emendrix

Art. 285

Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex

Exposure value for netting sets subject to a margin agreement

3 changes recorded across 3 events, newest first.

in force 2025-01-01 MODIFIED+285 −162

Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795

applies from: unchanged

Paragraph 7 now covers only OTC derivatives and no longer refers to securities-financing transactions, and it drops the option of using own volatility adjustment estimates under the Financial Collateral Comprehensive Method, leaving only the standard Supervisory Volatility Adjustments Approach as the permitted basis for recognising non-cash collateral.

A new paragraph 7a has been added, stating that an institution unable to model collateral jointly with the exposure shall not recognise, in its exposure value calculations for securities financing transactions, the effect of collateral other than cash of the same currency as the exposure itself.

The prior version of paragraph 7 addressed both OTC derivatives and securities-financing transactions together and allowed either own volatility adjustment estimates or the standard supervisory approach.

Cited: Art. 285, v2 · Art. 285, v1

text before / after

02013R0575-20240709 → 02013R0575-20250101

Article 285 Exposure value for netting sets subject to a margin agreement 1. If the netting set is subject to a margin agreement and daily mark-to-market valuation, the institution shall calculate Effective EPE as set out in this paragraph. If the model … 685 unchanged words … jointly with the exposure in its exposure value calculations for OTC derivatives and securities-financing transactions. 7. If an institution is not able to model collateral jointly with the exposure, it shall not recognise in its exposure value calculations for OTC derivatives and securities-financing transactions the effect of collateral other than cash of the same currency as the exposure itself, unless it the institution uses either the volatility adjustments that meet the standards of the financial collateral comprehensive Method with own volatility adjustments estimates or under the standard Supervisory Volatility Adjustments Approach in accordance with Chapter 4. 7a. If an institution is not able to model collateral jointly with the exposure, it shall not recognise in its exposure value calculations for securities financing transactions the effect of collateral other than cash of the same currency as the exposure itself. 8. An institution using the IMM shall ignore in its models the effect of a reduction of the exposure value due to any clause in a collateral agreement that requires receipt of collateral when counterparty credit quality deteriorates.

in force 2024-07-09 MODIFIED

Amended by Regulation (EU) 2024/1623 32024R1623

applies from: unknown

Sources disagree — the amending act's instructions found this change; the text comparison finds no difference in the provision's text and the EU's own amendment metadata does not list it. All are shown; none is overruled.

No explanation shipped — the structural diff did not see this change, so it carries no text; another signal named the unit and the disagreement ships as `disputed`.

text before / after, on the event page →

detected 2026-08-13 MODIFIED

no amending act named

applies from: unchanged

Paragraph 1 now requires the institution to calculate Effective EPE and moves the model's-EE-measure permission language earlier in the text, stating that only an institution that has not received that permission must use one of the two listed Effective EPE measures, whereas the earlier version presented all three options, including the model's EE measure, as equal alternatives.

Points (a) and (b) are reworded to describe both options as ways of calculating Effective EPE rather than as an unlabelled EPE measure and an add-on, and point (c), which separately set out the model's-EE-measure option, is removed as a standalone point since its content is folded into the introductory text of paragraph 1.

References to supervisory volatility adjustments in paragraph 1's closing text and in paragraph 7 are changed to refer to the Supervisory Volatility Adjustments Approach, and the cross-reference in paragraph 1 is updated from Section 3 to Section 4 of Chapter 4.

Cited: Art. 285, v1 · Art. 285, v2

text before / after, on the event page →