(b)

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 .

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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.