Art. 325ai
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
Intra-bucket correlations for credit spread risk for non-securitisations
4 changes recorded across 4 events, newest first.
in force 2025-01-01 MODIFIED+136 −12§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
The definition of the name correlation parameter ρkl(name) now distinguishes between sensitivities whose names differ but fall within buckets 1 to 18 of Table 4 in Article 325ah(1), setting that value at 35%, whereas the earlier text applied a single 35% figure to all non-identical names without this bucket condition.
For non-identical names that do not fall within buckets 1 to 18, the correlation value is now set at 80%, replacing the previous uniform 35% figure that applied to all non-identical names.
Cited: Art. 325ai, v1 · Art. 325ai, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 325ai
Intra-bucket correlations for credit spread risk for non-securitisations
1. The correlation parameter ρkl between two sensitivities WSk and WSl within the same bucket shall be set as follows:
ρkl = ρkl(name) · ρkl(tenor) · ρkl(basis)
where:
ρkl(name) shall be equal to 1 where the two names of sensitivities k and l are identical, identical; it shall be equal to 35 % where the two names of sensitivities k and l are in buckets 1 to 18 in Article 325ah(1), Table 4, otherwise it shall be equal to 35 80 %;
ρkl(tenor) shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 65 %; and
ρkl(basis) shall be equal to 1 where the two sensitivities are related to the same curves, otherwise it shall be equal to 99,90 %.
2. The correlation parameters referred to in paragraph 1 of this Article shall not apply to bucket 18 in Table 4 of Article 325ah(1). The capital requirement for the delta risk aggregation formula within bucket 18 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket:Kbbucket 18kWSk
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.
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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`.
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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 provision is newly inserted and sets out how the correlation parameter between two sensitivities within the same credit spread risk bucket for non-securitisations is calculated, combining separate name, tenor and basis factors with fixed percentages applied when the relevant elements are not identical.
It also states that these correlation parameters do not apply to bucket 18, for which the capital requirement under the delta risk aggregation formula is instead defined as the sum of the absolute values of the net weighted sensitivities allocated to that bucket.
Cited: Art. 325ai, v2
text before / after, on the event page →