Version in force , Modified +453 −196§
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
Paragraph 1 now describes vega risk factor buckets as similar to the delta risk factor buckets established in Section 3, Subsection 1, rather than simply stating that vega risk factors use the delta buckets referred to in Subsection 1.
A new paragraph 2 introduces a Table 1 assigning risk weights to vega risk factor sensitivities directly by risk class, and the former paragraph 2 and 3 content on determining the vega risk weight as a share of the risk factor's value, including the formula and Table 11, is renumbered as paragraph 3.
Paragraph 6 now refers to the highest prescribed delta risk weight for the relevant risk bucket instead of for the relevant risk class.
Cited: Art. 325ax, v1 (external, EUR-Lex) · Art. 325ax, 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 325ax
Vega and curvature risk weights
1. Vega Buckets for vega risk factors shall use be similar to the buckets established for delta buckets referred to risk factors in accordance with Section 3, Subsection 1.
2. The risk weight Risk weights for a given sensitivities to vega risk factor k factors shall be determined as a share assigned in accordance with the risk class of the current value of that risk factor k which represents the implied volatility of an underlying, factors, as described in Section 3. follows:
Table 1
Risk class Risk weights
GIRR 100 %
CSR non-securitisations 100 %
CSR securitisations (ACTP) 100 %
CSR securitisations (non-ACTP) 100 %
Equity (large cap and indices) 77,78 %
Equity (small cap and other sector) 100 %
Commodity 100 %
Foreign exchange 100 %
3. The share referred to in paragraph 2 shall be made dependent on the presumed liquidity of each type of risk factor in accordance with the following formula:RWkValue of risk factor kminRWσLHrisk class10 ; 100%
where:
RWk = the risk weight for a given vega risk factor k;
RWσ shall be set at 55 %; and
LHrisk class is the regulatory liquidity horizon to be prescribed in the determination of each vega risk factor k. LHrisk class is determined in accordance with the following table:
Table 11
Risk class LHrisk class Risk weights
GIRR 60 100 %
CSR non-securitisations 120 100 %
CSR securitisations (ACTP) 120 100 %
CSR securitisations (non-ACTP) 120 100 %
Equity (large cap and indices) 20 77,78 %
Equity (small cap and other sector) 60 100 %
Commodity 120 100 %
Foreign exchange 40 100 %
4. Buckets used in the context of delta risk in Subsection 1 shall be used in the curvature risk context unless specified otherwise in this Chapter.
5. For foreign exchange and equity curvature risk factors, the curvature risk weights shall be relative shifts equal to the delta risk weights referred to in Subsection 1.
6. For general interest rate, credit spread and commodity curvature risk factors, the curvature risk weight shall be the parallel shift of all the vertices for each curve on the basis of the highest prescribed delta risk weight referred to in Subsection 1 for the relevant risk class. bucket.