Art. 325bb
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
4 changes recorded across 4 events, newest first.
in force 2023-06-28 INSERTED±0§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown
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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.
Paragraph 1 now specifies that the expected shortfall risk measure is calculated for any given portfolio of trading book positions and also non-trading book positions that are subject to foreign exchange or commodity risk, whereas the earlier text referred only to trading book positions.
Cited: Art. 325bb, v1 · Art. 325bb, v2
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in force 2020-12-28 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown
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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 is a newly inserted article setting out a formula and method for institutions to calculate an expected shortfall risk measure across broad risk factor categories, using unconstrained and partial expected shortfall components combined with a supervisory correlation factor of 50%.
It specifies that scenarios of future shocks apply only to the specific set of modellable risk factors relevant to each partial expected shortfall measure, that a category's unconstrained expected shortfall measure must be included when at least one modellable risk factor is mapped to it, and that the calculation frequency may be reduced from daily to weekly under two stated conditions relating to demonstrating no underestimation of market risk and the ability to revert to daily calculation if required by the competent authority.
Cited: Art. 325bb, v2
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