Version in force , Modified +2,082 −1,222§
Amended by Regulation (EU) 2019/2033 32019R2033 on EUR-Lex (external, EUR-Lex)
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
The BEFORE text shown is actually Article 325am covering risk weights for credit spread risk of securitisations not included in the ACTP, using a bucket table keyed to credit quality and sector, while the AFTER text is Article 325m covering delta, vega and curvature credit spread risk factors for non-securitisation instruments and options, defined by reference to issuer credit spread rates, implied volatilities and pricing-model maturity vectors.
The AFTER text organizes the provision into four paragraphs addressing delta risk factors and maturity mapping, vega risk factors for options, curvature risk factor vectors, and sensitivity calculation under Article 325g, none of which appear in the BEFORE text's securitisation bucket table and sector-assignment rules.
Cited: Art. 325m, v1 (external, EUR-Lex) · Art. 325m, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
texts differ too much for an inline diff; shown separately
Previous version, in force 27 June 2019 02013R0575-20190627
Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP 1. Risk weights for the sensitivities to credit spread risk factors for securitisation not included in the ACTP shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 7 and shall be specified for each bucket in Table 7 pursuant to the delegated act referred to in Article 461a: Table 7 Bucket number Credit quality Sector 1 Senior and Credit quality step 1 to 3 RMBS - Prime 2 RMBS - Mid-Prime 3 RMBS - Sub-Prime 4 CMBS 5 Asset backed securities (ABS) - Student loans 6 ABS - Credit cards 7 ABS - Auto 8 Collateralised loan obligations (CLO) non-ACTP 9 Non-senior and credit quality step 1 to 3 RMBS - Prime 10 RMBS - Mid-Prime 11 RMBS - Sub-Prime 12 CMBS 13 ABS - Student loans 14 ABS - Credit cards 15 ABS - Auto 16 CLO non-ACTP 17 Credit quality step 4 to 6 RMBS - Prime 18 RMBS - Mid-Prime 19 RMBS - Sub-Prime 20 CMBS 21 ABS - Student loans 22 ABS - Credit cards 23 ABS - Auto 24 CLO non-ACTP 25 Other sector 2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each tranche to one of the sector buckets in Table 7. Risk exposures from any tranche that an institution cannot assign to a sector in such a manner shall be assigned to bucket 25.
this version, in force 25 December 2019 02013R0575-20191225
Article 325m Credit spread risk factors for non-securitisation 1. The delta credit spread risk factors to be applied by institutions to non-securitisation instruments that are sensitive to credit spread shall be the issuer credit spread rates of those instruments, inferred from the relevant debt instruments and credit default swaps, and mapped to each of the following maturities: 0,5 years, 1 year, 3 years, 5 years, 10 years. Institutions shall apply one risk factor per issuer and maturity, regardless of whether those issuer credit spread rates are inferred from debt instruments or credit default swaps. The buckets shall be sector buckets, as referred to in Section 6, and each bucket shall include all the risk factors allocated to the relevant sector. 2. The vega credit spread risk factors to be applied by institutions to options with non-securitisation underlyings that are sensitive to credit spread shall be the implied volatilities of the underlying's issuer credit spread rates inferred as laid down in paragraph 1, which shall be mapped to the following maturities in accordance with the maturity of the option subject to own funds requirements: 0,5 years, 1 year, 3 years, 5 years, 10 years. The same buckets shall be used as the buckets that were used for the delta credit spread risk for non-securitisation. 3. The curvature credit spread risk factors to be applied by institutions to non-securitisation instruments shall consist of one vector of credit spread rates, representing a credit spread curve specific to the issuer. For each instrument, the vector shall contain as many components as there are different maturities of credit spread rates used as variables in the institution's pricing model for that instrument. The same buckets shall be used as the buckets that were used for the delta credit spread risk for non-securitisation. 4. Institutions shall calculate the sensitivity of the instrument to each risk factor used in the curvature risk formula in accordance with Article 325g. For the purposes of the curvature risk, institutions shall consider vectors inferred from either relevant debt instruments or credit default swaps and with a different number of components as the same risk factor, provided that those vectors correspond to the same issuer.