Pfandbrief Business: Specific CRR legislation

Legislation concerning covered bonds
  • Preferential risk weighting when calculating own funds requirements using the Standardised Approach for credit risk pursuant to Article 129 CRR
  • Preferential loss given default (LGD) when calculating own funds requirements using the Internal Ratings-Based Approach (IRB Approach) pursuant to Article 161 CRR
  • For covered bonds with particularly good credit quality (like Pfandbriefe) that are contained in the trading book of trading book institutions, preferential own funds requirements using the Standardised Approach for market risk pursuant to Article 336 CRR and using the Alternative Standardised Approach pursuant to Article 325w and 325ah CRR
  • Privileged consideration as liquid assets with regard to the LCR pursuant to Article 416. CRR in conjunction with the Delegated Regulation on the LCR
  • Privileged factors for the required stable funding for the purpose of the net stable funding ratio (NSFR) pursuant to Article 428t and 428aa CRR
  • Discretionary exemption from the limit on large exposures pursuant to Article 493 CRR, which was exercised in accordance with Section 1 of the German Large Exposures Regulation (Großkredit- und Millionenkreditverordnung, GroMiKV)
Concerning cover assets and the business model of Pfandbrief banks
  • Preferential minimum loss coverage requirements (later capital deduction) for non-performing real estate loans (NPL) pursuant to Article 47c CRR
  • Preferential risk weighting when calculating own funds requirements using the Standardised Approach for credit risk for sovereign exposures, such as central governments and central banks, regional governments and local authorities, public sector entities, multilateral development banks, and international organisations pursuant to Article 114 et seq. CRR (see also EBA list for Article 115 and 116 CRR)
  • Preferential risk weighting when calculating own funds requirements using the Standardised Approach for credit risk for real estate financing pursuant to Article 124 et seq. CRR (see also EBA list for Article 124 CRR)
  • No requirement to apply a minimum value for the probability of default (PD) for sovereign exposures and inter-bank receivables when using the IRB Approach pursuant to Article 160 CRR
  • Requirements fort the minimum loss given default (LGD) for retail real estate exposures pursuant to Article 164 CRR (see also EBA list for Article 164 CRR)
  • Consideration of real estate, ship, and aircraft collateral when using the basic IRB Approach pursuant to Article 199 CRR
  • Preferential LGD when calculating own funds requirements using the IRB Approach for real estate, ship, and aircraft financing, as well as alternative risk weight for real estate financing pursuant to Article 230 CRR
  • For sovereign exposures that would be assigned a risk weight of 0% using the Standardised Approach for credit risk, exemption from the limit on large exposures pursuant to Article 400 CRR
  • For real estate financing that would be assigned the maximum possible preferential risk weight using the Standardised Approach for credit risk, exemption from the limit on large exposures pursuant to Article 402 CRR
  • Specific reporting requirements concerning losses stemming from real estate financing pursuant to Article 430a CRR in conjunction with ITS on Supervisory Reporting (implementing regulation EU/2021/451, Annexes VI and VII) as basis for the so-called hard test (see also Supervisory practice)
  • For regional governments and local authorities that would be assigned a risk weight of 20% using the Standardised Approach for credit risk, discretionary exemption from the limit on large exposures pursuant to Article 493 CRR; Discretionary exemption was exercised in accordance with Section 1 of the German Large Exposures Regulation (Großkredit- und Millionenkreditverordnung, GroMiKV)