Art. 325w
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
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The definitions of Vnotional in paragraphs 1 and 2 now refer to the notional amount of the instrument from which the exposure arises, and the Adjustmentlong and Adjustmentshort terms are now stated to apply specifically where that instrument is a derivative instrument.
Paragraph 4's determination of notional amounts changed from covering debt instruments generally and derivative instruments with debt security underlyings to instead addressing bonds specifically, sold put options on bonds, and bought call options on bonds, with the latter set at a notional amount of 0.
Paragraph 5's equity formulas were rewritten to use Vnotional in place of V, with Vnotional defined by reference to the fair value of the equity for cash equity instruments and entering the JTDshort formula with a negative sign, and paragraph 8(a) now describes the regulatory technical standards as specifying how institutions determine the P&Llong, P&Lshort, Adjustmentlong and Adjustmentshort components rather than how they calculate JTD amounts generally.
Cited: Art. 325w, v1 · Art. 325w, v2
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in force 2020-12-28 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown
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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.
Article 325w is a newly added provision setting out formulas and rules for institutions to calculate gross jump-to-default (JTD) amounts for long and short exposures to debt and equity instruments, including prescribed loss-given-default percentages and treatment of derivative instruments.
It also directs the European Banking Authority to develop draft regulatory technical standards on JTD calculation methods, alternative methodologies for certain derivative exposures, and notional amount determination, to be submitted to the Commission by 28 June 2021.
Cited: Art. 325w, v2
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