Capital Requirements Regulation · 32013R0575 · every version of this act · on EUR-Lex (external, EUR-Lex)
4 changes recorded across 4 versions, newest first.
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Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
Applies from: no date changed
Explanation, written by a model and checked against the cited text
Point (d) of Article 276(1) no longer includes the sentence stating that institutions shall not use the method set out in Article 225 for calculating the volatility-adjusted value of collateral received or posted.
Cited: Art. 276, v1 (external, EUR-Lex) · Art. 276, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 9 July 2024 02013R0575-20240709 → this version, in force 1 January 2025 02013R0575-20250101
Article 276
Recognition and treatment of collateral
1. For the purposes of this Section, institutions shall calculate the collateral amounts of VM, VMMA, NICA and NICAMA, by applying all the following requirements:
(a) where all the transactions included in a netting set belong to the trading book, only collateral that is eligible under Articles 197 and 299 shall be recognised;
(b) where a netting set contains at least one transaction that belongs to the non-trading book, only collateral that is eligible under Article 197 shall be recognised;
(c) collateral received from a counterparty shall be recognised with a positive sign and collateral posted to a counterparty shall be recognised with a negative sign;
(d) the volatility-adjusted value of any type of collateral received or posted shall be calculated in accordance with Article 223; for the purposes of that calculation, institutions shall not use the method set out in Article 225;
(e) the same collateral item shall not be included in both VM and NICA at the same time;
(f) the same collateral item shall not be included in both VMMA and NICAMA at the same time;
(g) any collateral posted to the counterparty that is segregated from the assets of that counterparty and, as a result of that segregation, is bankruptcy remote in the event of the default or insolvency of that counterparty shall not be recognised in the calculation of NICA and NICAMA.
2. For the calculation of the volatility-adjusted value of collateral posted referred to in point (d) of paragraph 1 of this Article, institutions shall replace the formula set out in Article 223(2) with the following formula:
CVA = C · (1 + HC + Hfx)
where:
CVA = the volatility-adjusted value of collateral posted; and
C = the collateral;
Hc and Hfx are defined in accordance with Article 223(2).
3. For the purposes of point (d) of paragraph 1, institutions shall set the liquidation period relevant for the calculation of the volatility-adjusted value of any collateral received or posted in accordance with one of the following time horizons:
(a) one year for the netting sets referred to in Article 275(1);
(b) the margin period of risk determined in accordance with point (b) of Article 279c(1) for the netting sets referred to in Article 275(2) and (3).
Amended by Regulation (EU) 2019/2033 32019R2033 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2021/558 32021R0558 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2020/873 32020R0873 on EUR-Lex (external, EUR-Lex)
Applies from: no date changed
Not in every listWhat this means
Found in the text, but not every source lists it — the text comparison found this change; the EU's own amendment metadata does not list it. The source that does not name it is the EU's own amendment metadata. Both are shown; neither is overruled.
Explanation, written by a model and checked against the cited text
The article's heading and substance changed from describing a Standardised Method exposure-value formula for OTC derivatives and long settlement transactions to describing recognition and treatment of collateral, including rules for calculating VM, VMMA, NICA and NICAMA amounts.
The earlier version's paragraph 1 restricted use of the Standardised Method and paragraph 2 set out the exposure value formula with defined terms such as CMV, CMC, RPT, RPC, CCRM and beta, while the later version's paragraph 1 instead lists seven lettered requirements (a) through (g) governing which collateral is recognised and how, referencing Articles 197, 223 and 299.
The earlier paragraph 3 listed four lettered rules on sign conventions, eligible collateral, interest rate risk on short payment legs, and aggregation of payment legs, whereas the later paragraph 3 instead sets liquidation-period time horizons of one year or a margin-period-of-risk determination referencing Articles 275 and 279c(1), and the later text adds a new paragraph 2 formula (CVA = C · (1 + HC + Hfx)) referencing Article 223(2) that has no counterpart in the earlier text.
Cited: Art. 276, v1 (external, EUR-Lex) · Art. 276, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, on this version's page
Amended by Regulation (EU) 2017/2401 32017R2401 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex)
Applies from: no date changed
Not in every listWhat this means
Found in the text, but not every source lists it — the text comparison found this change; the EU's own amendment metadata does not list it. The source that does not name it is the EU's own amendment metadata. Both are shown; neither is overruled.
Explanation, written by a model and checked against the cited text
The formula in paragraph 2 shows a minor formatting change, with a comma and space inserted between the CMV and CMC terms in the exposure value expression.
No wording elsewhere in Article 276 differs between the two versions.
Cited: Art. 276, v1 (external, EUR-Lex) · Art. 276, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, on this version's page
Amended by Regulation (EU) 2015/62 32015R0062 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2018/405 32018R0405 on EUR-Lex (external, EUR-Lex)
Applies from: no date changed
Not in every listWhat this means
Found in the text, but not every source lists it — the text comparison found this change; the EU's own amendment metadata does not list it. The source that does not name it is the EU's own amendment metadata. Both are shown; neither is overruled.
Explanation, written by a model and checked against the cited text
The formatting of the exposure value formula in paragraph 2 has changed, with spacing and mathematical symbols rendered differently, though the underlying formula components remain the same.
The numbering style of paragraphs 1, 2 and 3 has been tightened from a line-break format to an inline format, with no change to the substantive wording of the text.
Cited: Art. 276, v1 (external, EUR-Lex) · Art. 276, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, on this version's page