Art. 325v
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
Definitions and general provisions
5 changes recorded across 5 events, newest first.
in force 2025-01-01 MODIFIED+159 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
A new paragraph 3 has been added stating that for traded non-securitisation credit and equity derivatives, jump-to-default amounts by individual constituents are to be determined by applying a look-through approach.
Paragraphs 1 and 2, containing the definitions and the general own funds requirement rules, remain unchanged between the two versions.
Cited: Art. 325v, v2 · Art. 325v, v1
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 325v
Definitions and general provisions
1. For the purposes of this Section, the following definitions apply:
(a) short exposure means that the default of an issuer or group of issuers leads to a gain for the institution, regardless of the type of instrument or transaction creating the exposure;
(b) long exposure means that the default of an issuer or group of issuers leads to a loss for the institution, regardless of the type of instrument or transaction creating the exposure;
(c) gross jump-to-default (gross JTD) amount means the estimated size of the loss or gain that the default of the obligor would produce for a specific exposure;
(d) net jump-to-default (net JTD) amount means the estimated size of the loss or gain that an institution would incur due to the default of an obligor, after offsetting between gross JTD amounts has taken place,
(e) loss given default or LGD means the loss given default of the obligor on an instrument issued by that obligor expressed as a share of the notional amount of the instrument;
(f) default risk weight means the percentage representing the estimated probability of the default of each obligor, according to the creditworthiness of that obligor.
2. Own funds requirements for the default risk shall apply to debt and equity instruments, to derivative instruments having those instruments as underlyings and to derivatives, the pay-offs or fair values of which are affected by the default of an obligor other than the counterparty to the derivative instrument itself. Institutions shall calculate default risk requirements separately for each of the following types of instruments: non-securitisations, securitisations that are not included in the ACTP, and securitisations that are included in the ACTP. The final own funds requirements for the default risk to be applied by institutions shall be the sum of those three components.3. For traded non-securitisation credit and equity derivatives, JTD amounts by individual constituents shall be determined by applying a look-through approach.
in force 2024-07-09 MODIFIED§
Amended by Regulation (EU) 2024/1623 32024R1623
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 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 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`.
text before / after, on the event page →
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 added, setting out definitions for terms such as short exposure, long exposure, gross and net jump-to-default amounts, loss given default, and default risk weight, all applicable to a Section on default risk.
It also states that own funds requirements for default risk apply to debt and equity instruments, related derivatives, and derivatives affected by third-party obligor default, with institutions calculating these requirements separately for non-securitisations, non-ACTP securitisations, and ACTP securitisations before summing the three components.
Cited: Art. 325v, v2
text before / after, on the event page →