Art. 325y
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
Calculation of the own funds requirements for the default risk
5 changes recorded across 5 events, newest first.
in force 2025-01-01 MODIFIED+245 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
A new paragraph 6 has been added, stating that for the purposes of this Article an exposure is assigned the credit quality category corresponding to the one it would be assigned under the standardised approach for credit risk set out in Title II, Chapter 2.
Paragraphs 1 through 5 remain unchanged between the two versions.
Cited: Art. 325y, v2 · Art. 325y, v1
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 325y
Calculation of the own funds requirements for the default risk
1. Net JTD amounts, irrespective of the type of counterparty, shall be multiplied by the default risk weights that correspond to their credit quality, as specified in Table 2:
Table 2
Credit quality category Default risk weight
Credit quality step 1 0,5 %
Credit quality step 2 3 %
Credit quality step 3 6 %
Credit quality step 4 15 %
Credit quality step 5 30 %
Credit quality step 6 50 %
Unrated 15 %
Defaulted 100 %
2. Exposures which would receive a 0 % risk-weight under the Standardised Approach for credit risk in accordance with Chapter 2 of Title II shall receive a 0 % default risk weight for the own funds requirements for the default risk.
3. The weighted net JTD shall be allocated to the following buckets: corporates, sovereigns, and local governments/municipalities.
4. Weighted net JTD amounts shall be aggregated within each bucket, in accordance with the following formula:
DRCb = max {(Σi ∈ long RWi · net JTDi) – WtS · (Σi ∈ short RWi · |net JTDi|); 0}
where:
DRCb
the own funds requirement for the default risk for bucket b;
i
the index that denotes an instrument belonging to bucket b;
RWi
the risk weight; and
WtS
a ratio recognising a benefit for hedging relationships within a bucket, which shall be calculated as follows:WtS netJTDlong netJTDlongnetJTDshort
For the purposes of calculating the DRCb and the WtS, the long positions and short positions shall be aggregated for all positions within a bucket, regardless of the credit quality step to which those positions are allocated, to produce the bucket-specific own funds requirements for the default risk.
5. The final own funds requirement for the default risk for non-securitisations shall be calculated as the simple sum of the bucket-level own funds requirements.6. For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the standardised approach for credit risk set out in Title II, Chapter 2.
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`.
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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.
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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.
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 2019-06-27 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 is a newly inserted article setting out how the own funds requirement for default risk is calculated, including a table of default risk weights by credit quality step, treatment of exposures that would receive a 0% risk weight under the Standardised Approach, allocation of weighted net JTD amounts into corporate, sovereign, and local government/municipality buckets, a formula for aggregating weighted net JTD amounts within each bucket accounting for a hedging benefit ratio, and a rule that the final default risk requirement for non-securitisations is the simple sum of the bucket-level requirements.
Cited: Art. 325y, v2
text before / after, on the event page →