aggregate CVA — the sum of the CVAs calculated using the regulatory CVA model for the counterparties referred to in paragraph 1, first subparagraph (3)

aggregated gross loss — the sum of all gross losses linked to the same operational risk event over one or multiple financial years (2)

aggregated net loss — the sum of all net losses linked to the same operational risk event over one or multiple financial years (3)

ancillary services undertaking — an undertaking the principal activity of which, whether provided to undertakings inside the group or to clients outside the group, consists of any of the following: a direct extension of banking; operational leasing, the ownership or management of property, the provision of data processing services or any other activity insofar as those activities are ancillary to banking; any other activity considered similar by EBA to those referred to in points (a) and (b);’ ‘(18)

appropriate adjustment — the impact on risk parameter estimates resulting from the application of methodologies within the estimation of risk parameters to correct the identified deficiencies in data and in estimation methods, and to account for changes to underwriting standards, risk appetite, collection and recovery policies and any other source of additional uncertainty, to the extent possible in order to avoid biases in risk parameter estimates (8)

asset-referenced token — borrowed from another act; this instrument states no meaning of its own (6)

cash assimilated instrument — a certificate of deposit, a bond, including a covered bond, or any other non-subordinated instrument, which has been issued by a lending institution, for which that lending institution has already received full payment and which shall be unconditionally reimbursed by the institution at its nominal value;’ (60)

CCF — the ratio of the undrawn amount of a commitment from a single facility that could be drawn from that single facility from a certain point in time before default and therefore outstanding at default to the undrawn amount of the commitment from that facility, the extent of the commitment being determined by the advised limit, unless the unadvised limit is higher;’ (56)

commercial immovable property — any immovable property that is not residential property ‘(75a)

commitment — any contractual arrangement that an institution offers to a client, and is accepted by that client, to extend credit, purchase assets or issue credit substitutes; and any such arrangement that can be unconditionally cancelled by an institution at any time without prior notice to an obligor or any arrangement that can be cancelled by an institution where an obligor fails to meet the conditions set out in the facility documentation, including conditions that are required to be met by the obligor prior to any initial or subsequent drawdown under the arrangement, unless contractual arrangements meet all of the following conditions: contractual arrangements where the institution receives no fees or commissions to establish or maintain those contractual arrangements; contractual arrangements where the client is required to apply to the institution for the initial and each subsequent drawdown under those contractual arrangements; contractual arrangements where the institution has full authority, regardless of the fulfilment by the client of the conditions set out in the contractual arrangement documentation, over the execution of each drawdown; the contractual arrangements allow the… (10)

control — the relationship between a parent undertaking and a subsidiary, as described in Article 22 of Directive 2013/34/EU, or in the accounting standards to which an institution is subject under Regulation (EC) No 1606/2002 of the European Parliament and of the Council (*4), or a similar relationship between any natural or legal person and an undertaking ‘(37)

corporate exposure — an exposure assigned to any of the exposure classes referred to in Article 147(2), point (c)(i), (ii) or (iii) (1b)

credit exposure — any on- or off -balance-sheet item, that results, or may result, in a credit obligation (5)

credit facility — a credit exposure arising from a contract or a set of contracts between an obligor and an institution (6)

credit obligation — any obligation arising from a credit contract, including principal, accrued interest and fees, owed by an obligor ‘(4)

crypto-asset — borrowed from another act; this instrument states no meaning of its own (1)

crypto-asset exposure — an asset or an off-balance-sheet item related to a crypto-asset that gives rise to credit risk, counterparty credit risk, market risk, operational risk or liquidity risk (3)

crypto-asset service — borrowed from another act; this instrument states no meaning of its own (7)

CVA portfolio — the portfolio composed of the aggregate CVA and the eligible hedges referred to in paragraph 1, point (d) (2)

CVA risk — the risk of losses arising from changes in the value of CVA, calculated for the portfolio of transactions with a counterparty as set out in the first paragraph, due to movements in counterparty credit spread risk factors and in other risk factors embedded in the portfolio of transactions.’ (197)

e-money token — an electronic money token or e-money token as defined in Article 3(1), point (7), of Regulation (EU) 2023/1114 (2)

EL — the ratio, related to a single facility, of the amount expected to be lost on an exposure from any of the following: a potential default of an obligor over a one-year period to the amount outstanding at default; a potential dilution event over a one-year period to the amount outstanding at the date of occurrence of the dilution event;’ ‘(3)

electronic money token — borrowed from another act; this instrument states no meaning of its own (2)

environmental risk — the risk of any negative financial impact on an institution stemming from the current or prospective impact of environmental factors on that institution’s counterparties or invested assets, including factors related to the transition towards the objectives set out in Article 9 of Regulation (EU) 2020/852 of the European Parliament and of the Council (*5); environmental risk includes both physical risk and transition risk (52e)

ESG risk — the risk of any negative financial impact on an institution stemming from the current or prospective impact of environmental, social or governance (ESG) factors on that institution’s counterparties or invested assets; ESG risks materialise through the traditional categories of financial risks (52d)

exposure class — any of the exposure classes referred to in Article 147(2), point (a), point (aa)(i) or (ii), point (b), point (c)(i), (ii) or (iii), point (d)(i), (ii), (iii) or (iv), point (e), (ea), (f) or (g) ‘(1a

exposure secured by a mortgage on commercial immovable property — an exposure secured by a commercial immovable property (75e)

exposure secured by a mortgage on residential property — an exposure secured by residential property or an exposure regarded as such in accordance with Article 108(4) (75d)

exposure secured by immovable property collateral — an exposure secured by a residential property or commercial immovable property or an exposure regarded as such in accordance with Article 108(4);’ (75f)

exposures subject to the impact of environmental or social factors — exposures hindering the ambition of the Union to achieve its regulatory objectives relating to ESG factors, in a way that could have a negative financial impact on institutions in the Union (154)

FCP — a technique of credit risk mitigation where the reduction of the credit risk on the exposure of an institution is derived from the right of that institution, in the event of the default of the obligor or the credit facility, or on the occurrence of other specified credit events relating to the obligor, to liquidate, or to obtain transfer or appropriation of, or to retain certain assets or amounts, or to reduce the amount of the exposure to, or to replace it with, the amount of the difference between the amount of the exposure and the amount of a claim on the institution ‘(58)

financial holding company — an undertaking that meets all of the following conditions: The competent authority may decide that an entity does not qualify as a financial holding company even if one of the indicators referred to in the first paragraph, points (i) to (iv), is met, where the competent authority considers that the relevant indicator does not convey a fair and true view of the main activities and risks of the group. Before making such decision, the competent authority shall consult EBA and provide a substantiated and detailed qualitative and quantitative justification. The competent authority shall have due regard to EBA’s opinion and, where it decides to deviate from it, shall within three months of the date of receipt of EBA’s opinion, provide to EBA the rationale for deviating from the relevant opinion;’ it is a financial institution; it is not a mixed financial holding company; it has at least one subsidiary that is an institution; more than 50 % of any of the following indicators are associated, on a steady basis, with subsidiaries that are institutions or financial institutions, and with activities carried out by the undertaking itself that are not related to the acquisition or owning of… ‘(20)

financial institution — an undertaking that meets both of the following conditions: it is not an institution, a pure industrial holding company, a securitisation special purpose entity, an insurance holding company as defined in Article 212(1), point (f), of Directive 2009/138/EC or a mixed-activity insurance holding company as defined in Article 212(1), point (g), of that Directive, except where a mixed-activity insurance holding company has a subsidiary institution; it meets one or more of the following conditions: the principal activity of the undertaking is to acquire or own holdings or to pursue one or more of the activities listed in Annex I, points 2 to 12 and points 15, 16 and 17, to Directive 2013/36/EU, or to pursue one or more of the services or activities listed in Annex I, Section A or B, to Directive 2014/65/EU in relation to financial instruments listed in Annex I, Section C, to Directive 2014/65/EU; the undertaking is an investment firm, a mixed financial holding company, an investment holding company, a payment services provider as categorised under Article 1(1), points (a) to (d), of Directive (EU) 2015/2366 of the European Parliament and of the Council (*2), an asset management company… ‘(26)

fossil fuel sector entity — a company, enterprise or undertaking statistically classified as having its principal economic activity in the coal, oil or gas sector of economic activities, as set out in Annex XXXIX, Template 3, to Commission Implementing Regulation (EU) 2021/637 (*6) and as identified by reference to the statistical classification of economic activities (NACE Revision 2) codes listed in Annex I, Sections B, C, D and G, to Regulation (EC) No 1893/2006 of the European Parliament and of the Council (*7); where the principal economic activity of a company, enterprise or undertaking is not classified using the NACE Revision 2 codes set out in Regulation (EC) No 1893/2006, or a national classification derived therefrom, institutions shall conservatively determine whether such company, enterprise or undertaking has its principal activity in one of those sectors (153)

gold bullion — gold in the form of a commodity, including gold bars, ingots and coins, commonly accepted by the bullion market, where liquid markets for bullion exist, and the value of which is determined by the value of the gold content, defined by purity and mass, rather than by its interest to numismatists;’ ‘(60a)

governance risk — the risk of any negative financial impact on an institution stemming from the current or prospective impact of governance factors on that institution’s counterparties or invested assets (52i)

grouped losses — all operational losses caused by a common underlying trigger or root cause that could be grouped into one operational risk event (4)

ICT risk — the risk of loss related to any reasonably identifiable circumstances related to the use of network and information systems which, if materialised, might compromise the security of the network and information systems, of any technology-dependent tool or process, of operations and processes, or of the provision of services, by producing adverse effects in the digital or physical environment (52c)

Implicit government support — that the central government, regional government or local authority would act to prevent creditors of the institution from incurring losses in the event of the institution’s default or distress.’ (b)

indirect holding — any exposure to an intermediate entity that has an exposure to capital instruments issued by a financial sector entity or to liabilities issued by an institution where, in the event the capital instruments issued by the financial sector entity or the liabilities issued by the institution were permanently written off, the loss that the institution would incur as a result would not be materially different from the loss the institution would incur from a direct holding of those capital instruments issued by the financial sector entity or of those liabilities issued by the institution;’ ‘(114)

investment holding company — borrowed from another act; this instrument states no meaning of its own ‘(20a)

IPRE exposure — an exposure secured by one or more residential properties or commercial immovable properties where the fulfilment of the credit obligations related to the exposure materially depends on the cash flows generated by those immovable properties securing that exposure, rather than on the capacity of the obligor to fulfil the credit obligations from other sources; the primary source of such cash flows being lease or rental payments, or proceeds from the sale of the residential property or commercial immovable property (75b)

IRB-CCF — own estimates of credit conversion factor.’ (12)

large corporate — any corporate undertaking having consolidated annual sales of more than EUR 500 million or belonging to a group where the total annual sales for the consolidated group is more than EUR 500 million;’ ‘(5a)

large regulated financial sector entity — a financial sector entity which meets all of the following conditions: the entity’s total assets, or the total assets of its parent company where the entity has a parent company, calculated on an individual or consolidated basis, are greater than or equal to EUR 70 billion, using the most recent audited financial statement or consolidated financial statement in order to determine asset size; the entity is subject to prudential requirements, directly on an individual or consolidated basis, or indirectly from the prudential consolidation of its parent undertaking, in accordance with this Regulation, Regulation (EU) 2019/2033, Directive 2009/138/EC, or legal prudential requirements of a third country at least equivalent to those Union acts ‘(4)

legal risk — the risk of loss, including, expenses, fines, penalties or punitive damages, which an institution might incur as a consequence of events that result in legal proceedings, including the following: supervisory actions and private settlements; failure to act where action is necessary to comply with a legal obligation; action taken to avoid compliance with a legal obligation; misconduct events, which are events that arise from wilful or negligent misconduct, including inappropriate supply of financial services or the provision of inadequate or misleading information on the financial risk of products sold by the institution; non-compliance with any requirement derived from national or international statutory or legislative provisions; non-compliance with any requirement derived from contractual arrangements, or with internal rules and codes of conduct established in accordance with national or international rules and practices; non-compliance with rules on ethics ‘(52a)

LGD — the ratio of the loss on an exposure related to a single facility due to the default of an obligor or, where applicable, of a credit facility to the amount outstanding at default or at a given reference date after the date of default, and, in the context of dilution risk, the loss given dilution meaning the ratio of the loss on an exposure related to a purchased receivable due to dilution, to the amount outstanding of the purchased receivable (55)

margin of conservatism — an add-on incorporated in risk parameter estimates to account for the expected range of estimation errors stemming from identified deficiencies in data, methods, models, and changes to underwriting standards, risk appetite, collection and recovery policies and any other source of additional uncertainty, as well as from general estimation error (7)

model risk — the risk of loss resulting from decisions that are principally based on the output of internal models, due to errors in the design, development, parameter estimation, implementation, use or monitoring of such models, including the following: the improper design of a selected internal model and its characteristics; the inadequate verification of a selected internal model’s suitability for the financial instrument to be evaluated or for the product to be priced, or of the selected internal model’s suitability for the applicable market conditions; errors in the implementation of a selected internal model; incorrect mark-to-market valuations and risk measurement as a result of an error when booking a trade into the trading system; the use of a selected internal model or of its outputs for a purpose for which that model was not intended or designed, including manipulation of the modelling parameters; the untimely or ineffective monitoring or validation of model performance or of the predictive ability to assess whether the selected internal model remains fit for purpose (52b)

non-ADC exposure — any exposure secured by one or more residential properties or commercial immovable properties that is not an ADC exposure;’ (78b)

non-IPRE exposure — any exposure secured by one or more residential properties or commercial immovable properties that is not an IPRE exposure (75c)

one-year default rate — the ratio between the number of obligors or, where the definition of default is applied at credit facility level pursuant to Article 178(1), second subparagraph, credit facilities in respect of which a default is considered to have occurred during a period that starts from one year prior to a date of observation T, and the number of obligors, or where the definition of default is applied at credit facility level pursuant to Article 178(1), second subparagraph, credit facilities assigned to this grade or pool one year prior to that date of observation T;’ ‘(78)

operational risk — the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events, including, but not limited to, legal risk, model risk or information and communication technology (ICT) risk, but excluding strategic and reputational risk;’ ‘(52)

operational risk event — any event linked to an operational risk which generates a loss or multiple losses, within one or multiple financial years (1)

parent institution in a Member State — an institution in a Member State which has an institution or a financial institution as a subsidiary, or which holds a participation in an institution or financial institution, and which is not itself a subsidiary of another institution authorised in the same Member State, or of a financial holding company or mixed financial holding company set up in the same Member State;’ ‘(28)

parent undertaking — an undertaking that controls, within the meaning of point (37), one or more undertakings ‘(15)

participation — a participating interest as defined in Article 2, point (2), of Directive 2013/34/EU of the European Parliament and of the Council (*3), or the ownership, direct or indirect, of 20 % or more of the voting rights or capital of an undertaking ‘(35)

PD — the probability of default of an obligor or, where applicable, of a credit facility over a one-year period, and, in the context of dilution risk, the probability of dilution over a one-year period ‘(54)

PD/LGD modelling adjustment approach — an adjustment of the LGD or modelling an adjustment of both the PD and the LGD of the underlying exposure ‘(8a)

property value — the value of a residential property or commercial immovable property determined in accordance with Article 229(1);’ ‘(74a)

protection-provider-RW-floor — the risk weight applicable to a comparable, direct exposure to the protection provider (9)

pure industrial holding company — an undertaking that meets all of the following conditions: its principal activity is to acquire or own holdings; it is not referred to in point (27)(a), or point (27)(d) to (l), of this paragraph and is not an investment firm or an asset management company, or a payment service provider as categorised under Article 1(1), points (a) to (d), of Directive (EU) 2015/2366; it does not hold any participations in a financial sector entity;’ ‘(26a)

regional governments, local authorities and public sector entities exposure — an exposure assigned to any of the exposure classes referred to in Article 147(2), point (aa)(i) or (ii);’ (1d)

regular-way purchase or sale — a purchase or a sale of a financial asset under contracts for which the terms require delivery of the financial asset within the period established generally by law or convention in the marketplace concerned.’ (b)

regulated financial sector entity — a financial sector entity meeting the condition set out in Article 142(1), point (4)(b).’ (iv)

residential property — any of the following: an immovable property which has the nature of a dwelling and satisfies all applicable laws and regulations enabling the property to be occupied for housing purposes; an immovable property which has the nature of a dwelling and is still under construction, provided that there is the expectation that the property will satisfy all applicable laws and regulations enabling the property to be occupied for housing purposes; the right to inhabit an apartment in housing cooperatives located in Sweden; land accessory to a property referred to in point (a), (b) or (c);’ ‘(75)

retail exposure — an exposure assigned to any of the exposure classes referred to in Article 147(2), point (d)(i), (ii), (iii) or (iv) (1c)

revolving exposure — any exposure whereby the borrower’s outstanding balance is permitted to fluctuate based on its decisions to borrow and repay, up to an agreed limit ‘(151)

risk class — any of the following categories: interest rate risk; counterparty credit spread risk; reference credit spread risk; equity risk; commodity risk; foreign exchange risk (1)

SA-CCF — the percentage applicable under Chapter 2 in accordance with Article 111(2) (11)

shadow banking entity — an entity that carries out banking activities outside the regulated framework (155)

SME — a company, enterprise or undertaking which, according to its most recent consolidated accounts, has an annual turnover not exceeding EUR 50 000 000 (9)

social risk — the risk of any negative financial impact on an institution stemming from the current or prospective impact of social factors on its counterparties or invested assets (52h)

specialised debt restructurer — an institution that, during the preceding financial year, complied with all of the following conditions on both an individual and on a consolidated basis: The specialised debt restructurer shall notify the competent authority, without delay, if one or more of the conditions set out in the second subparagraph are no longer met. Competent authorities shall notify EBA at least on an annual basis of the application of this paragraph by institutions under their supervision. EBA shall establish, maintain, and publish a list of specialised debt restructurers. EBA shall monitor the activity of specialised debt restructurers and shall report by 31 December 2028 to the Commission on the results of such monitoring and, where appropriate, shall advise the Commission as to whether the conditions to qualify as “specialised debt restructurer” are sufficiently risk-based and appropriate in view of favouring the secondary market for non-performing loans, and assess if additional conditions are necessary.’ ; the main activity of the institution is the purchase, management and restructuring of non-performing exposures in accordance with a clear and effective internal decision process implemented by… (b)

subsidiary — an undertaking that is controlled, within the meaning of point (37), by another undertaking; subsidiaries of subsidiaries shall also be considered to be subsidiaries of the undertaking that is their original parent undertaking;’ (16)

substitution of risk parameters approach under A-IRB — the substitution, in accordance with Article 236a, of both the PD and LGD risk parameters of the underlying exposure with the corresponding PD and LGD that would be assigned under the IRB approach using own estimates of LGD to a comparable direct exposure to the protection provider.’ ‘(5)

synthetic holding — an investment by an institution in a financial instrument the value of which is directly linked to the value of the capital instruments issued by a financial sector entity or to the value of the liabilities issued by an institution;’ ‘(126)

third-party undertaking — an undertaking that provides auditing or consulting services to institutions and that has staff with sufficient skills in the area of market risk. 6. The review of the alternative standardised approach referred to in paragraph 5 shall cover the activities of both the business trading units and of the independent risk control unit and shall assess at least the following: An institution shall conduct the review referred to in the first subparagraph at least once a year, or on a less frequent basis of up to every two years where the institution can demonstrate to the satisfaction of the competent authority that the size, systemic importance, nature, scale and complexity of its trading book business justifies a less frequent review. 7. Competent authorities shall verify that the calculation referred to in paragraph 2 of this Article, including the implementation by an institution of the requirements set out in this Chapter and in Article 325a, is performed with integrity. 8. EBA shall develop draft regulatory technical standards to specify the assessment methodology under which competent authorities conduct the verification referred to in paragraph 7; EBA shall submit those draft… (c)

tokenised traditional asset — a type of crypto-asset that represents a traditional asset, including an e-money token (5)

trading desk — a well-identified group of dealers established by the institution in accordance with Article 104b(1) to jointly manage a portfolio of trading book positions, or the non-trading book positions referred to in paragraphs (5) and (6) of that Article, in accordance with a well-defined and consistent business strategy and operating under the same risk management structure;’ ‘(144)

traditional asset — any asset other than a crypto-asset, including: financial instruments as defined in Article 4(1), point (50), of this Regulation; funds as defined in Article 4, point (25), of Directive (EU) 2015/2366; deposits as defined in Article 2(1), point (3), of Directive 2014/49/EU of the European Parliament and of the Council (*9), including structured deposits; securitisation positions in the context of a securitisation as defined in Article 2, point (1), of Regulation (EU) 2017/2402; non-life or life insurance products falling within the classes of insurance listed in Annexes I and II to Directive 2009/138/EC or reinsurance and retrocession contracts referred to in that Directive; pension products that, under national law, are recognised as having the primary purpose of providing the investor with an income in retirement and that entitle the investor to certain benefits; officially recognised occupational pension schemes within the scope of Directive (EU) 2016/2341 of the European Parliament and of the Council (*10) or Directive 2009/138/EC; individual pension products for which a financial contribution from the employer is required by national law and where the employer or the employee… (4)

transactor exposure — any revolving exposure that has at least 12 months of repayment history and that is one of the following: an exposure for which, on a regular basis of at least every 12 months, the balance to be repaid at the next scheduled repayment date is determined as the drawn amount at a predefined reference date, with a scheduled repayment date not later than after 12 months, provided that the balance has been repaid in full at each scheduled repayment date for the previous 12 months; an overdraft facility where there have been no drawdowns over the previous 12 months (152)

type of exposures — a group of homogeneously managed exposures, which may be limited to a single entity or a single sub-set of entities within a group provided that the same type of exposures is managed differently in other entities of the group;’ ‘(2)

UFCP — a technique of credit risk mitigation where the reduction of the credit risk on the exposure of an institution is derived from the obligation of a third party to pay an amount in the event of the default of the obligor or the credit facility, or the occurrence of other specified credit events (59)

unconditional guarantee — a guarantee where the credit protection contract does not contain any clause the fulfilment of which is outside the direct control of the lending institution and that could prevent the guarantor from being obliged to pay out in a timely manner pursuant to the qualifying default of the obligor or to the non-payment by the original obligor. A clause in the credit protection contract providing that a flawed due diligence or fraud by the lending institution cancels or diminishes the extent of the guarantee offered by the guarantor shall not disqualify that guarantee from being considered unconditional. Guarantees where the payment by the guarantor is subject to the lending institution first having to pursue the obligor and that only cover losses remaining after the institution has completed the workout process shall be considered unconditional.’ (iii)

unconditionally cancellable commitment — any commitment the terms of which permit the institution to cancel that commitment to the full extent allowable under consumer protection and related legal acts, where applicable, at any time without prior notice to the obligor or that effectively provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness.’ (11)

unregulated financial sector entity — a financial sector entity that does not fulfil the condition set out in point (4)(b);’ (5)