Art. 325aj
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
Correlations across buckets for credit spread risk for non-securitisations
5 changes recorded across 5 events, newest first.
in force 2025-01-01 MODIFIED+362 −18§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
The definition of the rating component of the correlation parameter, γbc(rating), has been expanded from a single general rule into four separate lettered rules covering different bucket combinations.
The general rule about matching credit quality categories now applies specifically to buckets 1 to 17, and three new rules have been added addressing cases where one of the buckets is bucket 18, bucket 19, or bucket 20, each setting the parameter to 1 or 50 percent depending on the credit quality step of the other bucket.
The sector component, γbc(sector), and the accompanying Table 5 of percentages remain unchanged between the two versions.
Cited: Art. 325aj, v2 · Art. 325aj, v1
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 325aj
Correlations across buckets for credit spread risk for non-securitisations
The correlation parameter γbc that applies to the aggregation of sensitivities between different buckets shall be set as follows:
γbc = γbc(rating) · γbc(sector)
where:
γbc(rating) shall be equal to:
(a) 1, where buckets b and c are buckets 1 to 1 where the two 17 and both buckets have the same credit quality category (either credit quality step 1 to 3 or credit quality step 4 to 6), 6); otherwise it shall be equal to 50 %; for the purposes of that calculation, bucket 1 shall be considered as belonging to the same credit quality category as buckets that have credit quality step 1 to 3; (b) 1, where either bucket b or c is bucket 18;
(c) 1, where bucket b or c is bucket 19 and
the other bucket has credit quality step 1 to 3; otherwise it shall be equal to 50 %;
(d) 1, where bucket b or c is bucket 20 and the other bucket has credit quality step 4 to 6; otherwise it shall be equal to 50 %;
γbc(sector) shall be equal to 1 where the two buckets belong to the same sector, and otherwise shall be equal to the corresponding percentage set out in Table 5:
Table 5
Bucket 1, 2 and 11 3 and 12 4 and 13 5 and 14 6 and 15 7 and 16 8 and 17 9 and 10 18 19 20
1, 2 and 11 75 % 10 % 20 % 25 % 20 % 15 % 10 % 0 % 45 % 45 %
3 and 12 5 % 15 % 20 % 15 % 10 % 10 % 0 % 45 % 45 %
4 and 13 5 % 15 % 20 % 5 % 20 % 0 % 45 % 45 %
5 and 14 20 % 25 % 5 % 5 % 0 % 45 % 45 %
6 and 15 25 % 5 % 15 % 0 % 45 % 45 %
7 and 16 5 % 20 % 0 % 45 % 45 %
8 and 17 5 % 0 % 45 % 45 %
9 and 10 0 % 45 % 45 %
18 0 % 0 %
19 75 %
20
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 and the EU's own amendment metadata found this change; the amending act's instructions do not mention it. All are shown; none is overruled.
Table 5 in the after text adds new bucket rows and columns, extending bucket 9 to also cover bucket 10 and introducing buckets 18, 19 and 20, each with their own listed correlation percentages against the other buckets.
The before text's Table 5 only lists buckets through bucket 9, without any entries for buckets 10, 18, 19 or 20.
Cited: Art. 325aj, v2 · Art. 325aj, v1
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`.
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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 article is entirely new, setting out a formula for the correlation parameter γbc used when aggregating sensitivities across different buckets for credit spread risk on non-securitisations, combining a rating-based factor and a sector-based factor.
It specifies that the rating factor equals 1 when both buckets share the same credit quality category and 50% otherwise, with bucket 1 treated as belonging to the same category as buckets covering credit quality steps 1 to 3, and it specifies that the sector factor equals 1 for buckets in the same sector or otherwise the percentage listed in the accompanying Table 5.
Cited: Art. 325aj, v2
text before / after, on the event page →