Version in force , Modified +20 −104§
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)
Explanation, written by a model and checked against the cited text
In paragraph 1, the assignment of default risk weights has been swapped between product types: point (a) now refers to non-tranched products using the Article 325y(1) and (2) credit-quality weights, while point (b) now refers to tranched products using the Article 325aa(1) weights, reversing the pairing found in the earlier version.
In paragraph 3, the explicit formula line showing DRCb as a maximum of the long and short weighted JTD sums has been removed, leaving only the introductory sentence and the definitions of DRCb, i, and WtSACTP.
Cited: Art. 325ad, v1 (external, EUR-Lex) · Art. 325ad, 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 325ad
Calculation of the own funds requirements for the default risk for the ACTP
1. Net JTD amounts shall be multiplied by:
(a) for tranched non-tranched products, the default risk weights corresponding to their credit quality as specified in Article 325y(1) and (2);
(b) for non-tranched tranched products, the default risk weights referred to in Article 325aa(1).
2. Risk-weighted net JTD amounts shall be assigned to buckets that correspond to an index.
3. Weighted net JTD amounts shall be aggregated within each bucket in accordance with the following formula:
DRCb = max {(Σi ∈ long RWi · net JTDi) – WtSACTP · (Σi ∈ short RWi · |net JTDi|); 0}
where:
DRCb
the own funds requirement for the default risk for bucket b;
i
an instrument belonging to bucket b; and
WtSACTP
the ratio recognising a benefit for hedging relationships within a bucket, which shall be calculated in accordance with the WtS formula set out in Article 325y(4), but using long positions and short positions across the entire ACTP and not just the positions in the particular bucket.
4. Institutions shall calculate the own funds requirements for the default risk for the ACTP by using the following formula:
where:
DRCACTP
the own funds requirement for the default risk for the ACTP; and
DRCb
the own funds requirement for the default risk for bucket b.