Art. 325ad
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
Calculation of the own funds requirements for the default risk for the ACTP
5 changes recorded across 5 events, newest first.
in force 2025-01-01 MODIFIED+20 −104§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
In paragraph 1, the assignment of default risk weights has been swapped between product types: point (a) now refers to non-tranched products using the Article 325y(1) and (2) credit-quality weights, while point (b) now refers to tranched products using the Article 325aa(1) weights, reversing the pairing found in the earlier version.
In paragraph 3, the explicit formula line showing DRCb as a maximum of the long and short weighted JTD sums has been removed, leaving only the introductory sentence and the definitions of DRCb, i, and WtSACTP.
Cited: Art. 325ad, v1 · Art. 325ad, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 325ad
Calculation of the own funds requirements for the default risk for the ACTP
1. Net JTD amounts shall be multiplied by:
(a) for tranched non-tranched products, the default risk weights corresponding to their credit quality as specified in Article 325y(1) and (2);
(b) for non-tranched tranched products, the default risk weights referred to in Article 325aa(1).
2. Risk-weighted net JTD amounts shall be assigned to buckets that correspond to an index.
3. Weighted net JTD amounts shall be aggregated within each bucket in accordance with the following formula:
DRCb = max {(Σi ∈ long RWi · net JTDi) – WtSACTP · (Σi ∈ short RWi · |net JTDi|); 0}
where:
DRCb
the own funds requirement for the default risk for bucket b;
i
an instrument belonging to bucket b; and
WtSACTP
the ratio recognising a benefit for hedging relationships within a bucket, which shall be calculated in accordance with the WtS formula set out in Article 325y(4), but using long positions and short positions across the entire ACTP and not just the positions in the particular bucket.
4. Institutions shall calculate the own funds requirements for the default risk for the ACTP by using the following formula:
where:
DRCACTP
the own funds requirement for the default risk for the ACTP; and
DRCb
the own funds requirement for the default risk for bucket b.
in force 2023-06-28 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
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 →
in force 2021-09-30 MODIFIED§
Amended by Regulation (EU) 2021/424 32021R0424
applies from: unchanged
Sources disagree — 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. All are shown; none is overruled.
The formula expression that appeared inline in paragraph 4, immediately following the introductory sentence about calculating own funds requirements for the default risk for the ACTP, is no longer present in the text.
All surrounding text in paragraph 4, including the definitions of DRCACTP and DRCb, remains otherwise the same.
Cited: Art. 325ad, v1 · Art. 325ad, v2
text before / after, on the event page →
in force 2020-12-28 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
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 →
in force 2019-06-27 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown (an inserted provision states its own application date only in prose)
Sources disagree — the text comparison and the amending act's instructions found this change; the EU's own amendment metadata does not list it. All are shown; none is overruled.
This article is entirely new text, setting out a method for calculating own funds requirements for default risk for the ACTP by multiplying net JTD amounts by specified default risk weights, assigning risk-weighted amounts to buckets, aggregating them with a formula that nets long and short positions using a hedging-benefit ratio, and then combining bucket-level results into an overall requirement.
Cited: Art. 325ad, v2
text before / after, on the event page →