
Ð 93/6/EEC 
2628. The institution shall then calculate the modi fied duration of each debt instrument on the 
basis of the following formula: modified dur ation = ((durat ion (D))/(1 + r)), where: 
D = (( ∑t = 1m((t C t)/((1 + r)t)))/(∑t = 
1m((C t)/((1 + r)t)))) 
 
where: 
R = yield to maturity  (see paragraph 25), 
Ct = cash payment in time t, 
M = total maturity (see paragraph 25). 
2729. The institution shall then allocate each debt instrument to the appropriate zone in Table 
3. It shall do so on the basis of the modified duration of each instrument. 
Table 3 
Zone Modified duration Assumed interest 
 
EN 62   EN (in years) (change in %) 
One > 0 ≤ 1,0 1.0 
Two > 1,0 ≤ 3,6 0.85 
Three > 3,6 0.7 
 
2830. The institution shall then calculate the duration-weighted position for each instrument 
by multiplying its market price by its modified duration and by the assumed interest-rate change for an instrument with that particular  modified duration (see column 3 in Table 3). 
29
31. The institution shall work out its duratio n-weighted long and its duration-weighted 
short positions within each z one. The amount of the former which are matched by the latter 
within each zone shall be the matched duration-weighted position for that zone. 
 
Ð 93/6/EEC (adapted) 
The institution shall then calcula te the unmatched duration-weighted positions for each zone. 
It shall then follow the procedures laid down fo r unmatched weighted positions in paragraphs 
19 to 22  ⌦ 21 to 24 ⌫ . 
 
Ð 93/6/EC 
3032. The institution's capital requirement sh all then be calculated as the sum of: 
(a) 2 % of the matched duration-weighted position for each zone; (b) 40 % of the matched duration-weighted positions between z ones one and two and 
between zones two and three; 
(c) 150 % of the matched duration-weighted  position between zones one and three; 
(d) 100 % of the residual unmatched duration-weighted positions. 
EQUITIES 
31
33. The institution shall sum all its net long positions and all its net short positions in 
accordance with paragraph 1. The sum of the tw o figures shall be its overall gross position. 
The difference between them shall be its overall net position. 
 
EN 63   EN Specific risk 
 
Ð 93/6/EEC 
Ö new 
32.34Ö The institution shall sum all its net long positions and all its net short positions in 
accordance with paragraph 1.  It shall multiply its overall gross position by 4 % in order to 
calculate its capital requireme nt against specific risk. 
 
Ð 93/6/EC (adapted) 
3335. Notwithstanding paragraph 35  ⌦ By derogation to paragraph 34 ⌫, the competent 
authorities may allow the capital requirement against specific risk to be 2% rather than 4% for 
those portfolios of equities that an instituti on holds which meet the following conditions: 
 
Ð 98/31/EC Art. 1.7 and Annex 
.1(d) (adapted) 
(ia) the equities shall not be those of issuers which have issued only traded debt 
instruments that currently attract an 8 % requirement in Table 1 appearing in 
paragraph 14  or that attract a lower requirement only because they are guaranteed or 
secured; 
 
Ð 93/6/EEC 
(iib) the equities must be adjudged highly liqui d by the competent authorities according to 
objective criteria; 
 
Ð 93/6/EEC (adapted) 
(iiic) no individual position shall comprise more than 5 % of the value of the institution's 
whole equity portfolio. However   
⌦ For the purpose of point (c) ⌫, the competent authorities may authoriz se 
individual positions of up to 10 % provided that the total of such positions does not exceed 50 % of the portfolio. 
 
Ð 93/6/EEC 
General risk 
3436. Its capital requirement agains t general risk shall be its overall net position multiplied by 
8 %. 
 
EN 64   EN Stock-index futures 
 
Ð 93/6/EEC (adapted) 
3537. Stock-index futures, the delta-weighted e quivalents of options in stock-index futures 
and stock indices collectively referred to he reafter as «stock-index futures», may be broken 
down into positions in each of their constituent equities. These positions may be treated as underlying positions in the equities in question,;
 therefore  ⌦ and may ⌫, subject to the 
approval of the competent authorities, they may  be netted against opposite positions in the 
underlying equities themselves. 
 
Ð 93/6/EEC 
3638. The competent authorities sh all ensure that any institution which has netted off its 
positions in one or more of the equities constitu ting a stock-index future against one or more 
positions in the stock-index future itself has adequate capital to cover the risk of loss caused by the future's values not moving fully in line with  that of its constituent equities; they shall 
also do this when an institution holds opposite positions in stock-index futures which are not 
identical in respect of either their maturity or their composition or both. 
 
Ð 93/6/EEC (adapted) 
3739. Notwithstanding  ⌦ By derogation to ⌫ paragraphs 35 and 36  ⌦ 37 and 38 ⌫, 
stock-index futures which are exchange trad ed and — in the opinion of the competent 
authorities — represent broadly diversified indices shall attract  a capital requirement against 
general risk of 8 %, but no capit al requirement against specific risk. Such stock-index futures 
shall be included in the calculation of the overall net position in paragraph 31  ⌦ 33 ⌫, but 
disregarded in the calculation of the overa ll gross position in the same paragraph. 
 
Ð 93/6/EEC 
3840. If a stock-index future is not broken do wn into its underlying positions, it shall be 
treated as if it were an individua l equity. However, the specific risk on this individual equity 
can be ignored if the stock-index future in que stion is exchange traded and, in the opinion of 
the competent authorities, repres ents a broadly diversified index. 
UNDERWRITING 
 
Ð 93/6/EEC (adapted) 
3941. In the case of the underwriting of debt and e quity instruments, the competent authorities 
may allow an institution to use the following proc edure in calculating its capital requirements. 
Firstly, it shall calculate the net positions by  deducting the underwriting positions which are 
subscribed or sub-underwritten by third parties on the basis of  formal agreements; secondly . 
Secondly , it shall reduce the net positions by the following  reduction factors:  ⌦ in Table 
4 ⌫ 
Table 4 
 
EN 65   EN — working day 0: 100 % 
— working day 1: 90 % 
— working days 2 to 
3: 75 % 
— working day 4: 50 % 
— working day 5: 25 % 
— after working day 
5: 0 %. 
 
Ð 93/6/EEC 
Working day zero shall be the working day on which the institution becomes unconditionally 
committed to accepting a known quantity of securities at an agreed price. 
Thirdly, it shall calculate its capital require ments using the reduced underwriting positions. 
The competent authorities shall ensure that the institution holds sufficient capital against the 
risk of loss which exists between the time of  the initial commitment and working day 1. 
 
Ø new 
SPECIFIC RISK CAPITAL CHARGES  FOR TRADING BOOK POSITIONS 
HEDGED BY CREDIT DERIVATIVES 
42. An allowance shall be given for protection provided by credit derivatives, in accordance 
with the principles set ou t in paragraphs 43 to 46. 
43. Full allowance shall be given when the value of two legs always move in the opposite 
direction and broadly to the same  extent. This will be the case in either of the following 
situations: 
(a) the two legs consist of completely identical instruments; 
(b) a long cash position is hedged by a total ra te of return swap (or vice versa) and 
there is an exact match between the reference obligation and the underlying 
exposures (i.e., the cash position). The maturity of the swap itself may be 
different from that of  the underlying exposure. 
In these cases, a specific risk capital charge should not be applied to  either side of the 
position. 
44. An 80% offset will be applied when the va lue of two legs always move in the opposite 
direction and where there is an exact match in terms of the reference oblig ation, the maturity 
of both the reference ob ligation and the credit derivative, and the currency of the underlying 
exposure. In addition, key features  of the credit derivative contra ct should not cause the price 
movement of the credit derivative to materially  deviate from the price movements of the cash 
 
EN 66   EN position. To the extent that the transaction transf ers risk, an 80% specific risk offset will be 
applied to the side of the transaction with th e higher capital charge, while the specific risk 
requirements on the other side shall be zero. 
45. Partial allowance shall be given when the va lue of two legs usually move in the opposite 
direction. This would be the cas e in the following situations: 
(a) the position is captured in paragraph 43(b) but there is an asset mismatch 
between the reference obligation and the underlying exposure. However, the 
positions meet the following requirements: 
(i) the reference obligatio n ranks pari passu with or is junior to the 
underlying obligation;  
(ii) the underlying obligation and refere nce obligation share the same obligor 
and have legally enforceable cross-de fault or cross-acceleration clauses; 
(b) the position is captured in paragra ph 43(a) or paragraph 44 but there is a 
currency or maturity mismatch betw een the credit protection and the 
underlying asset (currency mismatches should be included in the normal 
reporting foreign exchange risk under Annex III; 
(c) the position is captured in paragraph 44 but there is an asset mismatch between 
the cash position and the credit derivativ e. However, the underlying asset is 
included in the (deliverable) obligations  in the credit deri vative documentation. 
In each of those cases, rather th an adding the specific risk capit al requirements for each side 
of the transaction, only the higher of the two capital requi rements shall apply. 
46. In all cases not falling under paragraph 45, a specific risk capital charge will be assessed 
against both sides of the position. 
CAPITAL CHARGES FOR CIU S IN THE TRADING BOOK  
47. The capital requirements for positions in collective investment undertakings (CIUs) which 
meet the conditions specified in Article 11 for a trading book capital treatment, shall be 
calculated in accordance with the met hods set out in paragraphs 48 to 56. 
48. Without prejudice to other prov isions in this section, positions  in CIUs shall be subject to 
a capital requirement for position risk (specific and general) of  32%. Without prejudice to 
provisions in Annex III (3)(i) or Annex V (13)(v), where the modified gold treatment set out 
in those paragraphs is used, positions in CIUs  shall be subject to a capital requirement for 
position risk (specific and gene ral) and foreign-exchange risk of no more than 40%. 
49. Institutions may determine th e capital requirement for positions in CIUs which meet the 
criteria set out in paragraph 51, by the methods set out in paragraphs 53 to 56. 
50. Unless noted otherwise, no netting is perm itted between the underl ying investments of a 
CIU and other positions held by the institution. 
GENERAL CRITERIA 
 
EN 67   EN 51. The general eligibility criteria for using th e methods in paragraphs 53 to 56, for CIUs 
issued by companies supervised or incorporated  within the Community are that: 
(a) the CIU’s prospectus or equi valent document shall include: 
(i) the categories of assets the CIU is authorised to invest in; 
(ii) if investment limits apply, the re lative limits and the methodologies to 
calculate them; 
(iii) if leverage is allowed, the maximum level of leverage; 
(iv) if investment in OTC financial de rivatives or repo-styl e transactions are 
allowed, a policy to limit counterparty risk arising from these 
transactions; 
(b) the business of the CIU shall be repor ted in half-yearly a nd annual reports to 
enable an assessment to be made of the assets and liabilities, income and 
operations over the reporting period; 
(c) the units/shares of the CIU are redeem able in cash, out of the undertaking’s 
assets, on a daily basis at th e request of the unit holder; 
(d) investments in the CIU shall be segregat ed from the assets of the CIU manager; 
(e) there shall be adequate risk assessment,  by the investing ins titution, of the CIU. 
52. Third country CIUs may be elig ible if the requirements in poi nts (a) to (e) of paragraph 51 
are met, subject to the approval of the institution’s competent authority. 
SPECIFIC METHODS 
53. Where the institution is aware of the underl ying investments of the CIU on a daily basis 
the institution may look through to those underly ing investments in order to calculate the 
capital requirements for position risk (general and specific) for those positions in accordance 
with the methods set out in this Annex or, if  permission has been granted, in accordance with 
the methods set out in Annex V. Under this appr oach, positions in CIUs shall be treated as 
positions in the underlying investments of the CIU. Netting is permitted between positions in 
the underlying investments of the CIU and other positions held by the institution, as long as 
the institution holds a sufficient quantity of units to allow for redemption/creation in exchange 
for the underlying investments. 
54. Institutions may calculate th e capital requirements for positi on risk (general and specific) 
for positions in CIUs in accordance with the met hods set out in this A nnex or, if permission 
has been granted, in accordance with the methods  set out in Annex V, to assumed positions 
representing those necessary to replicate the composition and performance of the externally 
generated index or fixed basket of equities or de bt securities referred to in (a), subject to the 
following conditions: 
(a) the purpose of the CIU’s mandate is to replicate the composition and 
performance of an externally generated index or fixed basket of equities or debt 
securities;  
 
EN 68   EN (b) a minimum correlation of 0.9 between daily price movements of the CIU and 
the index or basket of equities or debt securities it tracks can be clearly 
established over a minimum period of si x months. Correlation in this context 
means the correlation coefficient between daily returns on the exchange traded 
fund and the index or basket of equi ties or debt securities it tracks. 
55. Where the institution is not aware of the underlying invest ments of the CIU on a daily 
basis, the institution may calculate the capital requirements for position risk (general and 
specific) in accordance with the methods set out in this Annex, subject to the following 
conditions: 
(a) it will be assumed that the CIU first invests to the maximum extent allowed 
under its mandate in the asset classes at tracting the highest capital requirement 
for position risk (general and specific), and then continues making investments 
in descending order until the maximum total investment limit is reached. The 
position in the CIU will be treated as a direct holding in the assumed position; 
(b) institutions shall take  account of the maximum i ndirect exposure that they 
could achieve by taking leveraged positions through the CIU when calculating 
their capital requirement for position risk, by proportionally increasing the 
position in the CIU up to the maximum exposure to the underlying investment 
items resulting from the investment mandate; 
(c) should the capital requirement for pos ition risk (general and specific) under 
this approach exceed that set out in paragraph 48, the capital requirement shall 
be capped at that level. 
56. Institutions may rely on a third party to calculate and report cap ital requirements for 
position risk (general and specifi c) for positions in CIUs falli ng within paragraphs 53 and 55, 
in accordance with the methods set out in this  Annex, provided that the correctness of the 
calculation and the report is adequately ensured. 
 
EN 69   EN  
Ð 93/6/EEC (adapted) 
ANNEX II  
⌦ CALCULATING CAPITAL REQUIREMENTS FOR  ⌫ SETTLEMENT AND 
COUNTER-PARTY RISK 
SETTLEMENT/DELIVERY  RISK 
 
Ð 98/31/EC Art. 1.7 and Annex 
.2(a) 
1. In the case of transactions in which debt instruments, equities and commodities (excluding 
repurchase and reverse repurchase agreements and securities or commodities lending and securities or commodities borrowing) are unse ttled after their due delivery dates, an 
institution must calculate the price difference to which it is exposed. This is the difference 
between the agreed settlement price for the debt  instrument, equity or commodity in question 
and its current market value, where the differe nce could involve a loss for the institution. It 
must multiply this difference by the appropriate f actor in column A of the table appearing in 
paragraph 2 in order to calcul ate its capital requirement. 
 
Ð 93/6/EEC (adapted) 
2. Notwithstanding  ⌦ By derogation to ⌫ paragraph 1, an institut ion may, at the discretion 
of its competent authorities, calculate its ca pital requirements by multiplying the agreed 
settlement price of every transaction which is  unsettled between 5 and 45 working days after 
its due date by the appropriate factor in column B of the  tTable 1 below . As from 46 working 
days after the due date it shal l take the requirement to be 100 % of the price difference to 
which it is exposed as in column A ⌦ of Table 1 ⌫ . 
⌦ Table 1 ⌫ 
Number of working days after due settlement date Column A 
(%) Column B 
(%) 
5 — 15 8 0.5
16 — 30 50 4.0
31 — 45 75 9.0
46 or more 100 see paragraph 2 
 
EN 70   EN COUNTER-PARTY  RISK 
 
Ø new 
3. An institution shall be require d to hold capital against the c ounterparty risk arising from 
exposures due to the following: 
(a) free deliveries; 
(b) OTC derivative instrument s and credit derivatives;  
(c) Repurchase agreements, reverse repurchase agreements, securities or 
commodities lending or borrowing tran sactions based on securities or 
commodities included in the trading book; 
(d) exposures in the form of fees, commi ssion, interest dividends and margin in 
exchange-traded derivative contracts wh ich are neither covered in this Annex 
or Annex I, nor deducted from own funds  under paragraph 2(d) of Article 13, 
and which are directly related to the items included in the trading book. 
4. For these purposes a free-delive ry will be deemed to have occurred if the institution has 
paid for securities or commodities before receiving them or it has delivered securities or 
commodities before receiving payment for them, and, in the case of cross-border transactions, 
one day or more has elapsed since it made that payment or delivery. 
5. Subject to paragraphs 6 to 9, exposure values and risk -weighted exposure amounts for such 
exposures shall be calculated in accordance with  the provisions of Title V, Chapter 2, Section 
3 of Directive [2000/12/EC] with re ferences to ‘credit institutions ’ in that Section interpreted 
as references to ‘institutions’,  references to ‘parent credit institutions’ interpreted as 
references to ‘parent institutions’, and with concomitant terms interpreted accordingly. 
6. For the purposes of paragraph 5: 
Annex IV to Directive [2000/12/EC ] shall be considered to be amended to include after point 
3(d) the words ‘and credit derivatives’; 
Annex III to Directive [2000/12/EC] shall be consid ered to be amended to include after Table 
1(a): 
To obtain a figure for potential future credit exposure in th e case of total return swap 
credit derivatives and credit default swap  credit derivatives, the nominal amount of 
the instrument is multiplied by the following percentages: 
Where the reference obligation is one that if it gave rise to a direct exposure of the 
institution would be a qualifying item  for the purposes of Annex I - 5%; 
Where the reference obligation is one that if it gave rise to a direct exposure of the 
institution would not be a qualifying ite m for the purposes of Annex I - 10%. 
However, in the case of a credit default swap, an institution the exposure of which 
arising from the swap represents a long pos ition in the underlying shall be permitted 
to use a figure of 0% for potential future  credit exposure, unless the credit default 
 
EN 71   EN swap is subject to closeout  upon the insolvency of the entity the exposure of which 
arising from the swap represents a shor t position in the underlying, even though the 
underlying has not defaulted.” 
Where the credit derivative provides protection in relation to ‘ nth to default’ amongst a 
number of underlying obligations, which of the percentage figures  prescribed above is to be 
applied is determined by the obligation with the nth lowest credit quality determined by 
whether it is one that if incurred by the instit ution would be a qualify ing item for the purposes 
of Annex I.’ 
7. For the purposes of paragraph 5, in calculating risk-weighted exposure amounts institutions 
shall not be permitted to use the Financial Coll ateral Simple Method, set out in Annex VIII, 
Part 3, paragraphs 25 to 30 of Directive [2000/ 12/EC], for the recogniti on of the effects of 
financial collateral. 
8. For the purposes of paragraph 5, in the case of  repurchase transactions and securities or 
commodities lending or borrowing transactions, all financial instruments and commodities 
that are eligible to be include d in the trading book may be rec ognised as eligib le collateral. 
For exposures due to OTC derivative instruments booked in the trading book, commodities 
that are eligible to be incl uded in the trading book may also  be recognised as eligible 
collateral.  For the purposes of calculating volatility adjustments where such financial 
instruments or commodities are lent, sold or provided, or borrowed, purchased or received by 
way of collateral or otherwise under such a transaction such instruments and commodities 
shall be treated in the same way as non-main index equities listed on a recognised exchange. 
9. For the purposes of paragraph 5, in relation to  the recognition of master netting agreements 
covering repurchase transactions and/or secu rities or commodities lending or borrowing 
transactions and/or other capital market-drive n transactions netting across positions in the 
trading book and the non-trading book will only be recognised when the netted transactions 
fulfil the following conditions: 
(a) all transactions are marked to market daily; 
(b) any items lent, sold or provided, or borrowed, purchased or received under the 
transactions may be recogni sed as eligible financial collateral under Title V, 
Chapter 2, Section 3, Sub-section 3 of  Directive [2000/12/EC] without the 
application of paragraph 8 of this Annex. 
10. Where a credit derivative included in the tr ading book forms part of an internal hedge and 
the credit protection is recognised under Direc tive [2000/12/EC], there shall be deemed not to 
be counterparty risk arising from the position in the credit derivative. 
11. The capital requirement shall be 8% of  the total risk-weighted exposure amounts. 
 
EN 72   EN  
Ð 93/6/EEC 
Free deliveries  
 
Ð 98/31/EC Art. 1.7 and Annex 
.2(b) 
3.1. An institutio n shall be required to hold capita l against counter party risk if:  
(i) it has paid for securities or commodities be fore receiving them or it has delivered 
securities or commodities before receiving payment for them;  
 and 
(ii) in the case of cross -border tra nsactions, one day or more has elapsed since it made 
that payment or delivery.  
3.2. The capital requirement shall be 8  % of the value of the securities or commodities or cash 
owed to the institution multip lied by the risk weighting applicable to the releva nt 
counterparty.  
 
Ð 98/31/EC Art. 1.7 and Annex 
.2(c) 
Repurchase and reverse repurchase agreements, securities or commodities lending and 
borrowing  
4.1. In the case of repurchase agreements a nd securities or comm odities lending based on 
secur ities or commodities included in the trad ing book the institution shall calculate the 
difference between the market value of th e securities or commodities and the amount 
borrowed by the institution or the market va lue of the collateral, where that differen ce is 
positive. In the case of reverse repurchase agreements and securities or commodities 
borrowing, the institution shall ca lculate the difference between th e amount the institution has 
lent or the market value of the co llateral and the market value of t he securities or commodities 
it has received, where that  difference is positive.  
 
Ð 93/6/EEC 
The competent authorities shall take measures to  ensure that the excess collateral given is 
acceptable.  
Furthermore, the competent authorities may al low institutions not to  include the amount of 
excess collateral in the ca lculations described in the first two sentences of this paragraph if the 
amount of excess collateral is guaranteed in such  a way that the transferor is always assured 
that the excess collateral will be returned to it in  the event of defaults of its counter -party.  
Accrued interest shall be included in calcu lating the market value of amounts lent or 
borrowed and collateral.  
 
EN 73   EN 4.2. The capital requirement shall be 8  % of the figure produced  in accordance with paragraph 
4.1, multiplied by the risk weighting a pplicable to the relevant counter -party.  
OTC derivative instruments  
 
Ð 98/33/EC Art. 3.2 
5. In order to calculate the capital require ment on their OTC derivative instruments , 
institutions shall apply Article II to Directiv e 89/647/EEC. The risk weightings to be applied 
to the relevant counterparties shall be determ ined in accordance with Article 2(9) of this 
Directive.  
Until 31 December 2006, the competent authorities of Memb er States may exempt from the 
application of the methods se t out in Annex II OTC contr acts cleared by a clearing house 
where the latter acts as th e legal counterparty and all participants fully collateralise on a daily 
basis the exposure they present to th e clearing house, thereby provi ding a protection covering 
both the current exposure and the potential futu re exposure. The competent authorities must 
be satisfied that the posted coll ateral gives the same level of protection as collateral which 
complies wi th Article 6(1)(a)(7) of Directive 89 /647/EEC and that the risk of a build -up of the 
clearing house's exposures beyond the market value of posted collat eral is eliminated. 
Member States shall inform the Commissi on of the use they make of this option.  
 
Ð 93/6/EEC 
OTHER  
6. The capital requirements of Directive 89/647/EEC shall appl y to those exposures in the 
form of fees, commission, interest, dividends and margin in exchange -traded futures or 
options contracts which are neither covered in this Annex or Annex I nor deducted from own 
funds under paragraph 2 (d) of Annex V and whic h are directly related to the items included 
in the trading book  
The risk weightings to be a pplied to the relevant counter -parties shall be determined in 
accordance with Article 2 (9) of this Directive.  
 
EN 74   EN  
Ð 93/6/EEC (adapted) 
ANNEX III  
⌦ CALCULATING CAPITAL REQUIREMENTS FOR  ⌫ FOREIGN-EXCHANGE 
RISK 
 
Ð 98/31/EC Art. 1.7 and Annex 
.3(a) (adapted) 
1. If the sum of an institution's overall net foreign-exchange position and its net gold position, 
calculated in accordance with the procedure set out below  ⌦ in paragraph 2 ⌫ , exceeds 
2 % of its total own funds, it shall multiply th e sum of its net foreign-exchange position and 
its net gold position by 8 % in order to calculate  its own-funds requirement against foreign-
exchange risk. 
Until 31 December 2004, the competent authorities may allow institutions to calculate their 
own-funds requirement by mu ltiplying by 8  % the amount by which the sum of the overall net 
foreign -exchange position and the net gold position exceeds 2  % of the total own funds.  
 
Ð 93/6/EEC (adapted) 
2. A two-stage calculat ion shall be used ⌦ for capital requirements for foreign-exchange 
risk ⌫. 
 
Ð 98/31/EC Art. 1.7 and Annex 
.3(b) (adapted) 
32.1. Firstly, the institution's net open positio n in each currency (including the reporting 
currency) and in gold shall be calculated. 
This ⌦ net open ⌫ position shall consist of the sum of the following elements (positive or 
negative): 
-(a) the net spot position (i.e. all asset items less all liability items, including 
accrued interest, in the currency in question or, for gold, the net spot position in gold), 
-
(b) the net forward position (i.e. all amounts to be received less all amounts to be 
paid under forward exchange and gold transactions, including currency and gold futures and the principal on currency swaps not included in the spot position), 
-
(c) irrevocable guarantees (and similar instru ments) that are certain to be called 
and likely to be irrecoverable, 
-(d) net future income/expenses not yet accrued but already fully hedged (at the 
discretion of the reporting institution and with the prior consent of the 
competent authorities, net future income/expenses not yet entered in accounting records but already fully hedged by forward foreign-exchange 
 
EN 75   EN transactions may be included here). Su ch discretion must be exercised on a 
consistent basis, 
-(e) the net delta (or delta-based) equivalent  of the total book of foreign-currency 
and gold options, 
-(f) the market value of other (i.e. non- foreign-currency and non-gold) options, . 
- aAny positions which an institution has delib erately taken in order to hedge against 
the adverse effect of the exchange rate on its capital ratio may be excluded from the 
calculation of net open currency positions. Su ch positions should be of a non-trading 
or structural nature and their exclusion, and any variation of the terms of their 
exclusion, shall require the c onsent of the competent author ities. The same treatment 
subject to the same conditions as above may be applied to positions which an institution has which relate to items that are already deducted in the calculation of 
own funds. 
 
Ø new 
For the purposes of the calculation referred to in the first sub-paragraph, in respect 
of CIUs the actual foreign exchange positions  of the CIU shall be taken into account. 
Institutions may rely on third party reporti ng of the foreign exchange positions in the 
CIU, where the correctness of this report is  adequately ensured. If an institution is 
not aware of the foreign exchange positions in a CIU, it shall be assumed that the 
CIU is invested up to the maximum ex tent allowed under the CIU’s mandate in 
foreign exchange and institutions shall, for trading book positions, take account of 
the maximum indirect exposure that they could achieve by taking leveraged positions 
through the CIU when calculating their capi tal requirement for foreign exchange 
risk. This shall be done by proportionally increasing the pos ition in the CIU up to the 
maximum exposure to the underlying investme nt items resulting from the investment 
mandate. The assumed position of the CIU in foreign exchange shall be treated as a 
separate currency according to the treatmen t of investments in gold, subject to the 
modification that, if the direction of the CIU' s investment is available, the total long 
position may be added to the total long open foreign exchange position and the total 
short position may be added to the total short open foreign exchange position. There 
would be no netting allowed between such  positions prior to the calculation. 
 
Ð 98/31/EC Art. 1.7 and Annex 
.3(b) 
3.2 The competent authorities shall have the di scretion to allow institutions to use the net 
present value when calculating the net ope n position in each currency and in gold. 
 
Ð 93/6/EEC 
Î1 98/31/EC Art. 1.7 and Annex 
.3(c) 
Î1 42.2. Secondly, net short and long positions in each currency other than the reporting 
currency and the net long or short position in gold shall be converted at spot rates into the 
reporting currency.  They shall then be summed separately to form the total of the net short 
 
EN 76   EN positions and the total of the net long positions respectively. The higher of these two totals 
shall be the institution's overall net foreign-exchange position. 
 
Ð 93/6/EEC (adapted) 
53. Notwithstanding  ⌦ By derogation to ⌫ paragraphs 1 to 4  ⌦ and 2 ⌫ and pending 
further coordination, the competent authorities may prescribe or allow institutions to use 
alternative  ⌦ the following ⌫ procedures for the purposes of this Annex. 
 
Ð 93/6/EEC (adapted) 
63.1. Firstly,  tThe competent authorities may allow in stitutions to provide lower capital 
requirements against positions in closely correlated currencies than those which would result from applying paragraphs 1 to 4
 ⌦ and 2 ⌫ to them. The competent authorities may deem a 
pair of currencies to be closely correlated onl y if the likelihood of a loss — calculated on the 
basis of daily exchange-rate data for the preced ing three or five years — occurring on equal 
and opposite positions in such cu rrencies over the following 10 wo rking days, which is 4 % or 
less of the value of the matched position in question (valued in terms of the reporting 
currency) has a probability of at  least 99 %, when an observation period of three years is used, 
or 95 %, when an observation period of five years is used. The own-funds requirement on the 
matched position in two closely correlated currencies shall be 4 % multiplied by the value of the matched position. The capital requirement on unmatched positions in closely correlated 
currencies, and all positions in other currencies,  shall be 8 %, multiplied by the higher of the 
sum of the net short or the net long positions in  those currencies after the removal of matched 
positions in closely correlated currencies. 
 
Ð 98/31/EC Art. 1.7 and Annex 
.3(d) (adapted) 
7. Secondly, until 31 December 2004, the competent authorities may allow instituti ons to 
apply an alternative method to those outlined in  paragraphs 1 to 6 for the purposes of this 
Annex. The capital requirement produced by this method must  be sufficient to exceed 2  % of 
the net open position as measured in paragraph 4 and, on the basis  of an analysis of exchange -
rate movements during all the rolling 10 -working -day periods over the preceding three years,  
to exceed the likely loss 99  % or more of the time.  
The alternative method described in the fi rst subparagraph may onl y be used under t he 
following conditions:  
(i) the calculation formula and the correlatio n coefficients are set by the competent 
authorities, based on their analysis of exchange -rate movements;  
(ii) the competent authorities review the correlation coefficients regularly in the light of 
developments in foreign -exchange markets.  
 
Ð 93/6/EEC (adapted) 
83.2. Thirdly,  tThe competent authorities may allow inst itutions to remove positions in any 
currency which is subject to a legally binding intergovernmental agreement to limit its variation relative to other curre ncies covered by the same agreement from whichever of the 
 
EN 77   EN methods described in paragraphs 1 to 7  ⌦, 2 and 3.1 ⌫ that they apply. Institutions shall 
calculate their matched positions in such curren cies and subject them to a capital requirement 
no lower than half of the maximum permissible variation laid down in the intergovernmental 
agreement in question in respect of the currencies concerned. Unmatched positions in those currencies shall be treated in th e same way as other currencies. 
Notwithstanding
 ⌦ By derogation to ⌫ the first ⌦ sub- ⌫ paragraph, the competent 
authorities may allow the capital requirement on the matched positions in currencies of 
Member States participating in  the second stage of the Europ ean monetary union to be 1.6 %, 
multiplied by the value of such matched positions. 
 
Ð 93/6/EEC (adapted) 
9. The competent authoritie s shall notify the Council and Commission of the methods, if any, 
that they are prescribing or allowi ng in respect of paragraphs 6 to 8.  
10. The Commission shall report to the Council on the methods referred to in paragraph 9 
and, where necessary and with due regard to international  developments, shal l propose a more 
harmonized treatment of foreign -exchange risk.  
 
Ð 93/6/EEC 
114. Net positions in composite currencies may be broken down into the component 
currencies according to the quotas in force. 
 
EN 78   EN  
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
ANNEX VII I ⌦ IV ⌫ 
⌦ CALCULATING CAPITAL REQUIREMENTS FOR  ⌫ COMMODITIES RISK 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
1. Each position in commodities or  commodity derivatives shall be  expressed in terms of the 
standard unit of measurement. The spot pric e in each commodity shall be expressed in the 
reporting currency. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
2. Positions in gold or gold derivatives shall be considered as bein g subject to foreign-
exchange risk and treated accord ing to Annex III or Annex VIII , as appropriate, for the 
purpose of calculating market risk. 
3. For the purposes of this Annex, positions which are purely stoc k financing may be 
excluded from the commodities risk calculation only. 
4. The interest-rate and foreign-exchange risks no t covered by other provisions of this Annex 
shall be included in the calculati on of general risk for traded  debt instruments and in the 
calculation of foreign-exchange risk. 
5. When the short position falls due before th e long position, instituti ons shall also guard 
against the risk of a shortage of liqui dity which may exist in some markets. 
6. For the purpose of paragraph 19, the excess of an  institution's long (shor t) positions over its 
short (long) positions in the same commodity a nd identical commodity futures, options and 
warrants shall be its net position in each commodity. 
The competent authorities shall allow positions in derivative instruments to be treated, as laid 
down in paragraphs 8, 9 and 10, as positions in the underlying commodity. 
 
Ð 98/31/EC Art. 1.7 and Annex .5  
7. The competent authorities may regard the following positions as positions in the same 
commodity: 
-(a) positions in different sub-categories of commodities in cases where the sub-
categories are deliverable against each other; 
 and  
-(b) positions in similar commodities if they are close substitutes and if a minimum 
correlation of 0,9  0.9 between price movements can be clearly established over a 
minimum period of one year. 
 
EN 79   EN  
Ð 98/31/EC Art. 1.7 and Annex .5 
PARTICULAR INSTRUMENTS  
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
8. Commodity futures and forward commitments to buy or sell individual commodities shall 
be incorporated in the measurement system as notional amounts in term s of the standard unit 
of measurement and assigned a maturity  with reference to expiry date. 
The competent authorities may allow the capital requirement for an exchange-traded future to 
be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the fu ture and that it is at least equal to the capital 
requirement for a future that would result from a calculation made using the method set out in 
the remainder of this Annex or applying the in ternal models method described in Annex VIII
.  
Until 31 December 2006 t The competent authorities may also  allow the capital requirement 
for an OTC commodity derivatives contract of th e type referred to in this paragraph cleared 
by a clearing house recognised by them to be equal to the marg in required by the clearing 
house if they are fully satisfied that it provides an  accurate measure of the risk associated with 
the derivatives contract and that it is at leas t equal to the capital requirement for the contract 
in question that would result from a calcula tion made using the method set out in the 
remainder of this Annex or applying the inte rnal models method described in Annex VIII . 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
9. Commodity swaps where one side of the tran saction is a fixed pr ice and the other the 
current market price shall be incorporat ed into the maturity ladder approach ⌦, as set out in 
paragraphs 13 to 18, ⌫ as a series of positions equal to the notional amount of the contract, 
with one position corresponding with each payment on  the swap and slotted into the maturity 
ladder set out in the tTable appearing in paragraph 13  ⌦ 1 ⌫. The positions would be long 
positions if the institution is paying a fixed price and receiving a floating price and short positions if the institution is receiving a fixed price and paying a floating price. 
Commodity swaps where the sides of the trans action are in different commodities are to be 
reported in the relevant reporting ladder for the maturity ladder approach. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
10. Options on commodities or on commodity deriva tives shall be treated as if they were 
positions equal in value to the amount of the un derlying to which the option refers, multiplied 
by its delta for the purposes of this Annex. The latter positions may be netted off against any 
offsetting positions in the identical underlying commodity or commodity derivative. The delta 
used shall be that of the exchange concerned, that calculated by the competent authorities or, 
where none of those is available,  or for OTC options, that calcul ated by the institution itself, 
 
EN 80   EN subject to the competent authorities being satisfi ed that the model used  by the institution is 
reasonable. 
However, the competent authorities may also pres cribe that institutions calculate their deltas 
using a methodology specified by the competent authorities. 
The competent authorities shall require that the o Other risks, apart from the delta risk, 
associated with commodity options are  ⌦ shall be ⌫ safeguarded against. 
The competent authorities may allow the requirement for a written exchange-traded 
commodity option to be equal to the margin required by the exchange if they are fully 
satisfied that it provides an accura te measure of the risk associat ed with the option and that it 
is at least equal to the capital requirement against an option that would result from a 
calculation made using the method set out in th e remainder of this Annex or applying the 
internal models method described in Annex VIII .  
Until 31 December 2006 t The competent authorities may also  allow the capital requirement 
for an OTC commodity option cleared by a cleari ng house recognised by them to be equal to 
the margin required by the clearing house if they ar e fully satisfied that it provides an accurate 
measure of the risk associated with the option and that it is at least equal to the capital 
requirement for an OTC option that would re sult from a calculation made using the method 
set out in the remainder of th is Annex or applying the intern al models method described in 
Annex VI II. 
In addition they may allow the requirement on a bought exchange-traded or OTC commodity 
option to be the same as that for the commodity underlying it, subject to th e constraint that the 
resulting requirement does not exceed the mark et value of the option. The requirement for a 
written OTC option shall be set in re lation to the commodity underlying it. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
11. Warrants relating to commoditie s shall be treated in the same way as commodity options 
under  ⌦ referred to in ⌫ paragraph 10. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
12. The transferor of commodities or guaranteed rights relating to title  to commodities in a 
repurchase agreement and the lender of commodities in a commodities lending agreement shall include such commodities in the calculation of  its capital requirement under this Annex. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
(a) Maturity ladder approach 
13. The institution shall use a separate  maturity ladder in line with the  following t Table 1  for 
each commodity. All positions in that commodity  and all positions which are regarded as 
positions in the same commodity pursuant to paragraph 7 shall be assigned to the appropriate maturity bands. Physical stocks shall be assigned to the first maturity band. 
 
EN 81   EN ⌦ Table 1  ⌫ 
Maturity band 
(1) Spread rate 
(in %) 
(2) 
0 ≤ 1 month 1.50
> 1 ≤ 3 months 1.50
> 3 ≤ 6 months 1.50
> 6 ≤ 12 months 1.50
> 1 ≤ 2 years 1.50
> 2 ≤ 3 years 1.50
> 3 years 1.50
14. Competent authorities may allow positions which are, or are regarded pursuant to 
paragraph 7 as, positions in the same commodity to be offset and assigned to the appropriate 
maturity bands on a net basis for ⌦ the following ⌫ : 
- (a) positions in contracts maturing on the same date; 
and 
- (b) positions in contracts maturing within 10 days of each other if the contracts are 
traded on markets which have daily delivery dates. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
15. The institution shall then work out the sum of the long positions and the sum of the short 
positions in each maturity band. The amount of the former (latter) which are matched by the 
latter (former) in a given maturity band shall be the matched positions in that band, while the 
residual long or short position shall be the unmatched position for the same band. 
16. That part of the unmatched long (short) positi on for a given maturity band that is matched 
by the unmatched short (long) position for a matu rity band further out shall be the matched 
position between two maturity bands. That part of the unmatched long or unmatched short position that cannot be thus matche d shall be the unmatched position. 
17. The institution's capital requirement for each co mmodity shall be calculated on the basis 
of the relevant maturity ladder as the sum of the following: 
(i
a) the sum of the matched long and short pos itions, multiplied by the appropriate spread 
rate as indicated in the second column of the table appearing in paragraph 13 for each maturity band and by the spot price for the commodity; 
 
EN 82   EN (iib) the matched position between two maturity bands for each maturity band into which 
an unmatched position is carried forward, multiplied by 0,6 % (carry rate) and by the spot price for the commodity; 
(iii
c) the residual unmatched positions, multiplie d by 15 % (outright rate) and by the spot 
price for the commodity. 
18. The institution's overall capital requirement fo r commodities risk shall be calculated as the 
sum of the capital requirements calculated for each commodity according to paragraph 17. 
(b) Simplified approach 
19. The institution's capital requirement for each commodity shall be calculated as the sum of: 
(ia) 15% of the net position, long or short, multiplied by the spot price for the 
commodity; 
(iib) 3% of the gross position, long plus shor t, multiplied by the spot price for the 
commodity. 
20. The institution's overall capital requirement fo r commodities risk shall be calculated as the 
sum of the capital requirements calculated for each commodity according to paragraph 19. 
 
Ð 93/6/EEC Art 11a (adapted) 
⌦ (c) Extended Maturity ladder approach  ⌫ 
Until 31 December 2006, Member States  ⌦ Competent authorities ⌫ may authorise their  
institutions to use the minimum spread, carry and outright rates set out  in the following table 
instead of those indicated in paragraphs 13, 14, 17 and 18 of Annex VII  provided that the 
institutions, in the opinion of  their competent authorities: 
(a) undertake significant commodities business, (b) have a diversified commodities portfolio, and
 
(c) are not yet in a position to use internal models for the purpose of calculating 
the capital requirement on commoditie s risk in accordance with Annex 
⌦ V ⌫ VIII . 
Table 2 
 Precious metals 
(except gold) Base 
metals Agricultural 
products (softs) Other, including 
energy products 
Spread 
rate (%) 1.0 1.2 1.5 1.5 
Carry 
rate (%) 0.3 0.5 0.6 0.6 
Outright 8 10 12 15 
 
EN 83   EN rate (%) 
 
EN 84   EN  
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
Î1 98/31/EC Art. 1.7 and Annex 
.5 amended by Corrigendum, OJ L 
248, 8.9.1998, p. 20 
ANNEX VIII  
⌦ USE OF  ⌫ INTERNAL MODELS ⌦ TO CALCULATE CAPITAL 
REQUIREMENTS  ⌫ 
1. The competent authorities may, subject to th e conditions laid down in this Annex, allow 
institutions to calculate thei r capital requirements for position risk, foreign-exchange risk 
and/or commodities risk using their own internal  risk-management models instead of or in 
combination with the methods desc ribed in Annexes I, III and VII  ⌦ IV ⌫. Explicit 
recognition by the competent author ities of the use of models fo r supervisory capital purposes 
shall be required in each case. 
2. Recognition shall only be given if the competen t authority is satisfied that the institution's 
risk-management system is conceptually sound and implemented with integrity and that, in 
particular, the following quali tative standards are met: 
(ia) the internal risk-measurement model is closely integrated into the daily risk-
management process of the institution and serves as the basis for reporting risk 
exposures to senior manage ment of the institution; 
(iib) the institution has a risk control unit th at is independent fr om business trading 
units and reports directly to senior ma nagement. The unit must be responsible 
for designing and implementing the institution's risk-management system. It shall produce and analyse daily reports on the output of the risk-measurement 
model and on the appropriate measures to  be taken in terms of trading limits; 
(iii
c) the institution's board of directors an d senior management are actively involved 
in the risk-control process and the daily  reports produced by the risk-control 
unit are reviewed by a level of management with sufficient authority to enforce both reductions of positions taken by i ndividual traders as well as in the 
institution's overall risk exposure; 
(iv
d) the institution has sufficient numbers of staff skilled in the use of sophisticated 
models in the trading, risk-cont rol, audit and back-office areas; 
(ve) the institution has established pro cedures for monitoring and ensuring 
compliance with a documented set of internal policies and controls concerning the overall operation of the risk-measurement system; 
(vi
f) the institution's models have a proven track record of reas onable accuracy in 
measuring risks; 
(viig) the institution frequently conduct a ri gorous programme of stress testing and 
the results of these tests are reviewed by senior management and reflected in 
the policies and limits it sets; 
 
EN 85   EN (viiih) the institution must conduct, as part of its regular internal auditing process, an 
independent review of it s risk-measurement system. 
This ⌦ The ⌫ review ⌦ referred to in point ( h) of the first subparagraph ⌫ must  
⌦ shall ⌫ include both the activities of the business trading units and of the 
independent risk-control unit. At least once a year, the institution must conduct a 
review of its overall risk-management process. 
The review must  ⌦ shall ⌫ consider ⌦ the following ⌫ : 
- (a) the adequacy of the documentation of the risk-management system and process 
and the organisation of the risk-control unit; 
- (b) the integration of market risk measur es into daily risk management and the 
integrity of the management information system; 
- (c) the process the institution employs for approving risk-pricing models and 
valuation systems that are used by front and back-office personnel; 
- (d) the scope of market risks captured by the risk-measurement model and the 
validation of any significant change s in the risk-measurement process; 
- (e) the accuracy and completeness of position data, the accuracy and 
appropriateness of volatility and correla tion assumptions, and the accuracy of 
valuation and risk sensitivity calculations; 
- (f) the verification process the institution employs to evaluate the consistency, 
timeliness and reliability of data sources used to run internal models, including 
the independence of such data sources; 
 and  
- (g) the verification process the institution uses to evaluate back-testing that is 
conducted to assess the model's accuracy. 
3. The institution shall monitor the accuracy and performance of its model by conducting a 
back-testing programme. The back-testing has to provide for each business day a comparison 
of the one-day value-at-risk measure generated Î1 by the institution's model for the 
portfolio's end-of-day positions to the one -day change of the portfolio's value  by the end of 
the subsequent business day. 
Competent authorities shall examine the instit ution's capability to pe rform back-testing on 
both actual and hypothetical changes in the por tfolio's value. Back-testing on hypothetical 
changes in the portfolio's value is based on a comparison between the por tfolio's end-of-day 
value and, assuming unchanged positions, its value at the end of the subsequent day. Competent authorities shall require institutions to take appropriate measures to improve their 
back-testing programme if deemed deficient. 
4. For the purpose of calculating capital requireme nts for specific risk associated with traded 
debt and equity positions, the competent author ities may recognise the use of an institution's 
internal model if,
 in addition to compliance with the conditions in the re mainder of this 
Annex,  the model ⌦ meets the following conditions ⌫ : 
 
EN 86   EN - (a) it explains the historical pr ice variation in the portfolio; 
- (b) it captures concentration in terms of magnitude and changes of composition of 
the portfolio; 
- (c) it is robust to an adverse environment; 
- (d) it is validated through back-testing aimed at assessing whether specific risk is 
being accurately captu red. If competent authorities allow this back-testing to be 
performed on the basis of relevant sub- portfolios, these must be chosen in a 
consistent manner. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
5. Institutions using internal models which ar e not recognised in accordance with paragraph 4 
shall be subject to a separate capital charge for specific risk as  calculated according to Annex 
I. 
6. For the purpose of paragraph 10(ii) the results of the institution's ow n calculation shall be 
scaled up by a multiplication factor of at least 3. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
7. The multiplication factor shall be increased by a plus-factor of between 0 and 1 in 
accordance with the following t Table ⌦ 1 ⌫, depending on the number of overshootings for 
the most recent 250 business days as eviden ced by the institution's back-testing. Competent 
authorities shall require the inst itutions to calculate overshootings  consistently on the basis of 
back-testing either on actua l or on hypothetical changes in the portfolio's value. An 
overshooting is a one-day change in the portfo lio's value that exceeds the related one-day 
value-at-risk measure generated by the institutio n's model. For the purpo se of determining the 
plus-factor the number of overshootings shall be assessed at least quarterly. 
⌦ Table 1  ⌫ 
Number of overshootings Plus-factor 
Fewer than 5 0.00
5 0.40
6 0.50
7 0.65
8 0.75
9 0,85
10 or more 1.00
 
EN 87   EN The competent authorities can  ⌦ may ⌫, in individual cases a nd owing to an exceptional 
situation, waive the requirement to increase  the multiplication factor by the plus-factor 
according to the above t Table ⌦ 1 ⌫, if the institution has demonstrated to the satisfaction 
of the competent authorities that  such an increase is unjustified and that the model is basically 
sound. 
If numerous overshootings indicate that the m odel is not sufficiently accurate, the competent 
authorities shall revoke the mode l's recognition or impose appropria te measures to ensure that 
the model is improved promptly. 
In order to allow competent authorities to mon itor the appropriateness of  the plus-factor on an 
ongoing basis, institutions shall notify promptly, and in any cas e no later than within five 
working days, the competent authorities of over shootings that result form their back-testing 
programme and that would according to the abov e table imply an increase of a plus-factor. 
8. If the institution's model is recognised by the competent authorities in accordance with 
paragraph 4 for the purpose of calculating capital requirements for specific risk, the institution shall increase its capital requirement calcula ted pursuant to paragraphs 6, 7 and 10 by a 
surcharge in the amount of either ⌦ of the following ⌫: 
(i
a) the specific risk portion of the value- at-risk measure which should be isolated 
according to supervisory guidelines; or, at the institution's option, 
(iib) the value-at-risk measures of sub-portfolios of debt and equity positions that contain 
specific risk. 
Institutions using option (ii  ⌦ b ⌫) are required to identify their sub-portfolio structure 
beforehand and should not change it without th e consent of the competent authorities. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
9. The competent authorities may waive the requirement pursuant to paragraph 8 for a 
surcharge if the institution demonstrates that in  line with agreed international standards its 
model accurately captures also the event risk and default risk for its traded debt and equity 
positions. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
10. Each institution must meet a capital requirement expressed as the higher of: 
(ia) its previous day's value-at-risk number measured according to the parameters 
specified in this Annex; 
(iib) an average of the daily value-at-risk m easures on each of the preceding 60 business 
days, multiplied by the factor mentioned in paragraph 6, adjusted by the factor 
mentioned  ⌦ referred to ⌫ in paragraph 7. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
11. The calculation of value-at-risk shall be s ubject to the followi ng minimum standards: 
 
EN 88   EN (ia) at least daily calcula tion of value-at-risk; 
(iib) a 99th percentile, one-tailed confidence interval; 
(iiic) a 10-day equivalent holding period; 
(ivd) an effective historical observation period of at least one year except where a shorter 
observation period is justified by a si gnificant upsurge in price volatility; 
(ve) three-monthly data set updates. 
12. The competent authorities sha ll require that the model capture s accurately all the material 
price risks of options or option-like positions and that any other risks not captured by the model are covered adequately by own funds. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
13. The competent aut horities shall require that the  risk-measurement model ⌦ shall ⌫ 
captures  a sufficient number of risk factors, depending on the level of activity of the 
institution in the respective markets ⌦ and in particular the following ⌫ . 
As a minimum, the following pr ovisions shall be respected:  
⌦ Interest rate risk ⌫ 
(i) for interest rate risk, t The risk-measurement system shall incorporate a set of risk 
factors corresponding to the intere st rates in each currency in wh ich the institution has interest 
rate sensitive on- or off-balanc e sheet positions. The instituti on shall model the yield curves 
using one of the generally accepted approaches. For material exposures to interest-rate risk in 
the major currencies and markets, the yield cu rve shall be divided in to a minimum of six 
maturity segments, to capture the variations of  volatility of rates along the yield curve. The 
risk-measurement system must also capture th e risk of less than  perfectly correlated 
movements between different yield curves; . 
⌦ Foreign-exchange risk ⌫ 
(ii) for foreign -exchange risk, t The risk-measurement system shall incorporate risk factors 
corresponding to gold and to the individual foreign currencies in which the institution's 
positions are denominated; . 
 
Ø new 
For CIUs the actual foreign exchange positio ns of the CIU shall be taken into account. 
Institutions may rely on third party reporting of the foreign exchange position in the CIU, 
where the correctness of this report is adequately  ensured. If an institution is not aware of the 
foreign exchange positions in a CIU, it shall be assumed that the CIU is invested up to the 
maximum extent allowed under the CIU’s mandate in  foreign exchange and institutions shall, 
for trading book positions, take ac count of the maximum indirect  exposure that they could 
achieve by taking leveraged positions through the CIU when calculating their capital 
requirement for foreign exchange risk. This  shall be done by propor tionally increasing the 
 
EN 89   EN position in the CIU up to the maximum exposure to  the underlying investment items resulting 
from the investment mandate. The assumed positi on of the CIU in foreign exchange shall be 
treated as a separate currency according to th e treatment of investments in gold. If, however, 
the direction of the CIU's investment is availabl e, the total long position may be added to that 
the total long open foreign exchange position an d the total short position  may be added to the 
total short open foreign exchange position. There would be no netting allowed between such 
positions prior to the calculation. 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
(adapted) 
⌦ Equity risk ⌫ 
(iii) for equity ris k, tThe risk-measurement system shall use a separate risk factor at least 
for each of the equity markets in which the institution holds significant positions; . 
⌦ Commodity risk ⌫ 
(iv) for commodity risk, t The risk-measurement system shall use a separate risk factor at 
least for each commodity in which the inst itution holds significant positions. The risk-
measurement system must also capture the risk  of less than perfectly correlated movements 
between similar, but not identi cal, commodities and the exposure to  changes in forward prices 
arising from maturity mismatches. It shall also  take account of market characteristics, notably 
delivery dates and the scope provided to traders to close out positions; . 
 
Ð 98/31/EC Art. 1.7 and Annex .5 
14. The competent authorities may allow instituti ons to use empirical co rrelations within risk 
categories and across risk categor ies if they are satisfied that the institution's system for 
measuring correlations is sound and implemented with integrity. 
 
EN 90   EN  
Ð 93/6/EEC Annex VI (8) (2) 
second sentence (adapted) 
ANNEX VI  
⌦ CALCULATING CAPITAL REQUIREMENTS FOR  ⌫ LARGE EXPOSURES 
1. The excess referred to in Article 29  ⌦ 31 ⌫ (b) shall be calculated by selecting those 
components of the total trading exposure to th e client or group of clients in question which 
attract the highest specific-risk requirements in  Annex I and/or requirements in Annex II, the 
sum of which equals the amount of the excess referred to in Article 29  ⌦ 31 ⌫ (a). 
2. Where the excess has not persisted for mo re than 10 days, the additional capital 
requirement shall be 200 % of the requireme nts referred to in paragraph 1, on these 
components.  
3. As from 10 days after the excess has occurr ed, the components of the excess, selected in 
accordance with paragraph 1, shall be allocated to the appropriate line in column 1 of Table I 
in ascending order of sp ecific-risk requirements in Annex I and/or requiremen ts in Annex II. 
The additional capital requirement shall be equal to the sum of the specific-risk requirements in Annex I and/or the Annex II require ments on these components multiplied by the 
corresponding factor in column 2 of Table I. 
⌦ Table 1  ⌫ 
Excess over the limits 
(on the basis of a percentage of own funds) Factors 
Up to 40 % 200 % 
From 40 % to 60 % 300 % 
From 60 % to 80 % 400 % 
From 80 % to 100 % 500 % 
From 100 % to 250 % 600 % 
Over 250 % 900 % 
 
Ï 
 
EN 91   EN  
Ø new 
ANNEX VII  
TRADING 
PART A - TRADING INTENT  
1. Positions/portfolios held with trading intent  shall comply with the following requirements: 
(a) there must be a clearly documented trading strategy for the position/instrument 
or portfolios, approved by senior mana gement, which shall include expected 
holding horizon; 
(b) there must be clearly defined policies and procedures for the active 
management of the position, whic h shall include the following: 
(i) positions entered into on a trading desk; 
(ii) position limits are set and monitored for appropriateness; 
(iii) dealers have the autonomy to enter into/manage the position within 
agreed limits and according to the agreed strategy; 
(iv) positions are reported to senior management as an integral part of the 
institution’s risk management process; 
(v) positions are actively monitored with  reference to market information 
sources and an assessment made of th e marketability or hedge-ability of 
the position or its component risks, including the assessment of, in 
particular, the quality and availability of market inputs to the valuation 
process, level of market turnover, si zes of positions traded in the market; 
(c) there must be clearly defined policy and procedures to monitor the position 
against the institution’s trading strategy including the monitoring of turnover 
and sale positions in the institution’s trading book. 
PART B - SYSTEMS AND CONTROLS  
1. Institutions shall establish and maintain syst ems and controls sufficient to provide prudent 
and reliable valuation estimates. 
2. Systems and controls shall include  at least the following elements: 
(a) documented policies and procedures for the process of valuation. This includes 
clearly defined responsibilities of  the various areas involved in the 
determination of the valua tion, sources of market in formation and review of 
their appropriateness, fr equency of independent va luation, timing of closing 
 
EN 92   EN prices, procedures for adjusting valua tions, month end and ad-hoc verification 
procedures; 
(b) clear and independent (i.e . independent of front offi ce) reporting lines for the 
department accountable for the valuation process. 
The reporting line shall ultimately be to a main board executive director. 
Prudent Valuation Methods  
3. Marking to market is the at least daily valu ation of positions at readily available close out 
prices that are sourced indepe ndently. Examples include excha nge prices, screen prices, or 
quotes from several indepe ndent reputable brokers. 
4. When marking to market, the more prudent side of bid/offer shall be used unless the 
institution is a significant market maker in th e particular type of fi nancial instrument or 
commodity in question and it can  close out at mid market. 
5. Where marking to market is not possible,  institutions must mark to model their 
positions/portfolios before applying trading b ook capital treatment. Marking to model is 
defined as any valuation which has to be benc hmarked, extrapolated or  otherwise calculated 
from a market input. 
6. The following requirements must be co mplied with when marking to model: 
(a) senior management shall be aware of the elements of the trading book which are 
subject to mark to model and shall understand the materiality of the uncertainty this 
creates in the reporting of the ri sk/performance of the business; 
(b) market inputs shall be sourced, where possi ble, in line with ma rket prices, and the 
appropriateness of the market inputs of th e particular position being valued and the 
parameters of the model shall be assessed on a daily basis; 
(c) where available, valuation methodologies  which are accepted market practice for 
particular financial instruments or commodities shall be used; 
(d) where the model is developed by the instit ution itself, it shall be  based on appropriate 
assumptions, which have been assessed a nd challenged by suitably qualified parties 
independent of the development process; 
(e) there shall be formal change control pr ocedures in place and a secure copy of the 
model shall be held and periodi cally used to check valuations; 
(f) risk management shall be aware of the w eaknesses of the models used and how best 
to reflect those in the valuation output; 
(g) the model shall be subject to periodic review to determine the accuracy of its 
performance (e.g. assessing the continued a ppropriateness of assumptions, analysis 
of P&L versus risk factors, comparison of  actual close out values to model outputs). 
 
EN 93   EN For the purposes of point  (d), the model shall be  developed or approved 
independently of the front office. If shal l be independently te sted. This includes 
validating the mathematics, the assumptions and the software implementation 
7. Independent price verification should be perfor med in addition to daily marking to market 
or marking to model. This is the process by whic h market prices or mode l inputs are regularly 
verified for accuracy and independence. While da ily marking to market may be performed by 
dealers, verification of market prices a nd model inputs should be performed by a unit 
independent of the dealing room, at least mo nthly (or, depending on the nature of the 
market/trading activity, more frequently). Where independent pricing sources are not 
available or pricing sources are more subjective, prudent measures such as valuation 
adjustments may be appropriate. 
Valuation adjustments or reserves  
8. Institutions shall establish and maintain  procedures for considering valuation 
adjustments/reserves. 
General standards  
9. The competent authorities shall require the following valuation adjustments/reserves to be 
formally considered: unearned credit spreads,  close-out costs, ope rational risks, early 
termination, investing and funding costs, futu re administrative costs and, where relevant, 
model risk. 
Standards for less liquid items  
10. Less liquid positions could arise from both mark et events and institution-related situations 
e.g. concentrated positions  and/or stale positions. 
11. Institutions shall consider several factors when determ ining whether a valuation reserve is 
necessary for less liquid items. These factors in clude the amount of time it would take to 
hedge out the position/risk s within the position, the volatility and average of bid/offer spreads, 
the availability of market quotes (number and identity of market ma kers) and the volatility 
and average of trading volumes. 
12. When using third party valuations or marking to model, institutions shall consider whether 
to apply a valuation adjustment. In additio n, institutions shall consider the need for 
establishing reserves for less liquid position and on an ongoing basis review their continued 
suitability. 
13. When valuation adjustments/reserves give rise  to material losses of the current financial 
year, these shall be deducted from an institution’s original own funds according to point (k) of 
Article 57 of Directive [2000/12/EC]. 
14. Other profits/losses originating from valuati on adjustments/reserves shall be included in 
the calculation of “net trading book profits” mentioned in point (2)(b) of Article 13 and be 
added to/deducted from the addi tional own funds eligible to c over market risk requirements 
according to such provisions. 
 
EN 94   EN PART C – INTERNAL HEDGES  
1. An internal hedge is a position that material ly or completely offsets the component risk 
element of a non-trading book position or a set of  positions. Positions arising from internal 
hedges are eligible for trading book capital treatment, provided that they are held with trading 
intent and that the general criteria on trading in tent and prudent valuati on specified in Parts A 
and B are met. In particular: 
(a) internal hedges shall not be primar ily intended to avoid or reduce capital 
requirements; 
(b) internal hedges shall be properly docume nted and subject to particular internal 
approval and audit procedures; 
(c) the internal transaction shall be  dealt with at market conditions; 
(d) the bulk of the market risk that is generated by the intern al hedge shall be 
dynamically managed in the trading book within the authorised limits;  
(e) internal transactions shal l be carefully monitored.  
Monitoring must be ensured by adequate procedures. 
2. The treatment referred to in paragraph 1 applies without prejudice to the capital 
requirements applicable to the “non-tra ding book leg” of the internal hedge. 
 
EN 95   EN ANNEX VIII  
REPEALED DIRECTIVES 
PART  A 
REPEALED DIRECTIVES TOGETH ER WITH THEIR SUCCESSIVE 
AMENDMENTS 
(referred to in Article 48) 
Council Directive 93/6/EEC of 15 March 1993 on the capital ade quacy of investments firms 
and credit institutions 
Directive 98/31/EC of the Eur opean Parliament and of the C ouncil of 22 June 1998 amending 
Council Directive 93/6/EEC on the capital adequacy of i nvestment firms and credit 
institutions 
Directive 98/33/EC of the Eur opean Parliament and of the C ouncil of 22 June 1998 amending 
Article 12 of Council Directiv e 77/780/EEC on the taking up and pursuit of the business of 
credit institutions, Articles 2, 5, 6, 7, 8 of and Annexes II and III to Council Directive 
89/647/EEC on a solvency ratio fo r credit institutions and Artic le 2 of and Annex II to 
Council Directive 93/6/EEC on the capital adequacy of i nvestment firms and credit 
institutions 
Directive 2002/87/EC of the Eu ropean Parliament and of th e Council of 16 December 2002 
on the supplementary supervision of credit  institutions, insurance undertakings and 
investment firms in a financial conglomerat e and amending Council Di rectives 73/239/EEC, 
79/267/EEC, 92/49/EEC, 92/96/EEC, 93/6/EEC and 93/ 22/EEC, and Directives 98/78/EC and 
2000/12/EC of the European Parliament and of the Council, 
Only Art. 26 
Directive 2004/39/EC of the European Par liament and of the Council of 21 April 2004 on 
markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and 
Directive 2000/12/EC of the Eur opean Parliament and of the Council and repealing Council 
Directive 93/22/EEC 
Only Art. 67 
PART  B 
DEADLINES FOR IMPLEMENTATION 
(referred to in Article 48) 
Directive  Deadline for implementation 
Council Directive 93/6/EEC  1.7.1995 
 
EN 96   EN Directive 98/31/EC  21.7.2000 
Directive 98/33/EC  21.7.2000 
Directive 2002/87/EC  11.8.2004 
Directive 2004/39/EC  Not yet available 
Directive 2004/xx/EC  Not yet available 
 
EN 97   EN  
Ø new 
ANNEX IX  
CORRESPONDANCE TABLE 
This Directive Directive 
93/6/EEC Directive 
98/31/EC Directive 
98/33/EC Directive 
2002/87/EC Directive 
2004/39/EC 
Article 1(1) first 
sentence      
Article 1(1) 
second sentence 
and (2) Article 1     
Article 2(1)      
Article 2(2) Article 7(3)     
Article 3(1)(a) Article 2(1)     
Article 3(1)(b) Article 2(2)    Article 67(1) 
Article 3(1)(c) to 
(e) Article 2(3) to (5)     
Article 3(1)(f) and 
(g)      
Article 3(1)(h) Article 2(10)     
Article 3(1)(i) Article 2(11)  Article 3(1)   
Article 3(1)(j) Article 2(14)     
Article 3(1)(k) 
and (l) Article 2(15) and 
(16) Article 1(1)(b)    
Article 3(1)(m) Article 2(17) Article 1(1)(c)    
Article 3(1)(n) Article 2(18) Article 1(1)(d)    
Article 3(1)(o) to 
(q) Article 2(19) to 
(21)     
      
Article 3(1)(r) Article 2(23)     
Article 3(1)(s) Article 2(26)     
Article 3(2) Article 2(7) and 
(8)     
Article 3(3)(a) 
and (b) Article 7(3)   Article 26  
Article 3(3)(c) Article 7(3)     
 
EN 98   EN This Directive Directive 
93/6/EEC Directive 
98/31/EC Directive 
98/33/EC Directive 
2002/87/EC Directive 
2004/39/EC 
Article 4 Article 2(24)     
Article 5 Article 3(1) and 
(2)     
Article 6 Article 3(4)    Article 67(2) 
Article 7 Article 3(4a)    Article 67(3) 
Article 8 Article 3(4b)    Article 67(3) 
Article 9 Article 3(3)     
Article 10 Article 3(5) to (8)     
Article 11 Article 2(6)     
Article 12 first 
sub-paragraph Article 2(25)     
Article 12 second 
sub-paragraph      
Article 13(1) first 
sub-paragraph Annex V(1) first 
sub-paragraph     
Article 13(1) 
second sub-
paragraph and (2) 
to (5) Annex V(1) 
second sub-
paragraph and (2) 
to (5) Article 1(7) and 
Annex 4(a)(b)    
Article 14 Annex V(6) and 
(7) Annex 4(c)    
Article 15 Annex V(8)     
Article 16 Annex V(9)     
A r t i c l e  1 7       
Article 18(1) first 
sub-paragraph Article 4(1) first 
sub-paragraph     
Article 18(1)(a) 
and (b) Article 4(1)(i) and 
(ii) Article 1(2)    
Article 18(2) to 
(4) Article 4(6) to (8)     
Article 19(1)      
Article 19(2) Article 11(2)     
Article 19(3)      
A r t i c l e  2 0       
Article 21 Annex IV     
 
EN 99   EN This Directive Directive 
93/6/EEC Directive 
98/31/EC Directive 
98/33/EC Directive 
2002/87/EC Directive 
2004/39/EC 
A r t i c l e  2 2       
Article 23 first 
and second sub-
paragraph Article 7(5) and 
(6)     
Article 23 third 
sub-paragraph      
A r t i c l e  2 4       
A r t i c l e  2 5       
Article 26(1) Article 7(10) Article 1(4)    
Article 26(2) to 
(4) Article 7(11) to 
(13)     
Article 27 Article 7(14) and 
(15)     
Article 28(1) Article 5(1)     
Article 28(2) Article 5(2) Article 1(3)    
Article 28(3)      
Article 29(1)(a) to 
(c) and next two 
sub-paragraphs Annex VI(2)     
Article 29(1) last 
sub-paragraph      
Article 29(2) Annex VI(3)     
Article 30(1) and 
(2) first sub-
paragraph Annex VI(4) and 
(5)     
Article 30(2) 
second sub-
paragraph      
Article 30(3) and 
(4) Annex VI(6) and 
(7)     
Article 31 Annex VI(8)(1), 
(2) first sentence, 
(3) to (5)     
Article 32 Annex VI(9) and 
(10)     
Article 33(1) and 
(2)      
Article 33(3) Article 6(2)     
 
EN 100   EN This Directive Directive 
93/6/EEC Directive 
98/31/EC Directive 
98/33/EC Directive 
2002/87/EC Directive 
2004/39/EC 
A r t i c l e  3 4       
Article 35(1) to 
(4) Article 8(1) to (4)     
Article 35(5) Article 8(5) first 
sentence Article 1(5)    
Article 36 Article 9(1) to (3)     
A r t i c l e  3 7       
Article 38 Article 9(4)     
A r t i c l e  3 9       
Article 40 Article 2(9)     
A r t i c l e  4 1       
Article 42(1)(a) to 
(c) Article 10 first, 
second and third 
indents     
Article 42(1)(d) 
and (e)      
Article 42(1)(f) Article 10 fourth 
indent     
Article 42(1)(g)      
A r t i c l e  4 3       
A r t i c l e  4 4       
A r t i c l e  4 5       
Article 46 Article 12     
A r t i c l e  4 7       
A r t i c l e  4 8       
A r t i c l e  4 9       
Article 50 Article 15     
      
Annex I(1) to (4) Annex I(1) to (4)     
Annex I(4) last 
sub-paragraph Article 2(22)     
Annex I(5) to (7) Annex I(5) to (7)     
 
EN 101   EN This Directive Directive 
93/6/EEC Directive 
98/31/EC Directive 
98/33/EC Directive 
2002/87/EC Directive 
2004/39/EC 
Annex I(8)      
Annex I(9) to (11) Annex I(8) to (10)     
Annex I(12) to 
(14) Annex I(12) to 
(14)     
Annex I(15) and 
(16) Article 2(12)     
Annex I(17) to 
(41) Annex I(15) to 
(39)     
Annex I(42) to 
(56)      
Annex II(1) and 
(2) Annex II(1) and 
(2)     
Annex II(3) to 
(11)      
Annex III(1) Annex III(1) first 
sub-paragraph Article 1(7) and 
Annex 3(a)    
Annex III(2) Annex III(2)     
Annex III(2.1) 
first to third sub-
paragraphs Annex III(3.1) Article 1(7) and 
Annex 3(b)    
Annex III(2.1) 
fourth sub-
paragraph      
Annex III(2.1) 
fifth sub-
paragraph Annex III(3.2) Article 1(7) and 
Annex 3(b)    
Annex III(2.2), 
(3), (3.1) Annex III(4) to (6) Article 1(7) and 
Annex 3(c)    
Annex III(3.2) Annex III(8)     
Annex III(4) Annex III(11)     
Annex IV(1) to 
(20) Annex VII(1) to 
(20) Article 1(7) and 
Annex 5    
Annex IV(21) Article 11a Article 1(6)    
Annex V(1) to 
(13) third sub-
paragraph Annex VIII(1) to 
(13)(ii) Article 1(7) and 
Annex 5    
Annex V(13) 
fourth sub-
paragraph      
 
EN 102   EN This Directive Directive 
93/6/EEC Directive 
98/31/EC Directive 
98/33/EC Directive 
2002/87/EC Directive 
2004/39/EC 
Annex V(13) fifth 
sub-paragraph to 
(14) Annex 
VIII(13)(iii) to 
(14) Article 1(7) and 
Annex 5    
Annex VI Annex VI(8)(2) 
after the first 
sentence     
Annex VII      
Annex VIII      
Annex IX