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Provision history · CRR

Art. 325bb · Expected shortfall risk measure

Capital Requirements Regulation · 32013R0575 · every version of this act · on EUR-Lex

2 changes recorded across 2 versions, newest first.

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Version in force Modified +85 −0

Amended by Regulation (EU) 2021/424 32021R0424 on 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 and the amending act's instructions do not mention it. Only the text comparison found it. All are shown; none is overruled.

Explanation, written by a model and checked against the cited text

Paragraph 1 now specifies that the expected shortfall risk measure is calculated for any given portfolio of trading book positions and also non-trading book positions that are subject to foreign exchange or commodity risk, whereas the earlier text referred only to trading book positions.

Cited: Art. 325bb, v1 · Art. 325bb, v2

v1 is the previous version, v2 this one.

Text from EUR-Lex, before and after

Previous version, in force 28 June 2021 02013R0575-20210629 → this version, in force 30 September 2021 02013R0575-20210930

Article 325bb Expected shortfall risk measure 1. Institutions shall calculate the expected shortfall risk measure referred to in point (a) of Article 325ba(1) for any given date t and for any given portfolio of trading book positions and non-trading book positions that are subject to foreign exchange or commodity risk as follows:EStρUESt1ρi UESit where: ESt the expected shortfall risk measure; i the index that denotes the five broad categories of risk factors listed in the first column of Table 2 of Article 325bd; UESt the unconstrained expected shortfall measure calculated as follows:UEStPESRStmaxPESFCtPESRCt , 1 UESti the unconstrained expected shortfall … 351 unchanged words … measure UESit does not underestimate the market risk of the relevant trading book positions; (b) the institution is able to increase the frequency of calculation of UESit, PESRS,it, PESRC,it and PESFC,it from weekly to daily where required by its competent authority.

Version in force Inserted

Amended by Regulation (EU) 2019/876 32019R0876 on EUR-Lex

Applies from: not readable (an inserted provision states its own application date only in prose) why

Not in every listWhat this means

Found in the text, but not every source lists it — the text comparison and the amending act's instructions 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. All are shown; none is overruled.

Explanation, written by a model and checked against the cited text

This is a newly inserted article setting out a formula and method for institutions to calculate an expected shortfall risk measure across broad risk factor categories, using unconstrained and partial expected shortfall components combined with a supervisory correlation factor of 50%.

It specifies that scenarios of future shocks apply only to the specific set of modellable risk factors relevant to each partial expected shortfall measure, that a category's unconstrained expected shortfall measure must be included when at least one modellable risk factor is mapped to it, and that the calculation frequency may be reduced from daily to weekly under two stated conditions relating to demonstrating no underestimation of market risk and the ability to revert to daily calculation if required by the competent authority.

Cited: Art. 325bb, v2

v1 is the previous version, v2 this one.

Text from EUR-Lex, on this version's page