Art. 325e
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
Points (a) and (b) of paragraph 2 now exclude from the stated own funds requirements the risks arising from exotic underlyings of instruments referred to in point (a) of Article 325u(2), and point (b) is also changed from limiting instruments without optionality to only the delta-risk requirement to instead making them subject to that requirement subject to the same exotic-underlying exclusion.
A new paragraph 3 is added allowing an institution to choose, by way of derogation from point (b) of paragraph 2, to subject positions of instruments without optionality to the requirements in points (a) and (c) of paragraph 1, and this paragraph sets out notification steps to the competent authority for starting and stopping use of that approach.
Cited: Art. 325e, 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.
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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 that institutions calculate the own funds requirement for market risk under the sensitivities-based method by aggregating own funds requirements for delta, vega and curvature risk.
It further specifies that positions in instruments with optionality are subject to all three of these requirements, while positions in instruments without optionality are subject only to the delta risk requirement, and it defines which instruments count as having optionality and which do not.
Cited: Art. 325e, v2
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