Art. 325s

in force 2025-01-01 MODIFIED±0§

Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795

applies from: unknown

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in force 2024-07-09 MODIFIED§

Amended by Regulation (EU) 2024/1623 32024R1623

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in force 2023-06-28 INSERTED§

Amended by Regulation (EU) 2019/876 32019R0876

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in force 2021-09-30 MODIFIED§

Amended by Regulation (EU) 2021/424 32021R0424

applies from: unchanged

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The formula previously shown after the introductory sentence of paragraph 1, expressing the vega risk sensitivity calculation, has been removed from the text, while the surrounding words and the definitions of sk, k, volk and x,y that follow remain unchanged.

Cited: Art. 325s, v1 · Art. 325s, v2

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in force 2020-12-28 INSERTED§

Amended by Regulation (EU) 2019/876 32019R0876

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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)

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This provision is newly added, setting out a formula and rules for institutions to calculate the vega risk sensitivity of an option to a given implied-volatility risk factor.

It also specifies mapping treatment for vega risk factors with a maturity dimension when the option lacks a maturity, and for options without a strike or barrier or with multiple strikes or barriers, in both cases subjecting the options to the residual risks add-on.

It further states that vega risk is not to be calculated for certain securitisation tranches included in the ACTP that lack an implied volatility, with own funds requirements for those tranches instead computed for delta and curvature risk.

Cited: Art. 325s, v2

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