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Provision history · CRR

Art. 325f · Own funds requirements for delta and vega risks

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 +1 −16

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

In paragraph 8, the formula reference describing the overall sum condition for Sb and Sc has been removed, so the clause now refers only to "the overall sum of" without the formula notation that previously followed it.

Cited: Art. 325f, v1 · Art. 325f, 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 325f Own funds requirements for delta and vega risks 1. Institutions shall apply the delta and vega risk factors described in Subsection 1 of Section 3 to calculate the own funds requirements for delta and vega risks. 2. Institutions shall apply the … 331 unchanged words … requirement for delta or vega riskb K2bbcb γbcSbSc where: Sb Σk WSk for all risk factors in bucket b and Sc = Σk WSk in bucket c; where those values for Sb and Sc produce a negative number for the overall sum of bK2bbcb γbcSbSc, , the institution shall calculate the risk-class specific own funds requirements for delta or vega risk using an alternative specification whereby Sb max [min (Σk WSk, Kb), – Kb] for all risk factors in bucket b and Sc max [min (Σk WSk, Kc), – Kc] for all risk factors in bucket c. The risk-class specific own funds requirements for delta or vega risk shall be calculated for each risk class in accordance with paragraphs 1 to 8.

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 multi-step process for institutions to calculate own funds requirements for delta and vega risks, covering identification of risk factors, calculation of sensitivities, assignment to buckets, netting, weighting, and aggregation formulas.

The article defines the formulas and variables used at each stage, including weighted sensitivities, bucket-specific sensitivities, and the risk-class specific own funds requirement, along with an alternative calculation specification for cases producing a negative aggregate result.

Cited: Art. 325f, v2

v1 is the previous version, v2 this one.

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