(iii)

Directive (EU) 2025/2 of the European Parliament and of the Council of 27 November 2024 amending Directive 2009/138/EC as regards proportionality, quality of supervision, reporting, long-term guarantee measures, macro-prudential tools, sustainability risks and group and cross-border supervision, and amending Directives 2002/87/EC and 2013/34/EU (Text with EEA relevance) · European Union

point (i) is replaced by the following: The risk correction shall never exceed an appropriate percentage of the long-term average spreads.’ ; methods and assumptions for the calculation of the volatility adjustment referred to in Article 77d, including the following: a formula for the calculation of the credit spread sensitivity ratio referred to in Article 77d(3) and (4); for each relevant asset class, the percentage of the spread that represents the portion of the spread that is attributable to a realistic assessment of expected losses, unexpected credit risk or any other risk, to be calculated as referred to in Article 77d(3); such percentage shall decrease as spreads increase, taking into account at least the following three cases: where spreads do not exceed their long-term average; where spreads exceed their long-term average but do not exceed twice their long-term average; where spreads exceed twice their long-term average.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-14 · Text as adopted (Official Journal); later amendments are not incorporated in this text.