Capital Requirements Regulation · 32013R0575 · every version of this act · on EUR-Lex (external, EUR-Lex)
3 changes recorded across 3 versions, newest first.
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Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
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Amended by Regulation (EU) 2021/424 32021R0424 on EUR-Lex (external, EUR-Lex)
Applies from: no date changed
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Explanation, written by a model and checked against the cited text
The formula previously shown after the introductory sentence of paragraph 1, expressing the vega risk sensitivity calculation, has been removed from the text, while the surrounding words and the definitions of sk, k, volk and x,y that follow remain unchanged.
Cited: Art. 325s, v1 (external, EUR-Lex) · Art. 325s, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, on this version's page
Amended by Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, 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 provision is newly added, setting out a formula and rules for institutions to calculate the vega risk sensitivity of an option to a given implied-volatility risk factor.
It also specifies mapping treatment for vega risk factors with a maturity dimension when the option lacks a maturity, and for options without a strike or barrier or with multiple strikes or barriers, in both cases subjecting the options to the residual risks add-on.
It further states that vega risk is not to be calculated for certain securitisation tranches included in the ACTP that lack an implied volatility, with own funds requirements for those tranches instead computed for delta and curvature risk.
Cited: Art. 325s, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, on this version's page