Version in force , Modified +119 −67§
Amended by Regulation (EU) 2021/424 32021R0424 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
Point (c) of Article 325h(2) no longer refers readers to the delegated act under Article 461a for the low correlations scenario, and instead states that the correlation parameters ρkl and γbc specified in Section 6 are replaced by other values.
The specific replacement values appear as blank or unrendered symbols in the after text rather than as spelled-out figures.
Cited: Art. 325h, v1 (external, EUR-Lex) · Art. 325h, v2 (external, EUR-Lex)
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 325h
Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
1. Institutions shall aggregate risk-class specific own funds requirements for delta, vega and curvature risks in accordance with the process set out in paragraphs 2, 3 and 4.
2. The process to calculate the risk-class specific own funds requirements for delta, vega and curvature risks described in Articles 325f and 325g shall be performed three times per risk class, each time using a different set of correlation parameters ρkl (correlation between risk factors within a bucket) and γbc (correlation between buckets within a risk class). Each of those three sets shall correspond to a different scenario, as follows:
(a) the medium correlations scenario, whereby the correlation parameters ρkl and γbc remain unchanged from those specified in Section 6;
(b) the high correlations scenario, whereby the correlation parameters ρkl and γbc that are specified in Section 6 shall be uniformly multiplied by 1,25, with ρkl and γbc subject to a cap at 100 %;
(c) the low correlations scenario scenario, whereby the correlation parameters ρkl and γbc that are specified in Section 6 shall be specified in the delegated act referred to in Article 461a. replaced by and , respectively.
3. Institutions shall calculate the sum of the delta, vega and curvature risk-class specific own funds requirements for each scenario to determine three scenario-specific, own funds requirements.
4. The own funds requirement under the sensitivities-based method shall be the highest of the three scenario-specific own funds requirements referred to in paragraph 3.