Art. 325m

in force 2023-06-28 INSERTED±0§

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`.

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 2019-12-25 MODIFIED§

Amended by Regulation (EU) 2019/2033 32019R2033

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.

The BEFORE text shown is actually Article 325am covering risk weights for credit spread risk of securitisations not included in the ACTP, using a bucket table keyed to credit quality and sector, while the AFTER text is Article 325m covering delta, vega and curvature credit spread risk factors for non-securitisation instruments and options, defined by reference to issuer credit spread rates, implied volatilities and pricing-model maturity vectors.

The AFTER text organizes the provision into four paragraphs addressing delta risk factors and maturity mapping, vega risk factors for options, curvature risk factor vectors, and sensitivity calculation under Article 325g, none of which appear in the BEFORE text's securitisation bucket table and sector-assignment rules.

Cited: Art. 325m, v1 · Art. 325m, v2

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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, setting out how institutions determine delta, vega and curvature credit spread risk factors for non-securitisation instruments.

It specifies the maturities and bucketing used for issuer credit spread rates and their implied volatilities, and describes how vectors with differing numbers of components for the same issuer are to be treated as a single risk factor for curvature risk purposes.

Cited: Art. 325m, v2

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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, setting out risk weights for credit spread risk for securitisations not included in the ACTP, appears as new text establishing a Table 7 of bucket numbers, credit quality steps and sectors with associated risk weights applicable across five specified maturities.

It also sets out, in a second paragraph, how institutions are to assign a risk exposure to a sector using a commonly used market classification, assign each tranche to one of the sector buckets in Table 7, and place any tranche that cannot be so assigned into bucket 25.

Cited: Art. 325m, v2

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