(201)

the following articles are inserted: ‘Article 383a Regulatory CVA model 1. A regulatory CVA model used for calculating the own funds requirements for CVA risk in accordance with Article 383 shall be conceptually sound, implemented with integrity, and comply with all of the following requirements: For the purposes of the first subparagraph, point (a), CVA shall have a positive sign and shall be calculated as a function of the counterparty’s expected loss given default, an appropriate set of the counterparty’s probabilities of default at future time points and an appropriate set of simulated discounted future exposures of the portfolio of transactions with that counterparty at future time points until the maturity of the longest transaction in that portfolio. For the purposes of the demonstration referred to in the first subparagraph, point (c), collateral received from the counterparty shall not change the seniority of the exposure. For the purposes of the first subparagraph, point (f)(iii), of this paragraph where the institution has already established a collateral management unit for using the internal model method referred to in Article 283, the institution shall not be required to establish an additional collateral management unit where that institution demonstrates to its competent authority that such a unit complies with the requirements set out in Article 287 for the collateral recognised for calculating the own funds requirements for CVA risk using the standardised approach. 2. For the purposes of paragraph 1, point (b), where the credit default swap spreads of the counterparty are observable in the market, an institution shall use those spreads. Where such credit default swap spreads are not available, an institution shall use one of the following: 3. An institution using a regulatory CVA model shall comply with all of the following qualitative requirements: For the purpose of calculating the own funds requirements for CVA risk, the exposure model referred to in paragraph 1 of this Article may have different specifications and assumptions in order to meet all requirements laid down in Article 383a, except that its market data inputs and netting recognition shall remain the same as the ones used for accounting purposes. 4. EBA shall develop draft regulatory technical standards to specify: EBA shall submit those draft regulatory technical standards to the Commission by 10 July 2027. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. 5. EBA shall develop draft regulatory technical standards to specify: EBA shall submit those draft regulatory technical standards to the Commission by 10 July 2028. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. Article 383b Own funds requirements for delta and vega risks 1. Institutions shall apply the delta and vega risk factors described in Articles 383c to 383h, and the process set out in paragraphs 2 to 8 of this Article, to calculate the own funds requirements for delta and vega risks. 2. For each risk class referred to in Article 383(2), the sensitivity of the aggregate CVAs and the sensitivity of all positions in eligible hedges falling within the scope of the own funds requirements for delta or vega risk to each of the applicable delta or vega risk factors included in that risk class shall be calculated by using the corresponding formulae set out in Articles 383i and 383j. Where the value of an instrument depends on several risk factors, the sensitivity shall be determined separately for each risk factor. For the calculation of the vega risk sensitivities of the aggregate CVAs, sensitivities both to volatilities used in the exposure model to simulate risk factors and to volatilities used to reprice option transactions in the portfolio with the counterparty shall be included. By way of derogation from paragraph 1 of this Article, subject to the permission of the competent authority, an institution may use alternative definitions of delta and vega risk sensitivities in the calculation of the own funds requirements of a trading book position under this Chapter, provided that the institution meets all of the following conditions: 3. Where an eligible hedge is an index instrument, institutions shall calculate the sensitivities of that eligible hedge to all relevant risk factors by applying the shift of one of the relevant risk factors to each of the index constituents. 4. An institution may introduce additional risk factors that correspond to qualified index instruments for the following risk classes: For the purposes of delta risks, an index instrument shall be considered qualified where it meets the conditions set out in Article 325i. For vega risks, all index instruments shall be considered qualified. An institution shall calculate sensitivities of CVA and eligible hedges to qualified index risk factors in addition to sensitivities to the non-index risk factors. An institution shall calculate delta and vega risk sensitivities to a qualified index risk factor as a single sensitivity to the underlying qualified index. Where 75 % of the constituents of a qualified index are mapped to the same sector as set out in Articles 383p, 383s and 383v, the institution shall map the qualified index to that same sector. Otherwise, the institution shall map the sensitivity to the applicable qualified index bucket. 5. The weighted sensitivities of the aggregate CVA and of the market value of all eligible hedges to each risk factor shall be calculated by multiplying the respective net sensitivities by the corresponding risk weight, in accordance with the following formulae: where: 6. Institutions shall calculate the net-weighted sensitivity WSk of the CVA portfolio to risk factor k in accordance with the following formula: 7. The net-weighted sensitivities within the same bucket shall be aggregated in accordance with the following formula, using the corresponding correlations ρkl to weighted sensitivities within the same bucket set out in Articles 383l, 383t and 383q giving rise to the bucket-specific sensitivity Kb : where: 8. The bucket-specific sensitivity shall be calculated in accordance with paragraphs 5, 6 and 7 of this Article for each bucket within a risk class. Once the bucket-specific sensitivity has been calculated for all buckets, weighted sensitivities to all risk factors across buckets shall be aggregated in accordance with the following formula, using the corresponding correlations γbc for weighted sensitivities in different buckets set out in Articles 383l, 383o, 383r, 383u, 383w and 383z giving rise to the risk-class specific own funds requirements for delta or vega risk: where: Article 383c Interest rate risk factors 1. For the interest rate delta risk factors, including inflation rate risk, there shall be one bucket per currency, with each bucket containing different types of risk factors. The interest rate delta risk factors that are applicable to interest-rate sensitive instruments in the CVA portfolio shall be the risk-free rates per currency concerned and per each of the following maturities: 1 year, 2 years, 5 years, 10 years and 30 years. The interest rate delta risk factors applicable to inflation-rate sensitive instruments in the CVA portfolio shall be the inflation rates per currency concerned and per each of the following maturities: 1 year, 2 years, 5 years, 10 years and 30 years. 2. The currencies for which an institution shall apply the interest rate delta risk factors in accordance with paragraph 1 shall be euro, Swedish krona, Australian dollar, Canadian dollar, British pound sterling, Japanese yen and US dollar, the institution’s reporting currency and the currency of a Member State participating in ERM II. 3. For currencies not specified in paragraph 2, the interest rate delta risk factors shall be the absolute change of the inflation rate and the parallel shift of the entire risk-free curve for a given currency. 4. Institutions shall obtain the risk-free rates per currency from money market instruments held in their trading book that have the lowest credit risk, including overnight index swaps. 5. Where institutions cannot apply the approach referred to in paragraph 4, the risk-free rates shall be based on one or more market-implied swap curves used by the institutions to mark positions to market, such as the interbank offered rate swap curves. Where the data on market-implied swap curves described in the first subparagraph are insufficient, the risk-free rates may be derived from the most appropriate sovereign bond curve for a given currency. 6. The interest rate vega risk factor applicable to instruments in the CVA portfolio sensitive to interest rate volatility shall be all the volatilities of the interest rate of all tenors for a given currency. The inflation rate vega risk factor applicable to instruments in the CVA portfolio sensitive to inflation rate volatility shall be all the volatilities of the inflation rate of all tenors for a given currency. There shall be one net interest rate sensitivity and one net inflation rate sensitivity computed for each currency. Article 383d Foreign exchange risk factors 1. The foreign exchange delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to foreign exchange spot rates shall be the spot foreign exchange rates between the currency in which an instrument is denominated and the institution’s reporting currency or the institution’s base currency where the institution is using a base currency in accordance with Article 325q(7). There shall be one bucket per currency pair, containing a single risk factor and a single net sensitivity. 2. The foreign exchange vega risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to foreign exchange volatility shall be the implied volatilities of foreign exchange rates between the currency pairs referred to in paragraph 1. There shall be one bucket for all currencies and maturities, containing all foreign exchange vega risk factors and a single net sensitivity. 3. Institutions shall not be required to distinguish between onshore and offshore variants of a currency for foreign exchange delta and vega risk factors. Article 383e Counterparty credit spread risk factors 1. The counterparty credit spread delta risk factors applicable to counterparty credit spread sensitive instruments in the CVA portfolio shall be the credit spreads of individual counterparties and reference names and qualified indices for the following maturities: 0,5 years, 1 year, 3 years, 5 years and 10 years. 2. The counterparty credit spread risk class shall not be subject to vega risk own funds requirements. Article 383f Reference credit spread risk factors 1. The reference credit spread delta risk factors applicable to reference credit spread sensitive instruments in the CVA portfolio shall be the credit spreads of all maturities for all reference names within a bucket. There shall be one net sensitivity computed for each bucket. 2. The reference credit spread vega risk factors applicable to instruments in the CVA portfolio sensitive to reference credit spread volatility shall be the volatilities of the credit spreads of all tenors for all reference names within a bucket. There shall be one net sensitivity computed for each bucket. Article 383g Equity risk factors 1. The buckets for all equity risk factors shall be the buckets referred to in Article 383t. 2. The equity delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to equity spot prices shall be the spot prices of all equities mapped to the same bucket referred to in paragraph 1. There shall be one net sensitivity computed for each bucket. 3. The equity vega risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to equity volatility shall be the implied volatilities of all equities mapped to the same bucket referred to in paragraph 1. There shall be one net sensitivity computed for each bucket. Article 383h Commodity risk factors 1. The buckets for all commodity risk factors shall be the sector buckets referred to in Article 383x. 2. The commodity delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to commodity spot prices shall be the spot prices of all commodities mapped to the same sector bucket referred to in paragraph 1. There shall be one net sensitivity computed for each sector bucket. 3. The commodity vega risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to commodity price volatility shall be the implied volatilities of all commodities mapped to the same sector bucket referred to in paragraph 1. There shall be one net sensitivity computed for each sector bucket. Article 383i Delta risk sensitivities 1. Institutions shall calculate delta sensitivities consisting of interest rate risk factors as follows: 2. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of foreign exchange spot rates, as well as of an eligible hedge instrument to those risk factors, as follows: where: 3. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of counterparty credit spread rates, as well as of an eligible hedge instrument to those risk factors, as follows: where: 4. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of reference credit spread rates, as well as of an eligible hedge instrument to those risk factors, as follows: where: 5. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of equity spot prices, as well as of an eligible hedge instrument to those risk factors, as follows: where: 6. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of commodity spot prices, as well as of an eligible hedge instrument to those risk factors, as follows: where: Article 383j Vega risk sensitivities Institutions shall calculate the vega risk sensitivities of the aggregate CVA to risk factors consisting of implied volatility, as well as of an eligible hedge instrument to those risk factors, as follows: where: Article 383k Risk weights for interest rate risk 1. For the currencies referred to in Article 383c(2), the risk weights of risk-free rate delta sensitivities for each bucket in Table 1 shall be the following: Table 1 2. For currencies other than the currencies referred to in Article 383c(2), the risk weight of risk-free rate delta sensitivities shall be 1,58 %. 3. For inflation rate risk denominated in one of the currencies referred to in Article 383c(2), the risk weight of the delta sensitivity to the inflation rate risk shall be 1,11 %. 4. For inflation rate risk denominated in a currency other than the currencies referred to in Article 383c(2), the risk weight of the delta sensitivity to the inflation rate risk shall be 1,58 %. 5. The risk weights to be applied to sensitivities to interest rate vega risk factors and to inflation rate vega risk factors for all currencies shall be 100 %. Article 383l Intra-bucket correlations for interest rate risk 1. For the currencies referred to in Article 383c(2), the correlation parameters that institutions shall apply to the aggregation of the risk-free rate delta sensitivities between the different buckets set out in Article 383k, Table 1, shall be the following: Table 1 2. Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate delta risk sensitivity and risk-free rate delta sensitivity denominated in the same currency. 3. Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate vega risk factor sensitivity and interest rate vega risk factor sensitivity denominated in the same currency. Article 383m Correlation across buckets for interest rate risk The cross-bucket correlation parameter for interest rate delta and vega risks shall be set at 0,5 for all currency pairs. Article 383n Risk weights for foreign exchange risk 1. The risk weights for all delta sensitivities to foreign exchange risk factor between an institution’s reporting currency and another currency shall be 11 %. 2. The risk weight of the foreign exchange risk factors concerning currency pairs which are composed of the euro and the currency of a Member State participating in ERM II shall be one of the following: 3. Notwithstanding paragraph 2, the risk weight of the foreign exchange risk factors concerning currencies referred to in that paragraph which participate in ERM II with a formally agreed fluctuation band narrower than the standard band of plus or minus 15 % shall equal the maximum percentage fluctuation within that narrower band. 4. The risk weights for all vega sensitivities to foreign exchange risk factor shall be 100 %. Article 383o Correlations for foreign exchange risk 1. A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to delta foreign exchange risk factor across buckets. 2. A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to vega foreign exchange risk factor across buckets. Article 383p Risk weights for counterparty credit spread risk 1. The risk weights for the delta sensitivities to counterparty credit spread risk factors shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 1 and shall be the following: Table 1 Where there are no external ratings for a specific counterparty, institutions may, subject to approval by the competent authorities, map the internal rating to a corresponding external rating and assign a risk weight corresponding to either credit quality step 1 to 3 or credit quality step 4 to 6. Otherwise, the risk weights for unrated exposures shall be applied. 2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each issuer to only one of the sector buckets set out in Table 1. Risk exposures from any issuer that an institution cannot assign to a sector in such a manner shall be assigned to either bucket 11 or bucket 20 in Table 1, depending on the credit quality of the issuer. 3. Institutions shall assign to buckets 12 and 21 in Table 1 only exposures that reference qualified indices as referred to in Article 383b(4). 4. Institutions shall use a look-through approach to determine the sensitivities of an exposure referencing a non-qualified index. Article 383q Intra-bucket correlations for counterparty credit spread risk 1. Between two sensitivities WSk and WSl , resulting from risk exposures assigned to sector buckets 1 to 11 and 13 to 20, as set out in Article 383p(1), Table 1, the correlation parameter ρkl shall be set as follows: where: 2. Between two sensitivities WSk and WSl resulting from risk exposures assigned to sector buckets 12 and 21, the correlation parameter ρkl shall be set as follows: where: Article 383r Correlations across buckets for counterparty credit spread risk The cross-bucket correlations for counterparty credit spread delta risk shall be the following: Table 1 Article 383s Risk weights for reference credit spread risk 1. The risk weights for the delta sensitivities to reference credit spread risk factors shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) and all reference credit spread exposures within each bucket in Table 1 and shall be the following: Table 1 Where there are no external ratings for a specific counterparty, institutions may, subject to approval by the competent authorities, map the internal rating to a corresponding external rating and assign a risk weight corresponding to either credit quality step 1 to 3 or credit quality step 4 to 6. Otherwise, the risk weights for unrated exposures shall be applied. 2. Risk weights for reference credit spread volatilities shall be set at 100 %. 3. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each issuer to only one of the sector buckets in Table 1. Risk exposures from any issuer that an institution cannot assign to a sector in such a manner shall be assigned to bucket 20 in Table 1. 4. Institutions shall assign to buckets 11 and 19 only exposures that reference qualified indices as referred to in Article 383b(4). 5. Institutions shall use a look-through approach to determine the sensitivities of an exposure referencing a non-qualified index. Article 383t Intra-bucket correlations for reference credit spread risk 1. Between two sensitivities WSk and WSl , resulting from risk exposures assigned to sector buckets 1 to 10, 12 to 18 and 20 of Article 383s(1), Table 1, the correlation parameter ρkl shall be set as follows: where: 2. Between two sensitivities WSk and WSl , resulting from risk exposures assigned to sector buckets 11 and 19, the correlation parameter ρkl shall be set as follows: where: Article 383u Correlations across buckets for reference credit spread risk 1. The cross-bucket correlations for reference credit spread delta risk and reference credit spread vega risk shall be the following: Table 1 2. By way of derogation from paragraph 1, the cross-bucket correlation values calculated in that paragraph shall be divided by 2 for correlations between a bucket from the group of buckets 1 to 10 and a bucket from the group of buckets 12 to 18. Article 383v Risk weight buckets for equity risk 1. The risk weights for the delta sensitivities to equity spot price risk factors shall be the same for all equity risk exposures within each bucket in Table 1 and shall be the following: Table 1 2. For the purposes of paragraph 1 of this Article, what constitutes a small and a large capitalisation shall be specified in the regulatory technical standards referred to in Article 325bd(7). 3. For the purposes of paragraph 1 of this Article, what constitutes an emerging market and an advanced economy shall be specified in the regulatory technical standards referred to in Article 325ap(3). 4. When assigning a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by industry sector. Institutions shall assign each issuer to one of the sector buckets in paragraph 1, Table 1, and shall assign all issuers from the same industry to the same sector. Risk exposures from any issuer that an institution cannot assign to a sector in that manner shall be assigned to bucket 11. Multinational or multi-sector equity issuers shall be allocated to a particular bucket on the basis of the most material region and sector in which the equity issuer operates. 5. The risk weights for equity vega risk shall be set at 78 % for buckets 1 to 8 and bucket 12, and at 100 % for all other buckets. Article 383w Correlations across buckets for equity risk The cross-bucket correlation parameter for equity delta and vega risk shall be set at: Article 383x Risk weight buckets for commodity risk 1. The risk weights for the delta sensitivities to commodity spot price risk factors shall be the same for all commodity risk exposures within each bucket in Table 1 and shall be the following: Table 1 2. The risk weights for commodity vega risk shall be set at 100 %. Article 383z Correlations across buckets for commodity risk 1. The cross-bucket correlation parameter for commodity delta risk shall be set at: 2. The cross-bucket correlation parameter for commodity vega risk shall be set at: ; the regulatory CVA model is capable of modelling the CVA of a given counterparty, recognising netting and margin agreements at netting set level, where relevant, in accordance with this Article; the institution estimates the counterparty’s probabilities of default from the counterparty credit spreads and market-consensus expected loss given default for that counterparty; the expected loss given default referred to in point (a) shall be the same as the market-consensus expected loss given default referred to in point (b), unless the institution can demonstrate that the seniority of the portfolio of transactions with that counterparty differs from the seniority of senior unsecured bonds issued by that counterparty; at each future time point, the simulated discounted future exposure of the portfolio of transactions with a counterparty is calculated with an exposure model by repricing all transactions in that portfolio, based on the simulated joint changes of the market risk factors that are material to those transactions using an appropriate number of scenarios, and discounting the prices to the date of calculation using risk-free interest rates; the regulatory CVA model is capable of modelling significant dependency between the simulated discounted future exposure of the portfolio of transactions and the counterparty credit spreads; where the transactions of the portfolio are included in a netting set subject to a margin agreement and daily mark-to-market valuation, the collateral posted and received as part of that agreement is recognised as a risk mitigant in the simulated discounted future exposure, where all of the following conditions are met: the institution determines the margin period of risk relevant for that netting set in accordance with the requirements set out in Article 285(2) and (5), and reflects that margin period in the calculation of the simulated discounted future exposure; all applicable features of the margin agreement, including the frequency of margin calls, the type of contractually eligible collateral, the threshold amounts, the minimum transfer amounts, the independent amounts and the initial margins for both the institution and the counterparty are appropriately reflected in the calculation of the simulated discounted future exposure; the institution has established a collateral management unit that complies with Article 287 for all collateral recognised for calculating the own funds requirements for CVA risk using the standardised approach. credit spreads from other instruments issued by the counterparty reflecting current market conditions; proxy spreads that are appropriate considering the rating, industry and region of the counterparty. the exposure model referred to in paragraph 1 is part of the institution’s internal CVA risk management system that includes the identification, measurement, management, approval and internal reporting of CVA and CVA risk for accounting purposes; the institution has in place a process for ensuring compliance with a documented set of internal policies, controls, assessment of model performance and procedures concerning the exposure model referred to in paragraph 1; the institution shall have an independent validation unit that is responsible for the effective initial and ongoing validation of the exposure model referred to in paragraph 1 of this Article; that unit shall be independent from business credit and trading units, including the unit referred to in Article 383(1), point (a), and report directly to senior management; it shall have a sufficient number of staff with a level of skills that is appropriate to fulfil that purpose; the senior management shall be actively involved in the risk control process and shall regard CVA risk control as an essential aspect of the business, to which appropriate resources need to be devoted; the institution shall document the process for initial and ongoing validation of the exposure model referred to in paragraph 1 to a level of detail that would enable a third party to understand how the models operate, their limitations, and their key assumptions, and recreate the analysis; that documentation shall set out the minimum frequency with which ongoing validation will be conducted, as well as other circumstances, such as a sudden change in market behaviour, under which additional validation shall be conducted; it shall describe how the validation is conducted with respect to data flows and portfolios, what analyses are used and how representative counterparty portfolios are constructed; the pricing models used in the exposure model referred to in paragraph 1 for a given scenario of simulated market risk factors shall be tested against appropriate independent benchmarks for a wide range of market states as part of the initial and ongoing model validation process; pricing models for options shall account for the non-linearity of option value with respect to market risk factors; an independent review of the institution’s internal CVA risk management system referred to in point (a) of this paragraph shall be carried out by the institution’s internal auditing process on a regular basis; that review shall include the activities both of the unit referred to in Article 383(1), point (a), and of the independent validation unit referred to in point (c) of this paragraph; the regulatory CVA model used by the institution for calculating the simulated discounted future exposure referred to in paragraph 1, shall reflect transaction terms and specifications and margin agreements in a timely, complete, and conservative manner; the terms and specifications shall reside in a secure database subject to formal and periodic audit; the transmission of transaction terms and specifications data and margin agreements to the exposure model shall also be subject to internal audit, and formal reconciliation processes shall be in place between the internal model and source data systems to verify on an ongoing basis that transaction terms, specifications and margin agreements are being reflected in the exposure system correctly or, at least, conservatively; the current and historical market data inputs used in the model by the institution for calculating the simulated discounted future exposure referred to in paragraph 1 shall be acquired independently of the business lines and fed into that model in a timely and complete manner and maintained in a secure database subject to formal and periodic audit; an institution shall have a well-developed data integrity process to handle inappropriate data observations; where the model relies on proxy market data, an institution shall design internal policies to identify suitable proxies and shall demonstrate empirically on an ongoing basis that the proxies provide a conservative representation of the underlying risk; the exposure model referred to in paragraph 1 shall capture the transaction specific and contractual information necessary in order to aggregate exposures at the level of the netting set; an institution shall verify that transactions are assigned to the appropriate netting set within the model. how proxy spreads referred to in paragraph 2, point (b), are to be determined by the institution for the purposes of calculating default probabilities; further technical elements that institutions are to take into account when calculating the counterparty’s expected loss given default, the counterparty’s probabilities of default and the simulated discounted future exposure of the portfolio of transactions with that counterparty and CVA, as referred to in paragraph 1; which other instruments referred to in paragraph 2, point (a), are appropriate to estimate the counterparty’s probabilities of default and how institutions are to make that estimate. the conditions for assessing the materiality of extensions and changes to the use of the standardised approach as referred to in Article 383(3); the assessment methodology under which competent authorities are to verify an institution’s compliance with the requirements set out in Articles 383 and 383a. those alternative definitions are used for internal risk management purposes or for the reporting of profits and losses to senior management by an independent risk control unit within the institution; the institution demonstrates that those alternative definitions are more appropriate for capturing the sensitivities of the position than the formulae set out in Articles 383i and 383j, and that the resulting delta and vega risk sensitivities do not materially differ from the ones obtained applying the formulae set out in Articles 383i and 383j, respectively. counterparty credit spread risk; reference credit spread risk; and equity risk. k | = the index that denotes the risk factor k; | = the weighted sensitivity of the aggregate CVA to risk factor k; RWk | = the risk weight applicable to the risk factor k; | = the net sensitivity of the aggregate CVA to risk factor k; | = the weighted sensitivity of the market value of all eligible hedges in the CVA portfolio to risk factor k; | = the net sensitivity of the market value of all eligible hedges in the CVA portfolio to risk factor k. Kb | = the bucket-specific sensitivity of bucket b; WSk | = the net-weighted sensitivities; ρkl | = the corresponding intra-bucket correlation parameters; R | = the hedging disallowance parameter equal to 0,01. mCVA | = a multiplier factor which is equal to 1; the competent authority may increase the value of mCVA where the institution’s regulatory CVA model shows deficiencies preventing the appropriate measurement of the own funds requirements for CVA risk; Kb | = the bucket-specific sensitivity of bucket b; γbc | = the correlation parameter between buckets b and c; | for all risk factors in bucket b; | for all risk factors in bucket c. the delta sensitivities of the aggregate CVA to risk factors consisting of risk-free rates, as well as of an eligible hedge to those risk factors, shall be calculated as follows: where: | = the sensitivities of the aggregate CVA to a risk-free rate risk factor; rkt | = the value of the risk-free rate risk factor k with maturity t; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than rkt in VCVA ; | = the sensitivities of the eligible hedge i to a risk-free rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than rkt in the pricing function Vi ; the delta sensitivities to risk factors consisting of inflation rates as well as of an eligible hedge to those risk factors, shall be calculated as follows: where: | = the sensitivities of the aggregate CVA to an inflation rate risk factor; inflkt | = the value of an inflation rate risk factor k with maturity t; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than inflkt in VCVA ; | = the sensitivities of the eligible hedge i to an inflation rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than inflkt in the pricing function Vi . | = the sensitivities of the aggregate CVA to a foreign exchange spot rate risk factor; FXk | = the value of the foreign exchange spot rate risk factor k; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than FXk in VCVA ; | = the sensitivities of the eligible hedge i to a foreign exchange spot rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than FXk in the pricing function Vi . | = the sensitivities of the aggregate CVA to a counterparty credit spread rate risk factor; ccskt | = the value of the counterparty credit spread rate risk factor k at maturity t; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than ccskt in VCVA ; | = the sensitivities of the eligible hedge i to a counterparty credit spread rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than ccskt in the pricing function Vi . | = the sensitivities of the aggregate CVA to a reference credit spread rate risk factor; rcskt | = the value of the reference credit spread rate risk factor k at maturity t; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than ccskt in VCVA ; | = the sensitivities of the eligible hedge i to a reference credit spread rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than ccskt in the pricing function Vi . | = the sensitivities of the aggregate CVA to an equity spot price risk factor; EQ | = the value of the equity spot price; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than EQ in VCVA ; | = the sensitivities of the eligible hedge i to an equity spot price risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than EQ in the pricing function Vi . | = the sensitivities of the aggregate CVA to a commodity spot price risk factor; CTY | = the value of the commodity spot price; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than CTY in VCVA ; | = the sensitivities of the eligible hedge i to a commodity spot price risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than CTY in the pricing function Vi . | = the sensitivities of the aggregate CVA to an implied volatility risk factor; volk | = the value of the implied volatility risk factor; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than volk in the pricing function VCVA ; | = the sensitivities of the eligible hedge instrument i to an implied volatility risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than volk in the pricing function Vi . Bucket | Maturity | Risk weight 1 | 1 year | 1,11 % 2 | 2 years | 0,93 % 3 | 5 years | 0,74 % 4 | 10 years | 0,74 % 5 | 30 years | 0,74 % Bucket | 1 | 2 | 3 | 4 | 5 1 | 100 % | 91 % | 72 % | 55 % | 31 % 2 | | 100 % | 87 % | 72 % | 45 % 3 | | | 100 % | 91 % | 68 % 4 | | | | 100 % | 83 % 5 | | | | | 100 % the risk weight referred to in paragraph 1, divided by 3; the maximum fluctuation within the fluctuation band formally agreed by the Member State and the ECB, if that fluctuation band is narrower than the fluctuation band defined under ERM II. Bucket number | Credit quality | Sector | Risk weight 1 | All | Central government, including central banks, of Member States | 0,5 % 2 | Credit quality step 1 to 3 | Central government, including central banks, of third countries, multilateral development banks and international organisations referred to in Article 117(2) and Article 118 | 0,5 % 3 | Regional government or local authority and public sector entities | 1,0 % 4 | Financial sector entities, including credit institutions incorporated or established by a central government, a regional government or a local authority, and promotional lenders | 5,0 % 5 | Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | 3,0 % 6 | Consumer goods and services, transportation and storage, administrative and support service activities | 3,0 % 7 | Technology, telecommunications | 2,0 % 8 | Health care, utilities, professional and technical activities | 1,5 % 9 | Covered bonds issued by credit institutions established in Member States | 1,0 % 10 | Credit quality step 1 | Covered bonds issued by credit institutions in third countries | 1,5 % Credit quality steps 2 to 3 | 2,5 % 11 | Credit quality steps 1 to 3 | Other sector | 5,0 % 12 | Qualified indices | 1,5 % 13 | Credit quality step 4 to 6 and unrated | Central government, including central banks, of third countries, multilateral development banks and international organisations referred to in Article 117(2) and Article 118 | 2,0 % 14 | Regional government or local authority and public sector entities | 4,0 % 15 | Financial sector entities, including credit institutions incorporated or established by a central government, a regional government or a local authority, and promotional lenders | 12,0 % 16 | Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | 7,0 % 17 | Consumer goods and services, transportation and storage, administrative and support service activities | 8,5 % 18 | Technology, telecommunications | 5,5 % 19 | Health care, utilities, professional and technical activities | 5,0 % 20 | Other sector | 12,0 % 21 | Qualified indices | 5,0 % | shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %; | shall be equal to 1 where the two names of sensitivities k and l are identical, 90 % if the two names are distinct but legally related, otherwise it shall be equal to 50 %; | shall be equal to 1 where the two names are both in buckets 1 to 11 or are both in buckets 13 to 20, otherwise it shall be equal to 80 %. | shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %; | shall be equal to 1 where the two names of sensitivities k and l are identical and the two indices are of the same series, 90 % if the two indices are the same but of distinct series, otherwise it shall be equal to 80 %; | shall be equal to 1 where the two names are both in bucket 12 or both in bucket 21, otherwise it shall be equal to 80 %. Bucket | 1, 2, 3, 13 and 14 | 4 and 15 | 5 and 16 | 6 and 17 | 7 and 18 | 8 and 19 | 9 and 10 | 11 and 20 | 12 and 21 1, 2, 3, 13 and 14 | 100 % | 10 % | 20 % | 25 % | 20 % | 15 % | 10 % | 0 % | 45 % 4 and 15 | | 100 % | 5 % | 15 % | 20 % | 5 % | 20 % | 0 % | 45 % 5 and 16 | | | 100 % | 20 % | 25 % | 5 % | 5 % | 0 % | 45 % 6 and 17 | | | | 100 % | 25 % | 5 % | 15 % | 0 % | 45 % 7 and 18 | | | | | 100 % | 5 % | 20 % | 0 % | 45 % 8 and 19 | | | | | | 100 % | 5 % | 0 % | 45 % 9 and 10 | | | | | | | 100 % | 0 % | 45 % 11 and 20 | | | | | | | | 100 % | 0 % 12 and 21 | | | | | | | | | 100 % Bucket number | Credit quality | Sector | Risk weight 1 | All | Central government, including central banks, of Member States | 0,5 % 2 | Credit quality step 1 to 3 | Central government, including central banks, of third countries, multilateral development banks and international organisations referred to in Article 117(2) and Article 118 | 0,5 % 3 | Regional government or local authority and public sector entities | 1,0 % 4 | Financial sector entities, including credit institutions incorporated or established by a central government, a regional government or a local authority, and promotional lenders | 5,0 % 5 | Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | 3,0 % 6 | Consumer goods and services, transportation and storage, administrative and support service activities | 3,0 % 7 | Technology, telecommunications | 2,0 % 8 | Health care, utilities, professional and technical activities | 1,5 % 9 | Covered bonds issued by credit institutions established in Member States | 1,0 % 10 | Credit quality step 1 | Covered bonds issued by credit institutions in third countries | 1,5 % Credit quality steps 2 to 3 | 2,5 % 11 | Credit Quality Step 1 to 3 | Qualified indices | 1,5 % 12 | Credit quality step 4 to 6 and unrated | Central government, including central banks, of third countries, multilateral development banks and international organisations referred to in Article 117(2) and Article 118 | 2,0 % 13 | Regional government or local authority and public sector entities | 4,0 % 14 | Financial sector entities, including credit institutions incorporated or established by a central government, a regional government or a local authority, and promotional lenders | 12,0 % 15 | Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | 7,0 % 16 | Consumer goods and services, transportation and storage, administrative and support service activities | 8,5 % 17 | Technology, telecommunications | 5,5 % 18 | Health care, utilities, professional and technical activities | 5,0 % 19 | Qualified indices | 5,0 % 20 | Other sector | 12,0 % | shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %; | shall be equal to 1 where the two names of sensitivities k and l are identical, 90 % if the two names are distinct but legally related, otherwise it shall be equal to 50 %; | shall be equal to 1 where the two names are both in buckets 1 to 10, are both in buckets 12 to 18, or are both in bucket 20, otherwise it shall be equal to 80 %. | shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %; | shall be equal to 1 where the two names of sensitivities k and l are identical and the two indices are of the same series, 90 % if the two indices are the same but of distinct series, otherwise it shall be equal to 80 %; | shall be equal to 1 where the two names are both in bucket 11 or both in bucket 19, otherwise it shall be equal to 80 %. Bucket | 1, 2 and 12 | 3 and 14 | 4 and 15 | 5 and 16 | 6 and 17 | 7 and 18 | 8 and 19 | 9 and 10 | 20 | 11 | 19 1, 2, and 12 | 100 % | 75 % | 10 % | 20 % | 25 % | 20 % | 15 % | 10 % | 0 % | 45 % | 45 % 3 and 14 | | 100 % | 5 % | 15 % | 20 % | 15 % | 10 % | 10 % | 0 % | 45 % | 45 % 4 and 15 | | | 100 % | 5 % | 15 % | 20 % | 5 % | 20 % | 0 % | 45 % | 45 % 5 and 16 | | | | 100 % | 20 % | 25 % | 5 % | 5 % | 0 % | 45 % | 45 % 6 and 17 | | | | | 100 % | 25 % | 5 % | 15 % | 0 % | 45 % | 45 % 7 and 18 | | | | | | 100 % | 5 % | 20 % | 0 % | 45 % | 45 % 8 and 19 | | | | | | | 100 % | 5 % | 0 % | 45 % | 45 % 9 and 10 | | | | | | | | 100 % | 0 % | 45 % | 45 % 20 | | | | | | | | | 100 % | 0 % | 0 % 11 | | | | | | | | | | 100 % | 75 % 19 | | | | | | | | | | | 100 % Bucket number | Market capitalisation | Economy | Sector | Risk weight for equity spot price 1 | Large | Emerging market economy | Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities | 55 % 2 | Telecommunications, industrials | 60 % 3 | Basic materials, energy, agriculture, manufacturing, mining and quarrying | 45 % 4 | Financials, including government-backed financials, immovable property activities, technology | 55 % 5 | Advanced economy | Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities | 30 % 6 | Telecommunications, industrials | 35 % 7 | Basic materials, energy, agriculture, manufacturing, mining and quarrying | 40 % 8 | Financials, including government-backed financials, immovable property activities, technology | 50 % 9 | Small | Emerging market economy | All sectors described under bucket numbers 1, 2, 3 and 4 | 70 % 10 | Advanced economy | All sectors described under bucket numbers 5, 6, 7 and 8 | 50 % 11 | Other sector | 70 % 12 | Large | Advanced economy | Qualified indices | 15 % 13 | Other | Qualified indices | 25 % 15 %, where the two buckets fall within buckets 1 to 10 in Article 383v(1), Table 1; 75 %, where the two buckets are buckets 12 and 13 in Article 383v(1), Table 1; 45 %, where one of the buckets is bucket 12 or 13 in Article 383v(1), Table 1, and the other bucket falls within buckets 1 to 10 in Article 383v(1), Table 1; 0 %, where one of the two buckets is bucket 11 in Article 383v(1), Table 1. Bucket number | Bucket name | Risk weight for commodity spot price 1 | Energy — solid combustibles | 30 % 2 | Energy — liquid combustibles | 35 % 3 | Energy — electricity | 60 % 4 | Energy — EU ETS carbon trading | 40 % 5 | Energy — non-EU ETS carbon trading | 60 % 6 | Freight | 80 % 7 | Metals — non-precious | 40 % 8 | Gaseous combustibles | 45 % 9 | Precious metals, including gold | 20 % 10 | Grains and oilseed | 35 % 11 | Livestock and dairy | 25 % 12 | Softs and other agricultural commodities | 35 % 13 | Other commodity | 50 % 20 %, where the two buckets fall within buckets 1 to 12 in Article 383x(1), Table 1; 0 %, where one of the two buckets is bucket 13 in Article 383x(1), Table 1. 20 %, where the two buckets fall within buckets 1 to 12 in Article 383x(1), Table 1; 0 %, where one of the two buckets is bucket 13 in Article 383x(1), Table 1.’

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Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.