emendrixAccount

Provision history · CRR

Art. 325r · Delta risk sensitivities

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

2 changes recorded across 2 versions, newest first.

Follow this provision (Atom) · Watch it from CI · Watch this provision

Version in force Modified +36 −94

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 the definitions for the commodity risk sensitivity formula in paragraph 4 and the foreign exchange risk sensitivity formula in paragraph 5, the description of Vi (.) changed from referring to the market value of instrument i as a function of the relevant risk factor to referring to the pricing function of instrument i.

Cited: Art. 325r, v1 · Art. 325r, 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 325r Delta risk sensitivities 1. Institutions shall calculate delta general interest rate risk (GIRR) sensitivities as follows: (a) the sensitivities to risk factors consisting of risk-free rates shall be calculated as follows: SrktVirkt0,0001, x, y …Virkt, x, y …0,0001 where: Srkt the sensitivities to risk factors … 348 unchanged words … the pricing function Vi. 4. Institutions shall calculate the delta commodity risk sensitivities to each risk factor k as follows:SkVi1,01 CTYk, γ, z …ViCTYk, γ, z …0,01 where: sk the delta commodity risk sensitivities; k a given commodity risk factor; CTYk the value of risk factor k; Vi (.) the market value pricing function of instrument i as a function of risk factor k; i; and y, z risk factors other than CTYk in the pricing model of instrument i. 5. Institutions shall calculate the delta foreign exchange risk sensitivities to each foreign exchange risk factor k as follows:SkVi1,01 FXk, y, z …ViFXk, y, z …0,01 where: sk the delta foreign exchange risk sensitivities; k a given foreign exchange risk factor; FXk the value of the risk factor; Vi (.) the market value pricing function of instrument i as a function of the risk factor k; i; and y, z risk factors other than FXk in the pricing model of instrument i.

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 provision setting out formulas by which institutions are to calculate delta risk sensitivities for general interest rate risk, credit spread risk, equity risk, commodity risk, and foreign exchange risk.

It defines the specific variables and pricing functions used in each calculation across the five risk categories addressed.

Cited: Art. 325r, v2

v1 is the previous version, v2 this one.

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