Art. 325bc
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
Partial expected shortfall calculations
5 changes recorded across 5 events, newest first.
in force 2024-07-09 MODIFIED+628 −0§
Amended by Regulation (EU) 2024/1623 32024R1623
applies from: unknown (the text changed beyond its dates, so no date that moved can be read as the application date)
dates added to the text: 2026-01-10
A new paragraph 6 has been added requiring EBA to develop draft regulatory technical standards specifying criteria for the use of data inputs in the risk-measurement model referred to in this Article, including criteria on data accuracy and on calibration of data inputs where market data are insufficient.
This new paragraph also states that EBA shall submit those draft regulatory technical standards to the Commission by 10 January 2026, and that power is delegated to the Commission to supplement the Regulation by adopting them in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.
Paragraphs 1 to 5 remain unchanged between the two versions.
Cited: Art. 325bc, v2 · Art. 325bc, v1
text before / after
02013R0575-20240109 → 02013R0575-20240709
Article 325bc
Partial expected shortfall calculations
1. Institutions shall calculate all the partial expected shortfall measures referred to in Article 325bb(1) as follows:
(a) daily calculations of the partial expected shortfall measures;
(b) at 97,5th percentile, one tailed confidence interval;
(c) for a given portfolio … 976 unchanged words … Article 325bb(1), institutions shall maintain the values of the modellable risks factors for which they have not been required to apply scenarios of future shocks for that partial expected shortfall measure under paragraphs 2, 3 and 4 of this Article.6. EBA shall develop draft regulatory technical standards to specify the criteria for the use of data inputs in the risk-measurement model referred to in this Article, including criteria on data accuracy and criteria on the calibration of the data inputs where market data are insufficient.
EBA shall submit those draft regulatory technical standards to the Commission by 10 January 2026.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.
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.
Point (c) of Article 325bc(1) now describes the portfolio for which institutions calculate the partial expected shortfall measure as including both trading book positions and non-trading book positions that are subject to foreign exchange or commodity risk, whereas the earlier text referred only to a portfolio of trading book positions.
The wording of the introductory clause of point (c) was also adjusted from stating that an institution shall calculate the measure to stating that institutions shall calculate it, and the phrase "in accordance with" replaces the earlier "accordance with".
Cited: Art. 325bc, v1 · Art. 325bc, v2
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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 is a new provision setting out how institutions must calculate the partial expected shortfall measures referenced elsewhere, including the required frequency, confidence interval, formula, and liquidity-horizon table.
It further specifies distinct calibration and risk-factor-subset requirements for each of the specific partial expected shortfall measures (stressed, reduced, and full sets), including conditions for reverting to another approach and rules on maintaining unshocked risk factor values.
Cited: Art. 325bc, v2
text before / after, on the event page →